ProShares Trust II - Quarter Report: 2017 June (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 June 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		210

Item 4. Controls and Procedures		228

Part II. OTHER INFORMATION

Item 1. Legal Proceedings		229

Item 1A. Risk Factors		229

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds		229

Item 3. Defaults Upon Senior Securities		234

Item 4. Mine Safety Disclosures		234

Item 5. Other Information		234

Item 6. Exhibits		235

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


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	4,113,393	$	4,536,425
Segregated cash balances with brokers for futures contracts		14,949,395		17,235,855
Short-term U.S. government and agency obligations (Note 3) (cost $138,932,838 and $147,990,045, respectively)		138,937,316		147,991,233
Receivable on open futures contracts		4,724,455		4,484,270

Total assets		162,724,559		174,247,783

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		611,490		—
Payable to Sponsor		59,975		87,637

Total liabilities		671,465		87,637

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		162,053,094		174,160,146

Total liabilities and shareholders’ equity	$	162,724,559	$	174,247,783

Shares outstanding (Note 1)		3,796,113		2,052,363

Net asset value per share (Note 1)	$	42.69	$	84.86

Market value per share (Note 1) (Note 2)	$	42.52	$	85.04

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(86% of shareholders’ equity)
U.S. Treasury Bills^^:
0.735% due 07/06/17	$	42,000,000	$	41,997,392
0.778% due 07/13/17†		49,000,000		48,989,519
0.776% due 07/20/17†		20,000,000		19,992,586
0.821% due 07/27/17†		7,000,000		6,996,150
0.828% due 08/24/17		4,000,000		3,994,713
0.908% due 09/07/17†		12,000,000		11,979,100
1.004% due 09/28/17		5,000,000		4,987,856

Total short-term U.S. government and agency obligations (cost $138,932,838)			$	138,937,316


Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2017		7,526	$	92,757,950	$	(1,396,895	)
VIX Futures - CBOE, expires August 2017		5,474		69,382,950		287,035

					$	(1,109,860	)

^^	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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	248,418		$	134,426		$	407,223		$	180,575

Expenses
Management fee		313,196			520,759			622,968			735,862
Brokerage commissions and fees		45,990			100,699			79,244			153,034

Total expenses		359,186			621,458			702,212			888,896

Net investment income (loss)		(110,768	)		(487,032	)		(294,989	)		(708,321	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(33,527,643	)		(40,266,848	)		(98,755,500	)		(32,560,699	)
Short-term U.S. government and agency obligations		134			4,833			(1,362	)		2,291

Net realized gain (loss)		(33,527,509	)		(40,262,015	)		(98,756,862	)		(32,558,408	)

Change in net unrealized appreciation/depreciation on
Futures contracts		6,215,600			1,048,083			(641,208	)		(15,262,292	)
Short-term U.S. government and agency obligations		5,578			(9,878	)		3,290			10,720

Change in net unrealized appreciation/depreciation		6,221,178			1,038,205			(637,918	)		(15,251,572	)

Net realized and unrealized gain (loss)		(27,306,331	)		(39,223,810	)		(99,394,780	)		(47,809,980	)

Net income (loss)	$	(27,417,099	)	$	(39,710,842	)	$	(99,689,769	)	$	(48,518,301	)

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	174,160,146
Addition of 3,018,750 shares (Note 1)		155,472,291
Redemption of 1,275,000 shares (Note 1)		(67,889,574	)

Net addition (redemption) of 1,743,750 shares (Note 1)		87,582,717

Net investment income (loss)		(294,989	)
Net realized gain (loss)		(98,756,862	)
Change in net unrealized appreciation/depreciation		(637,918	)

Net income (loss)		(99,689,769	)

Shareholders’ equity, at June 30, 2017	$	162,053,094

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(99,689,769	)	$	(48,518,301	)
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		2,286,460			(33,123,745	)
Purchases of short-term U.S. government and agency obligations		(372,565,894	)		(484,764,107	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		382,028,962			420,739,624
Net amortization and accretion on short-term U.S government and agency obligations		(407,223	)		(180,575	)
Net realized gain (loss) on investments		1,362			(2,291	)
Change in unrealized appreciation/depreciation on investments		(3,290	)		(10,720	)
Decrease (Increase) in receivable on futures contracts		(240,185	)		1,263,933
Increase (Decrease) in payable to Sponsor		(27,662	)		115,646
Increase (Decrease) in payable on futures contracts		611,490			3,283,738

Net cash provided by (used in) operating activities		(88,005,749	)		(141,196,798	)

Cash flow from financing activities
Proceeds from addition of shares		155,472,291			301,185,920
Payment on shares redeemed		(67,889,574	)		(159,133,883	)

Net cash provided by (used in) financing activities		87,582,717			142,052,037

Net increase (decrease) in cash		(423,032	)		855,239
Cash, beginning of period		4,536,425			2,124,103

Cash, end of period	$	4,113,393		$	2,979,342

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	832,363	$	1,155,115
Segregated cash balances with brokers for futures contracts		4,662,400		1,052,615
Short-term U.S. government and agency obligations (Note 3) (cost $24,967,693 and $45,486,489, respectively)		24,968,264		45,486,235
Receivable on open futures contracts		107,107		242,541

Total assets		30,570,134		47,936,506

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		2,085,020
Payable to Sponsor		19,191		32,572

Total liabilities		19,191		2,117,592

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		30,550,943		45,818,914

Total liabilities and shareholders’ equity	$	30,570,134	$	47,936,506

Shares outstanding		1,112,403		1,087,403

Net asset value per share	$	27.46	$	42.14

Market value per share (Note 2)	$	27.43	$	42.34

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(82% of shareholders’ equity)
U.S. Treasury Bills^^:
0.750% due 07/13/17†	$	5,000,000	$	4,998,931
0.917% due 08/24/17		13,000,000		12,982,818
0.907% due 09/14/17		7,000,000		6,986,515

Total short-term U.S. government and agency obligations (cost $24,967,693)			$	24,968,264


Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires October 2017		391	$	5,640,175	$	(869,000	)
VIX Futures - CBOE, expires November 2017		675		10,074,375		(771,010	)
VIX Futures - CBOE, expires December 2017		675		10,243,125		(630,345	)
VIX Futures - CBOE, expires January 2018		284		4,607,900		(35,900	)

					$	(2,306,255	)

^^	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 MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	48,327		$	21,839		$	92,587		$	34,098

Expenses
Management fee		70,059			84,727			155,244			142,725
Brokerage commissions and fees		1,409			6,853			5,051			12,609

Total expenses		71,468			91,580			160,295			155,334

Net investment income (loss)		(23,141	)		(69,741	)		(67,708	)		(121,236	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(7,047,733	)		(2,943,655	)		(15,215,051	)		(349,195	)
Short-term U.S. government and agency obligations		73			(61	)		(527	)		(12	)

Net realized gain (loss)		(7,047,660	)		(2,943,716	)		(15,215,578	)		(349,207	)

Change in net unrealized appreciation/depreciation on
Futures contracts		2,246,125			2,047,660			(1,018,010	)		(768,040	)
Short-term U.S. government and agency obligations		632			(2,975	)		825			1,377

Change in net unrealized appreciation/depreciation		2,246,757			2,044,685			(1,017,185	)		(766,663	)

Net realized and unrealized gain (loss)		(4,800,903	)		(899,031	)		(16,232,763	)		(1,115,870	)

Net income (loss)	$	(4,824,044	)	$	(968,772	)	$	(16,300,471	)	$	(1,237,106	)

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	45,818,914
Addition of 175,000 shares		5,865,630
Redemption of 150,000 shares		(4,833,130	)

Net addition (redemption) of 25,000 shares		1,032,500

Net investment income (loss)		(67,708	)
Net realized gain (loss)		(15,215,578	)
Change in net unrealized appreciation/depreciation		(1,017,185	)

Net income (loss)		(16,300,471	)

Shareholders’ equity, at June 30, 2017	$	30,550,943

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(16,300,471	)	$	(1,237,106	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(3,609,785	)		(3,178,050	)
Purchases of short-term U.S. government and agency obligations		(111,882,112	)		(73,285,681	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		132,492,968			63,975,223
Net amortization and accretion on short-term U.S government and agency obligations		(92,587	)		(34,098	)
Net realized gain (loss) on investments		527			12
Change in unrealized appreciation/depreciation on investments		(825	)		(1,377	)
Decrease (Increase) in receivable on futures contracts		135,434			42,188
Increase (Decrease) in payable to Sponsor		(13,381	)		10,484
Increase (Decrease) in payable on futures contracts		—			145,297

Net cash provided by (used in) operating activities		729,768			(13,563,108	)

Cash flow from financing activities
Proceeds from addition of shares		5,865,630			23,209,404
Payment on shares redeemed		(6,918,150	)		(7,398,044	)

Net cash provided by (used in) financing activities		(1,052,520	)		15,811,360

Net increase (decrease) in cash		(322,752	)		2,248,252
Cash, beginning of period		1,155,115			671,791

Cash, end of period	$	832,363		$	2,920,043

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	7,334,125	$	1,850,760
Segregated cash balances with brokers for futures contracts		97,296,685		55,323,984
Short-term U.S. government and agency obligations (Note 3) (cost $660,214,896 and $170,391,741, respectively)		660,218,440		170,396,436
Receivable from capital shares sold		48,910,135		—
Receivable on open futures contracts		19,879,950		1,059,418

Total assets		833,639,335		228,630,598

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		40,050,692		—
Payable on open futures contracts		—		325,000
Payable to Sponsor		528,220		230,211

Total liabilities		40,578,912		555,211

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		793,060,423		228,075,387

Total liabilities and shareholders’ equity	$	833,639,335	$	228,630,598

Shares outstanding (Note 1)		9,900,000		5,000,000

Net asset value per share (Note 1)	$	80.11	$	45.62

Market value per share (Note 1) (Note 2)	$	80.64	$	45.49

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(83% of shareholders’ equity)
U.S. Treasury Bills^^:
0.731% due 07/06/17†	$	41,000,000	$	40,997,454
0.746% due 07/13/17†		36,000,000		35,992,300
0.803% due 07/20/17†		61,000,000		60,977,387
0.779% due 07/27/17†		88,000,000		87,951,600
0.824% due 08/03/17†		56,000,000		55,958,526
0.803% due 08/10/17†		41,000,000		40,962,780
0.871% due 08/17/17†		50,000,000		49,943,125
0.826% due 08/24/17†		27,000,000		26,964,314
0.914% due 08/31/17†		36,000,000		35,944,834
0.922% due 09/07/17		75,000,000		74,869,372
0.917% due 09/14/17		75,000,000		74,855,520
0.998% due 10/05/17		75,000,000		74,801,228

Total short-term U.S. government and agency obligations (cost $660,214,896)			$	660,218,440


Futures Contracts Sold
	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2017		36,797	$	453,523,025	$	(4,155,130	)
VIX Futures - CBOE, expires August 2017		26,760		339,183,000		(1,634,301	)

					$	(5,789,431	)

^^	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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	1,030,436		$	281,446		$	1,382,694		$	599,158

Expenses
Management fee		1,516,291			1,218,924			2,260,276			2,610,743
Brokerage commissions and fees		880,345			572,711			1,394,810			1,053,458

Total expenses		2,396,636			1,791,635			3,655,086			3,664,201

Net investment income (loss)		(1,366,200	)		(1,510,189	)		(2,272,392	)		(3,065,043	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		182,934,500			77,961,366			282,827,592			(14,221,443	)
Short-term U.S. government and agency obligations		(7,200	)		6,052			(11,258	)		(21,526	)

Net realized gain (loss)		182,927,300			77,967,418			282,816,334			(14,242,969	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(24,640,794	)		14,498,960			4,520,180			68,476,439
Short-term U.S. government and agency obligations		22,789			(41,241	)		(1,151	)		28,729

Change in net unrealized appreciation/depreciation		(24,618,005	)		14,457,719			4,519,029			68,505,168

Net realized and unrealized gain (loss)		158,309,295			92,425,137			287,335,363			54,262,199

Net income (loss)	$	156,943,095		$	90,914,948		$	285,062,971		$	51,197,156

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	228,075,387
Addition of 29,000,000 shares (Note 1)		1,956,920,015
Redemption of 24,100,000 shares (Note 1)		(1,676,997,950	)

Net addition (redemption) of 4,900,000 shares (Note 1)		279,922,065

Net investment income (loss)		(2,272,392	)
Net realized gain (loss)		282,816,334
Change in net unrealized appreciation/depreciation		4,519,029

Net income (loss)		285,062,971

Shareholders’ equity, at June 30, 2017	$	793,060,423

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	285,062,971		$	51,197,156
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(41,972,701	)		123,528,405
Purchases of short-term U.S. government and agency obligations		(1,954,981,505	)		(1,639,616,785	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		1,466,529,786			1,322,269,432
Net amortization and accretion on short-term U.S government and agency obligations		(1,382,694	)		(599,158	)
Net realized gain (loss) on investments		11,258			21,526
Change in unrealized appreciation/depreciation on investments		1,151			(28,729	)
Decrease (Increase) in receivable on futures contracts		(18,820,532	)		(17,926,028	)
Increase (Decrease) in payable to Sponsor		298,009			(58,432	)
Increase (Decrease) in payable on futures contracts		(325,000	)		(1,420,271	)

Net cash provided by (used in) operating activities		(265,579,257	)		(162,632,884	)

Cash flow from financing activities
Proceeds from addition of shares		1,908,009,880			1,569,809,560
Payment on shares redeemed		(1,636,947,258	)		(1,409,227,414	)

Net cash provided by (used in) financing activities		271,062,622			160,582,146

Net increase (decrease) in cash		5,483,365			(2,050,738	)
Cash, beginning of period		1,850,760			5,150,976

Cash, end of period	$	7,334,125		$	3,100,238

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	2,557,473	$	10,969,955
Segregated cash balances with brokers for futures contracts		39,213,145		71,363,625
Short-term U.S. government and agency obligations (Note 3) (cost $356,160,031 and $434,676,067, respectively)		356,168,275		434,671,795
Receivable from capital shares sold		6,882,380		—
Receivable on open futures contracts		28,939,641		35,967,191

Total assets		433,760,914		552,972,566

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		52,277,791		36,789,539
Payable on open futures contracts		2,445,960		—
Payable to Sponsor		322,527		424,273

Total liabilities		55,046,278		37,213,812

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		378,714,636		515,758,754

Total liabilities and shareholders’ equity	$	433,760,914	$	552,972,566

Shares outstanding (Note 1)		9,631,952		2,965,383

Net asset value per share (Note 1)	$	39.32	$	173.93

Market value per share (Note 1) (Note 2)	$	38.96	$	175.00

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(94% of shareholders’ equity)
U.S. Treasury Bills^^:
0.794% due 07/06/17	$	31,778,000	$	31,776,026
0.756% due 07/13/17†		97,000,000		96,979,252
0.815% due 07/20/17†		64,658,000		64,634,031
0.817% due 07/27/17†		22,000,000		21,987,900
0.901% due 08/03/17		4,000,000		3,997,037
0.803% due 08/10/17†		26,000,000		25,976,397
0.871% due 08/17/17		10,000,000		9,988,625
0.861% due 08/24/17†		32,000,000		31,957,706
0.918% due 08/31/17†		11,000,000		10,983,144
0.913% due 09/07/17†		23,000,000		22,959,941
0.907% due 09/14/17†		15,000,000		14,971,104
0.954% due 09/21/17†		20,000,000		19,957,112

Total short-term U.S. government and agency obligations (cost $356,160,031)			$	356,168,275


Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2017		35,168	$	433,445,600	$	(7,365,934	)
VIX Futures - CBOE, expires August 2017		25,576		324,175,800		1,118,465

					$	(6,247,469	)

^^	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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	595,569		$	527,858		$	966,554		$	826,663

Expenses
Management fee		918,110			2,169,397			1,839,772			3,381,298
Brokerage commissions and fees		901,683			1,390,754			1,668,516			2,126,665

Total expenses		1,819,793			3,560,151			3,508,288			5,507,963

Net investment income (loss)		(1,224,224	)		(3,032,293	)		(2,541,734	)		(4,681,300	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(153,988,983	)		(535,337,385	)		(519,504,171	)		(524,131,767	)
Short-term U.S. government and agency obligations		1,564			35,562			(20,751	)		8,594

Net realized gain (loss)		(153,987,419	)		(535,301,823	)		(519,524,922	)		(524,123,173	)

Change in net unrealized appreciation/depreciation on
Futures contracts		30,318,423			33,204,771			1,724,768			(190,137,467	)
Short-term U.S. government and agency obligations		11,633			(155,699	)		12,516			(18,563	)

Change in net unrealized appreciation/depreciation		30,330,056			33,049,072			1,737,284			(190,156,030	)

Net realized and unrealized gain (loss)		(123,657,363	)		(502,252,751	)		(517,787,638	)		(714,279,203	)

Net income (loss)	$	(124,881,587	)	$	(505,285,044	)	$	(520,329,372	)	$	(718,960,503	)

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	515,758,754
Addition of 17,785,000 shares (Note 1)		1,120,950,535
Redemption of 11,118,431 shares (Note 1)		(737,665,281	)

Net addition (redemption) of 6,666,569 shares (Note 1)		383,285,254

Net investment income (loss)		(2,541,734	)
Net realized gain (loss)		(519,524,922	)
Change in net unrealized appreciation/depreciation		1,737,284

Net income (loss)		(520,329,372	)

Shareholders’ equity, at June 30, 2017	$	378,714,636

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(520,329,372	)	$	(718,960,503	)
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		32,150,480			(172,839,836	)
Purchases of short-term U.S. government and agency obligations		(1,436,930,485	)		(2,754,500,336	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		1,516,392,324			2,686,687,418
Net amortization and accretion on short-term U.S government and agency obligations		(966,554	)		(820,758	)
Net realized gain (loss) on investments		20,751			(8,594	)
Change in unrealized appreciation/depreciation on investments		(12,516	)		18,563
Decrease (Increase) in receivable on futures contracts		7,027,550			17,995,478
Increase (Decrease) in payable to Sponsor		(101,746	)		260,571
Increase (Decrease) in payable on futures contracts		2,445,960			109,234,928

Net cash provided by (used in) operating activities		(400,303,608	)		(832,933,069	)

Cash flow from financing activities
Proceeds from addition of shares		1,114,068,155			2,526,901,881
Payment on shares redeemed		(722,177,029	)		(1,697,724,402	)

Net cash provided by (used in) financing activities		391,891,126			829,177,479

Net increase (decrease) in cash		(8,412,482	)		(3,755,590	)
Cash, beginning of period		10,969,955			9,081,964

Cash, end of period	$	2,557,473		$	5,326,374

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	1,471,643	$	2,715,772
Segregated cash balances with brokers for futures contracts		2,799,500		4,931,520
Short-term U.S. government and agency obligations (Note 3) (cost $101,937,156 and $205,694,828, respectively)		101,940,269		205,694,385
Unrealized appreciation on swap agreements		12,252,695		—
Receivable from capital shares sold		4,344,275		—

Total assets		122,808,382		213,341,677

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		1,523,087		13,602
Payable to Sponsor		109,997		162,891
Unrealized depreciation on swap agreements		—		12,206,881

Total liabilities		1,633,084		12,383,374

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		121,175,298		200,958,303

Total liabilities and shareholders’ equity	$	122,808,382	$	213,341,677

Shares outstanding		2,789,884		6,339,884

Net asset value per share	$	43.43	$	31.70

Market value per share (Note 2)	$	43.21	$	31.65

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(84% of shareholders’ equity)
U.S. Treasury Bills^^:
0.758% due 07/06/17†	$	21,000,000	$	20,998,696
0.758% due 07/13/17†		11,000,000		10,997,647
0.794% due 07/20/17†		18,000,000		17,993,327
0.876% due 08/03/17†		24,000,000		23,982,226
0.803% due 08/10/17†		13,000,000		12,988,199
0.870% due 08/24/17†		15,000,000		14,980,174

Total short-term U.S. government and agency obligations (cost $101,937,156)			$	101,940,269


Futures Contracts Sold

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil - NYMEX, expires September 2017		1,018	$	47,123,220	$	(841,763	)


Swap Agreements^

	Rate Paid (Received)*			Termination Date		Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Swap agreement with Citibank N.A. based on Bloomberg WTI Crude Oil Subindex		(0.18	)%		07/07/17	$	(78,374,318	)	$	3,917,917
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		(0.25	)		07/07/17		(48,374,448	)		3,686,141
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		(0.25	)		07/07/17		(11,656,686	)		602,764
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		(0.25	)		07/07/17		(56,894,461	)		4,045,873

									$	12,252,695

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

^	The positions and counterparties herein are as of June 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 June 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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	280,496		$	144,387		$	539,542		$	233,499

Expenses
Management fee		381,832			516,946			917,856			885,196
Brokerage commissions and fees		19,058			39,895			32,780			97,759

Total expenses		400,890			556,841			950,636			982,955

Net investment income (loss)		(120,394	)		(412,454	)		(411,094	)		(749,456	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		16,112,079			(32,306,031	)		18,645,592			(8,548,396	)
Swap agreements		44,264,125			(77,193,275	)		40,580,745			(78,629,312	)
Short-term U.S. government and agency obligations		(1,875	)		6,052			(1,483	)		(8,594	)

Net realized gain (loss)		60,374,329			(109,493,254	)		59,224,854			(87,186,302	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(4,670,019	)		15,218,108			585,052			(2,244,033	)
Swap agreements		(10,225,187	)		4,704,116			24,459,576			5,396,294
Short-term U.S. government and agency obligations		14,136			(18,960	)		3,556			13,857

Change in net unrealized appreciation/depreciation		(14,881,070	)		19,903,264			25,048,184			3,166,118

Net realized and unrealized gain (loss)		45,493,259			(89,589,990	)		84,273,038			(84,020,184	)

Net income (loss)	$	45,372,865		$	(90,002,444	)	$	83,861,944		$	(84,769,640	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	200,958,303
Addition of 5,300,000 shares		197,057,435
Redemption of 8,850,000 shares		(360,702,384	)

Net addition (redemption) of (3,550,000) shares		(163,644,949	)

Net investment income (loss)		(411,094	)
Net realized gain (loss)		59,224,854
Change in net unrealized appreciation/depreciation		25,048,184

Net income (loss)		83,861,944

Shareholders’ equity, at June 30, 2017	$	121,175,298

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	83,861,944		$	(84,769,640	)
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		2,132,020			4,862,330
Purchases of short-term U.S. government and agency obligations		(538,411,241	)		(644,528,972	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		642,706,972			581,449,984
Net amortization and accretion on short-term U.S government and agency obligations		(539,542	)		(233,499	)
Net realized gain (loss) on investments		1,483			8,594
Change in unrealized appreciation/depreciation on investments		(24,463,132	)		(5,410,151	)
Decrease (Increase) in receivable on futures contracts		—			(688,575	)
Increase (Decrease) in payable to Sponsor		(52,894	)		64,755
Increase (Decrease) in brokerage commissions and fees payable		—			(5,046	)
Increase (Decrease) in payable on futures contracts		1,509,485			(850,883	)

Net cash provided by (used in) operating activities		166,745,095			(150,101,103	)

Cash flow from financing activities
Proceeds from addition of shares		192,713,160			675,203,153
Payment on shares redeemed		(360,702,384	)		(524,685,000	)

Net cash provided by (used in) financing activities		(167,989,224	)		150,518,153

Net increase (decrease) in cash		(1,244,129	)		417,050
Cash, beginning of period		2,715,772			598,645

Cash, end of period	$	1,471,643		$	1,015,695

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENT OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)
Assets
Cash	$	4,742,795
Segregated cash balances with brokers for futures contracts		943,250
Offering costs (Note 5)		108,555
Limitation by Sponsor		22,116

Total assets		5,816,716

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		376,001
Payable for offering costs		148,400

Total liabilities		524,401

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		5,292,315

Total liabilities and shareholders’ equity	$	5,816,716

Shares outstanding		200,008

Net asset value per share	$	26.46

Market value per share (Note 2)	$	26.24

*	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

JUNE 30, 2017

(unaudited)

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil - NYMEX, expires September 2017		343	$	15,877,470	$	(245,274	)

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30, 2017			January 13, 2017 (Inception) through June 30, 2017
Investment Income
Expenses
Brokerage commissions and fees	$	6,949		$	7,901
Offering costs		36,999			39,845
Limitation by Sponsor		(20,149	)		(22,116	)

Total expenses		23,799			25,630

Net investment income (loss)		(23,799	)		(25,630	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		1,878,109			1,772,343

Net realized gain (loss)		1,878,109			1,772,343

Change in net unrealized appreciation/depreciation on
Futures contracts		416,232			(245,274	)

Change in net unrealized appreciation/depreciation		416,232			(245,274	)

Net realized and unrealized gain (loss)		2,294,341			1,527,069

Net income (loss)	$	2,270,542		$	1,501,439

*	Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and six months ended June 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 JUNE 30, 2017

(unaudited)


Shareholders’ equity, at January 13, 2017 (Inception)	$	—
Addition of 350,008 shares		8,281,419
Redemption of 150,000 shares		(4,490,543	)

Net addition (redemption) of 200,008 shares		3,790,876

Net investment income (loss)		(25,630	)
Net realized gain (loss)		1,772,343
Change in net unrealized appreciation/depreciation		(245,274	)

Net income (loss)		1,501,439

Shareholders’ equity, at June 30, 2017	$	5,292,315

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF*

STATEMENT OF CASH FLOWS

(unaudited)


	January 13, 2017 (Inception) through June 30, 2017
Cash flow from operating activities
Net income (loss)	$	1,501,439
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		(943,250	)
Decrease (Increase) in Limitation by Sponsor		(22,116	)
Change in offering cost		(108,555	)
Increase (Decrease) in payable on futures contracts		376,001
Increase (Decrease) in payable for offering costs		148,400

Net cash provided by (used in) operating activities		951,919

Cash flow from financing activities
Proceeds from addition of shares		8,281,419
Payment on shares redeemed		(4,490,543	)

Net cash provided by (used in) financing activities		3,790,876

Net increase (decrease) in cash		4,742,795
Cash, beginning of period		—

Cash, end of period	$	4,742,795

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	3,440,930	$	326,631
Segregated cash balances with brokers for futures contracts		1,001,220		710,655
Short-term U.S. government and agency obligations (Note 3) (cost $2,996,378 and $2,899,188, respectively)		2,996,035		2,899,151
Receivable on open futures contracts		23,228		105,872

Total assets		7,461,413		4,042,309

Liabilities and shareholders’ equity
Liabilities
Brokerage commissions and fees payable		—		144
Payable to Sponsor		5,446		3,371

Total liabilities		5,446		3,515

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		7,455,967		4,038,794

Total liabilities and shareholders’ equity	$	7,461,413	$	4,042,309

Shares outstanding		224,832		174,832

Net asset value per share	$	33.16	$	23.10

Market value per share (Note 2)	$	33.33	$	23.05

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(40% of shareholders’ equity)
U.S. Treasury Bills^^:
0.807% due 08/24/17	$	3,000,000	$	2,996,035

Total short-term U.S. government and agency obligations (cost $2,996,378)			$	2,996,035

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas—NYMEX September 2017		492	$	14,912,520	$	(266,680	)

^^	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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	9,532		$	4,550		$	14,473		$	14,118

Expenses
Management fee		17,846			20,104			33,091			57,023
Brokerage commissions and fees		6,845			16,355			12,357			45,302

Total expenses		24,691			36,459			45,448			102,325

Net investment income (loss)		(15,159	)		(31,909	)		(30,975	)		(88,207	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		49,239			(3,556,836	)		1,907,620			557,513
Short-term U.S. government and agency obligations		—			1,894			(259	)		3,004

Net realized gain (loss)		49,239			(3,554,942	)		1,907,361			560,517

Change in net unrealized appreciation/depreciation on
Futures contracts		881,105			(13,486	)		215,351			2,090,582
Short-term U.S. government and agency obligations		(181	)		(721	)		(306	)		86

Change in net unrealized appreciation/depreciation		880,924			(14,207	)		215,045			2,090,668

Net realized and unrealized gain (loss)		930,163			(3,569,149	)		2,122,406			2,651,185

Net income (loss)	$	915,004		$	(3,601,058	)	$	2,091,431		$	2,562,978

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	4,038,794
Addition of 150,000 shares		4,625,005
Redemption of 100,000 shares		(3,299,263	)

Net addition (redemption) of 50,000 shares		1,325,742

Net investment income (loss)		(30,975	)
Net realized gain (loss)		1,907,361
Change in net unrealized appreciation/depreciation		215,045

Net income (loss)		2,091,431

Shareholders’ equity, at June 30, 2017	$	7,455,967

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	2,091,431		$	2,562,978
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		(290,565	)		1,719,410
Purchases of short-term U.S. government and agency obligations		(13,982,114	)		(32,506,214	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		13,899,138			38,452,855
Net amortization and accretion on short-term U.S government and agency obligations		(14,473	)		(14,118	)
Net realized gain (loss) on investments		259			(3,004	)
Change in unrealized appreciation/depreciation on investments		306			(86	)
Decrease (Increase) in receivable on futures contracts		82,644			—
Increase (Decrease) in payable to Sponsor		2,075			(5,383	)
Increase (Decrease) in brokerage commissions and fees payable		(144	)		(1,227	)
Increase (Decrease) in payable on futures contracts		—			(663,370	)

Net cash provided by (used in) operating activities		1,788,557			9,541,841

Cash flow from financing activities
Proceeds from addition of shares		4,625,005			22,431,178
Payment on shares redeemed		(3,299,263	)		(32,906,047	)

Net cash provided by (used in) financing activities		1,325,742			(10,474,869	)

Net increase (decrease) in cash		3,114,299			(933,028	)
Cash, beginning of period		326,631			1,099,140

Cash, end of period	$	3,440,930		$	166,112

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	333,520	$	120,840
Segregated cash balances with brokers for futures contracts		8,690		13,200
Short-term U.S. government and agency obligations (Note 3) (cost $34,948,428 and $60,540,275, respectively)		34,947,973		60,540,555
Unrealized appreciation on forward agreements		2,655,979		3,033,566
Receivable on open futures contracts		700		1,280

Total assets		37,946,862		63,709,441

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		27,499		55,794

Total liabilities		27,499		55,794

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		37,919,363		63,653,647

Total liabilities and shareholders’ equity	$	37,946,862	$	63,709,441

Shares outstanding		496,978		696,978

Net asset value per share	$	76.30	$	91.33

Market value per share (Note 2)	$	76.37	$	90.54

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(92% of shareholders’ equity)
U.S. Treasury Bills^^:
0.834% due 08/03/17†	$	11,000,000	$	10,991,853
0.807% due 08/24/17†		3,000,000		2,996,035
0.908% due 09/07/17		10,000,000		9,982,583
0.907% due 09/14/17		5,000,000		4,990,368
0.954% due 09/21/17†		6,000,000		5,987,134

Total short-term U.S. government and agency obligations (cost $34,948,428)			$	34,947,973

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures—COMEX, expires August 2017		2	$	248,460	$	(3,020	)

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		(1.10	)%		07/07/17	$	(20,600	)	$	(25,596,118	)	$	923,664
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		(0.88	)		07/07/17		(16,598	)		(20,623,347	)		739,767
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		(0.83	)		07/07/17		(4,800	)		(5,964,096	)		259,230
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		(0.90	)		07/07/17		(18,850	)		(23,421,502	)		733,318

												$2,655,979

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

^	The positions and counterparties herein are as of June 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 June 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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	64,930		$	45,076		$	116,347		$	74,265

Expenses
Management fee		83,084			159,878			181,359			305,990
Brokerage commissions and fees		10			8			29			25

Total expenses		83,094			159,886			181,388			306,015

Net investment income (loss)		(18,164	)		(114,810	)		(65,041	)		(231,750	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(3,321	)		(2,040	)		5,759			(38,480	)
Forward agreements		(3,420,316	)		(254,589	)		(8,300,556	)		(19,630,156	)
Short-term U.S. government and agency obligations		(71	)		206			(1,072	)		(943	)

Net realized gain (loss)		(3,423,708	)		(256,423	)		(8,295,869	)		(19,669,579	)

Change in net unrealized appreciation/depreciation on
Futures contracts		5,740			(14,480	)		(22,000	)		(12,820	)
Forward agreements		3,805,355			(9,905,391	)		(377,587	)		(9,989,782	)
Short-term U.S. government and agency obligations		(938	)		(10,366	)		(735	)		4,298

Change in net unrealized appreciation/depreciation		3,810,157			(9,930,237	)		(400,322	)		(9,998,304	)

Net realized and unrealized gain (loss)		386,449			(10,186,660	)		(8,696,191	)		(29,667,883	)

Net income (loss)	$	368,285		$	(10,301,470	)	$	(8,761,232	)	$	(29,899,633	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	63,653,647
Addition of 250,000 shares		18,960,067
Redemption of 450,000 shares		(35,933,119	)

Net addition (redemption) of (200,000) shares		(16,973,052	)

Net investment income (loss)		(65,041	)
Net realized gain (loss)		(8,295,869	)
Change in net unrealized appreciation/depreciation		(400,322	)

Net income (loss)		(8,761,232	)

Shareholders’ equity, at June 30, 2017	$	37,919,363

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(8,761,232	)	$	(29,899,633	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		4,510			79,150
Decrease (Increase) in segregated cash balances with brokers for forward agreements		—			(501,000	)
Purchases of short-term U.S. government and agency obligations		(98,854,629	)		(146,296,845	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		124,561,735			155,730,448
Net amortization and accretion on short-term U.S government and agency obligations		(116,331	)		(74,265	)
Net realized gain (loss) on investments		1,072			943
Change in unrealized appreciation/depreciation on investments		378,322			9,985,484
Decrease (Increase) in receivable on futures contracts		580			(1,260	)
Increase (Decrease) in payable to Sponsor		(28,295	)		(9,501	)
Increase (Decrease) in payable on futures contracts		—			(80	)

Net cash provided by (used in) operating activities		17,185,732			(10,986,559	)

Cash flow from financing activities
Proceeds from addition of shares		18,960,067			58,266,824
Payment on shares redeemed		(35,933,119	)		(47,301,845	)

Net cash provided by (used in) financing activities		(16,973,052	)		10,964,979

Net increase (decrease) in cash		212,680			(21,580	)
Cash, beginning of period		120,840			151,638

Cash, end of period	$	333,520		$	130,058

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	4,905,398	$	86,051
Segregated cash balances with brokers for futures contracts		11,000		14,300
Segregated cash balances with brokers for forward agreements		738,500		—
Short-term U.S. government and agency obligations (Note 3) (cost $14,988,085 and $21,549,766, respectively)		14,988,576		21,550,319
Unrealized appreciation on forward agreements		2,548,749		1,384,246
Receivable on open futures contracts		270		2,290

Total assets		23,192,493		23,037,206

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		16,944		19,550

Total liabilities		16,944		19,550

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		23,175,549		23,017,656

Total liabilities and shareholders’ equity	$	23,192,493	$	23,037,206

Shares outstanding		666,976		616,976

Net asset value per share	$	34.75	$	37.31

Market value per share (Note 2)	$	34.09	$	38.76

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(65% of shareholders’ equity)
U.S. Treasury Bills^^:
0.789% due 07/06/17†	$	3,000,000	$	2,999,814
0.749% due 07/20/17†		4,000,000		3,998,517
0.793% due 07/27/17†		2,000,000		1,998,900
0.861% due 08/03/17†		3,000,000		2,997,778
0.954% due 09/21/17		3,000,000		2,993,567

Total short-term U.S. government and agency obligations (cost $14,988,085)			$	14,988,576

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures—COMEX, expires September 2017		2	$	166,270	$	2,380

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		(1.20	)%		07/07/17	$	(1,067,000	)	$	(17,577,758	)	$	911,231
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		(1.00	)		07/07/17		(614,500	)		(10,123,150	)		675,652
Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver		(0.94	)		07/07/17		(156,000	)		(2,569,913	)		171,589
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		(0.97	)		07/07/17		(966,000	)		(15,913,787	)		790,277

												$2,548,749

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

^	The positions and counterparties herein are as of June 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 June 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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	36,403		$	29,058		$	58,906		$	48,742

Expenses
Management fee		50,752			99,330			96,805			194,741
Brokerage commissions and fees		19			17			29			25

Total expenses		50,771			99,347			96,834			194,766

Net investment income (loss)		(14,368	)		(70,289	)		(37,928	)		(146,024	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		12,900			(16,550	)		20,550			(29,400	)
Forward agreements		618,212			(6,424,268	)		(2,246,699	)		(11,759,922	)
Short-term U.S. government and agency obligations		(20	)		589			(144	)		(2,372	)

Net realized gain (loss)		631,092			(6,440,229	)		(2,226,293	)		(11,791,694	)

Change in net unrealized appreciation/depreciation on
Futures contracts		4,790			(14,090	)		(24,930	)		(18,150	)
Forward agreements		3,017,592			(9,526,266	)		1,164,503			(13,756,304	)
Short-term U.S. government and agency obligations		376			(4,305	)		(62	)		1,465

Change in net unrealized appreciation/depreciation		3,022,758			(9,544,661	)		1,139,511			(13,772,989	)

Net realized and unrealized gain (loss)		3,653,850			(15,984,890	)		(1,086,782	)		(25,564,683	)

Net income (loss)	$	3,639,482		$	(16,055,179	)	$	(1,124,710	)	$	(25,710,707	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	23,017,656
Addition of 500,000 shares		16,158,593
Redemption of 450,000 shares		(14,875,990	)

Net addition (redemption) of 50,000 shares		1,282,603

Net investment income (loss)		(37,928	)
Net realized gain (loss)		(2,226,293	)
Change in net unrealized appreciation/depreciation		1,139,511

Net income (loss)		(1,124,710	)

Shareholders’ equity, at June 30, 2017	$	23,175,549

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(1,124,710	)	$	(25,710,707	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		3,300			880
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(738,500	)		—
Purchases of short-term U.S. government and agency obligations		(62,933,625	)		(87,581,881	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		69,554,048			99,261,715
Net amortization and accretion on short-term U.S government and agency obligations		(58,886	)		(48,742	)
Net realized gain (loss) on investments		144			2,372
Change in unrealized appreciation/depreciation on investments		(1,164,441	)		13,754,839
Decrease (Increase) in receivable on futures contracts		2,020			390
Increase (Decrease) in payable to Sponsor		(2,606	)		(17,255	)
Increase (Decrease) in payable on futures contracts		—			2,160

Net cash provided by (used in) operating activities		3,536,744			(336,229	)

Cash flow from financing activities
Proceeds from addition of shares		16,158,593			50,115,414
Payment on shares redeemed		(14,875,990	)		(48,325,425	)

Net cash provided by (used in) financing activities		1,282,603			1,789,989

Net increase (decrease) in cash		4,819,347			1,453,760
Cash, beginning of period		86,051			514,784

Cash, end of period	$	4,905,398		$	1,968,544

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	1,269,918	$	2,292,012
Segregated cash balances with brokers for futures contracts		168,630		402,600
Short-term U.S. government and agency obligations (Note 3) (cost $8,993,712 and $13,164,807, respectively)		8,993,811		13,164,828
Receivable on open futures contracts		11,406		—

Total assets		10,443,765		15,859,440

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		76,666
Payable to Sponsor		9,773		12,686

Total liabilities		9,773		89,352

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		10,433,992		15,770,088

Total liabilities and shareholders’ equity	$	10,443,765	$	15,859,440

Shares outstanding		250,000		350,000

Net asset value per share	$	41.74	$	45.06

Market value per share (Note 2)	$	41.71	$	45.12

See accompanying notes to financial statements.

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(86% of shareholders’ equity)
U.S. Treasury Bills^^:
0.813% due 07/20/17	$	6,000,000	$	5,997,776
0.828% due 08/24/17		3,000,000		2,996,035

Total short-term U.S. government and agency obligations (cost $8,993,712)			$	8,993,811

Futures Contracts Sold


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Euro Fx Currency Futures—CME, expires September 2017		73	$	10,463,638	$	(185,581	)

^^	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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	22,784		$	8,531		$	38,480		$	14,669

Expenses
Management fee		34,086			38,959			70,653			79,492
Brokerage commissions and fees		453			679			1,103			1,429

Total expenses		34,539			39,638			71,756			80,921

Net investment income (loss)		(11,755	)		(31,107	)		(33,276	)		(66,252	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(817,763	)		(472,606	)		(735,506	)		(526,800	)
Short-term U.S. government and agency obligations		(277	)		—			(277	)		33

Net realized gain (loss)		(818,040	)		(472,606	)		(735,783	)		(526,767	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(65,818	)		926,538			(318,481	)		218,031
Short-term U.S. government and agency obligations		(231	)		(1,087	)		78			387

Change in net unrealized appreciation/depreciation		(66,049	)		925,451			(318,403	)		218,418

Net realized and unrealized gain (loss)		(884,089	)		452,845			(1,054,186	)		(308,349	)

Net income (loss)	$	(895,844	)	$	421,738		$	(1,087,462	)	$	(374,601	)

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	15,770,088
Redemption of 100,000 shares		(4,248,634	)

Net addition (redemption) of (100,000) shares		(4,248,634	)

Net investment income (loss)		(33,276	)
Net realized gain (loss)		(735,783	)
Change in net unrealized appreciation/depreciation		(318,403	)

Net income (loss)		(1,087,462	)

Shareholders’ equity, at June 30, 2017	$	10,433,992

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(1,087,462	)	$	(374,601	)
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		233,970			6,517
Purchases of short-term U.S. government and agency obligations		(39,955,220	)		(29,469,778	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		44,164,518			29,851,934
Net amortization and accretion on short-term U.S government and agency obligations		(38,480	)		(14,669	)
Net realized gain (loss) on investments		277			(33	)
Change in unrealized appreciation/depreciation on investments		(78	)		(387	)
Decrease (Increase) in receivable on futures contracts		(11,406	)		37,341
Increase (Decrease) in payable to Sponsor		(2,913	)		(948	)
Increase (Decrease) in payable on futures contracts		(76,666	)		—

Net cash provided by (used in) operating activities		3,226,540			35,376

Cash flow from financing activities
Proceeds from addition of shares		—			2,109,382
Payment on shares redeemed		(4,248,634	)		(2,120,031	)

Net cash provided by (used in) financing activities		(4,248,634	)		(10,649	)

Net increase (decrease) in cash		(1,022,094	)		24,727
Cash, beginning of period		2,292,012			1,783,802

Cash, end of period	$	1,269,918		$	1,808,529

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	1,558,681	$	2,834,389
Segregated cash balances with brokers for futures contracts		446,160		914,760
Short-term U.S. government and agency obligations (Note 3) (cost $9,995,712 and $12,909,895, respectively)		9,996,293		12,909,619

Total assets		12,001,134		16,658,768

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		15,600		32,340
Payable to Sponsor		10,560		12,955

Total liabilities		26,160		45,295

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		11,974,974		16,613,473

Total liabilities and shareholders’ equity	$	12,001,134	$	16,658,768

Shares outstanding		250,000		300,000

Net asset value per share	$	47.90	$	55.38

Market value per share (Note 2)	$	47.80	$	55.24

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(83% of shareholders’ equity)
U.S. Treasury Bills^^:
0.813% due 07/20/17	$	10,000,000	$	9,996,293

Total short-term U.S. government and agency obligations (cost $9,995,712)			$	9,996,293


Futures Contracts Sold

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Australian Dollar Fx Currency Futures—CME, expires September 2017		312	$	23,946,000	$	(458,310	)

^^	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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	21,253		$	12,258		$	35,524		$	20,043

Expenses
Management fee		34,714			44,642			69,846			93,486
Brokerage commissions and fees		2,065			3,774			4,533			7,744

Total expenses		36,779			48,416			74,379			101,230

Net investment income (loss)		(15,526	)		(36,158	)		(38,855	)		(81,187	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		64,976			(455,053	)		(467,251	)		(2,143,492	)
Short-term U.S. government and agency obligations		(155	)		219			(155	)		219

Net realized gain (loss)		64,821			(454,834	)		(467,406	)		(2,143,273	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(208,036	)		1,177,517			(1,640,650	)		475,987
Short-term U.S. government and agency obligations		570			(1,319	)		857			1,513

Change in net unrealized appreciation/depreciation		(207,466	)		1,176,198			(1,639,793	)		477,500

Net realized and unrealized gain (loss)		(142,645	)		721,364			(2,107,199	)		(1,665,773	)

Net income (loss)	$	(158,171	)	$	685,206		$	(2,146,054	)	$	(1,746,960	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	16,613,473
Redemption of 50,000 shares		(2,492,445	)

Net addition (redemption) of (50,000) shares		(2,492,445	)

Net investment income (loss)		(38,855	)
Net realized gain (loss)		(467,406	)
Change in net unrealized appreciation/depreciation		(1,639,793	)

Net income (loss)		(2,146,054	)

Shareholders’ equity, at June 30, 2017	$	11,974,974

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(2,146,054	)	$	(1,746,960	)
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		468,600			(936,895	)
Purchases of short-term U.S. government and agency obligations		(48,960,668	)		(21,186,216	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		51,910,220			23,690,750
Net amortization and accretion on short-term U.S government and agency obligations		(35,524	)		(20,043	)
Net realized gain (loss) on investments		155			(219	)
Change in unrealized appreciation/depreciation on investments		(857	)		(1,513	)
Decrease (Increase) in receivable on futures contracts		—			52,491
Increase (Decrease) in payable to Sponsor		(2,395	)		(1,942	)
Increase (Decrease) in payable on futures contracts		(16,740	)		24,787

Net cash provided by (used in) operating activities		1,216,737			(125,760	)

Cash flow from financing activities
Payment on shares redeemed		(2,492,445	)		(314	)

Net cash provided by (used in) financing activities		(2,492,445	)		(314	)

Net increase (decrease) in cash		(1,275,708	)		(126,074	)
Cash, beginning of period		2,834,389			1,958,996

Cash, end of period	$	1,558,681		$	1,832,922

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	585,186	$	2,916,502
Short-term U.S. government and agency obligations (Note 3) (cost $242,820,951 and $337,373,566, respectively)		242,826,389		337,375,787
Unrealized appreciation on foreign currency forward contracts		810,212		16,519,070

Total assets		244,221,787		356,811,359

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		6,771,472
Payable to Sponsor		195,229		291,098
Unrealized depreciation on foreign currency forward contracts		7,013,652		356,139

Total liabilities		7,208,881		7,418,709

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		237,012,906		349,392,650

Total liabilities and shareholders’ equity	$	244,221,787	$	356,811,359

Shares outstanding		10,250,000		12,900,000

Net asset value per share	$	23.12	$	27.08

Market value per share (Note 2)	$	23.12	$	27.08

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(102% of shareholders’ equity)
U.S. Treasury Bills^^:
0.784% due 07/06/17†	$	36,000,000	$	35,997,764
0.785% due 07/13/17†		47,000,000		46,989,947
0.818% due 07/20/17†		60,000,000		59,977,758
0.864% due 07/27/17		21,000,000		20,988,450
0.832% due 08/24/17†		45,000,000		44,940,523
0.908% due 09/07/17		15,000,000		14,973,875
0.907% due 09/14/17		5,000,000		4,990,368
0.954% due 09/21/17†		6,000,000		5,987,134
1.004% due 09/28/17		8,000,000		7,980,570

Total short-term U.S. government and agency obligations (cost $242,820,951)			$	242,826,389


Foreign Currency Forward Contracts^

	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		07/07/17		50,410,500		$	57,577,190		$	810,212
Euro with UBS AG		07/07/17		10,265,000			11,724,340			(1,437	)

									$	808,775

Contracts to Sell
Euro with Goldman Sachs International		07/07/17		(259,346,725	)	$	(296,217,173	)	$	(3,884,633	)
Euro with UBS AG		07/07/17		(216,746,100	)		(247,560,161	)		(3,127,582	)

									$	(7,012,215	)

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

^	The positions and counterparties herein are as of June 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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	508,339		$	255,428		$	893,083		$	516,867

Expenses
Management fee		633,812			921,922			1,377,577			1,988,314

Total expenses		633,812			921,922			1,377,577			1,988,314

Net investment income (loss)		(125,473	)		(666,494	)		(484,494	)		(1,471,447	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(36,508,674	)		(26,140,318	)		(20,829,055	)		(55,054,450	)
Short-term U.S. government and agency obligations		(837	)		6,294			(2,462	)		(1,618	)

Net realized gain (loss)		(36,509,511	)		(26,134,024	)		(20,831,517	)		(55,056,068	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		1,694,586			45,156,342			(22,366,371	)		32,953,944
Short-term U.S. government and agency obligations		9,774			(62,232	)		3,217			31,042

Change in net unrealized appreciation/depreciation		1,704,360			45,094,110			(22,363,154	)		32,984,986

Net realized and unrealized gain (loss)		(34,805,151	)		18,960,086			(43,194,671	)		(22,071,082	)

Net income (loss)	$	(34,930,624	)	$	18,293,592		$	(43,679,165	)	$	(23,542,529	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	349,392,650
Addition of 450,000 shares		11,821,984
Redemption of 3,100,000 shares		(80,522,563	)

Net addition (redemption) of (2,650,000) shares		(68,700,579	)

Net investment income (loss)		(484,494	)
Net realized gain (loss)		(20,831,517	)
Change in net unrealized appreciation/depreciation		(22,363,154	)

Net income (loss)		(43,679,165	)

Shareholders’ equity, at June 30, 2017	$	237,012,906

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(43,679,165	)	$	(23,542,529	)
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		(907,040,479	)		(665,608,389	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		1,002,483,715			845,593,256
Net amortization and accretion on short-term U.S government and agency obligations		(893,083	)		(516,867	)
Net realized gain (loss) on investments		2,462			1,618
Change in unrealized appreciation/depreciation on investments		22,363,154			(32,984,986	)
Increase (Decrease) in payable to Sponsor		(95,869	)		(117,845	)

Net cash provided by (used in) operating activities		73,140,735			107,021,258

Cash flow from financing activities
Proceeds from addition of shares		11,821,984			10,558,897
Payment on shares redeemed		(87,294,035	)		(127,770,211	)

Net cash provided by (used in) financing activities		(75,472,051	)		(117,211,314	)

Net increase (decrease) in cash		(2,331,316	)		(10,190,056	)
Cash, beginning of period		2,916,502			10,372,583

Cash, end of period	$	585,186		$	182,527

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	212,590	$	3,166,988
Short-term U.S. government and agency obligations (Note 3) (cost $160,904,345 and $257,103,135, respectively)		160,907,022		257,102,313
Unrealized appreciation on foreign currency forward contracts		10,340,251		16,870,357

Total assets		171,459,863		277,139,658

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		133,848		232,491
Unrealized depreciation on foreign currency forward contracts		1,009,863		125,420

Total liabilities		1,143,711		357,911

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		170,316,152		276,781,747

Total liabilities and shareholders’ equity	$	171,459,863	$	277,139,658

Shares outstanding		2,299,290		3,449,290

Net asset value per share	$	74.07	$	80.24

Market value per share (Note 2)	$	74.05	$	80.25

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(95% of shareholders’ equity)
U.S. Treasury Bills^^:
0.784% due 07/06/17†	$	36,000,000	$	35,997,764
0.758% due 07/13/17†		25,000,000		24,994,653
0.810% due 07/20/17†		53,000,000		52,980,353
0.839% due 08/24/17†		41,000,000		40,945,810
0.907% due 09/14/17†		6,000,000		5,988,442

Total short-term U.S. government and agency obligations (cost $160,904,345)			$	160,907,022


Foreign Currency Forward Contracts^

	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		07/07/17		3,810,442,000		$	33,877,771		$	(843,357	)
Yen with UBS AG		07/07/17		948,807,900			8,435,635			(166,506	)

									$	(1,009,863	)

Contracts to Sell
Yen with Goldman Sachs International		07/07/17		(23,235,467,800	)	$	(206,581,246	)	$	5,573,347
Yen with UBS AG		07/07/17		(19,833,775,700	)		(176,337,578	)		4,766,904

									$	10,340,251

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

^	The positions and counterparties herein are as of June 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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	360,252		$	104,491		$	683,531		$	172,839

Expenses
Management fee		457,413			429,269			1,092,436			898,414

Total expenses		457,413			429,269			1,092,436			898,414

Net investment income (loss)		(97,161	)		(324,778	)		(408,905	)		(725,575	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(16,189,926	)		(15,080,710	)		(16,461,160	)		(52,697,386	)
Short-term U.S. government and agency obligations		(1,402	)		341			(2,822	)		(5,794	)

Net realized gain (loss)		(16,191,328	)		(15,080,369	)		(16,463,982	)		(52,703,180	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		19,220,415			(17,976,490	)		(7,414,549	)		(9,064,322	)
Short-term U.S. government and agency obligations		10,384			(8,597	)		3,499			24,591

Change in net unrealized appreciation/depreciation		19,230,799			(17,985,087	)		(7,411,050	)		(9,039,731	)

Net realized and unrealized gain (loss)		3,039,471			(33,065,456	)		(23,875,032	)		(61,742,911	)

Net income (loss)	$	2,942,310		$	(33,390,234	)	$	(24,283,937	)	$	(62,468,486	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	276,781,747
Addition of 750,000 shares		58,094,887
Redemption of 1,900,000 shares		(140,276,545	)

Net addition (redemption) of (1,150,000) shares		(82,181,658	)

Net investment income (loss)		(408,905	)
Net realized gain (loss)		(16,463,982	)
Change in net unrealized appreciation/depreciation		(7,411,050	)

Net income (loss)		(24,283,937	)

Shareholders’ equity, at June 30, 2017	$	170,316,152

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(24,283,937	)	$	(62,468,486	)
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		(725,268,046	)		(375,205,996	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		822,147,545			426,390,868
Net amortization and accretion on short-term U.S government and agency obligations		(683,531	)		(172,839	)
Net realized gain (loss) on investments		2,822			5,794
Change in unrealized appreciation/depreciation on investments		7,411,050			9,039,731
Increase (Decrease) in payable to Sponsor		(98,643	)		(62,803	)

Net cash provided by (used in) operating activities		79,227,260			(3,747,731	)

Cash flow from financing activities
Proceeds from addition of shares		58,094,887			48,751,977
Payment on shares redeemed		(140,276,545	)		(45,072,219	)

Net cash provided by (used in) financing activities		(82,181,658	)		3,679,758

Net increase (decrease) in cash		(2,954,398	)		(67,973	)
Cash, beginning of period		3,166,988			276,968

Cash, end of period	$	212,590		$	208,995

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	6,038,406	$	1,401,555
Segregated cash balances with brokers for futures contracts		23,234,750		20,609,600
Short-term U.S. government and agency obligations (Note 3) (cost $1,011,011,518 and $885,046,303, respectively)		1,011,044,484		885,050,007
Unrealized appreciation on swap agreements		—		55,358,571
Receivable on open futures contracts		9,209,410		—

Total assets		1,049,527,050		962,419,733

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		31,402,424		25,879,004
Payable on open futures contracts		—		1,993,438
Brokerage commissions and fees payable		—		2,332
Payable to Sponsor		665,676		813,099
Unrealized depreciation on swap agreements		58,755,439		—

Total liabilities		90,823,539		28,687,873

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		958,703,511		933,731,860

Total liabilities and shareholders’ equity	$	1,049,527,050	$	962,419,733

Shares outstanding		64,761,317		40,013,933

Net asset value per share	$	14.80	$	23.34

Market value per share (Note 2)	$	14.86	$	23.36

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(105% of shareholders’ equity)
U.S. Treasury Bills^^:
0.768% due 07/06/17†	$	74,000,000	$	73,995,405
0.773% due 07/13/17†		80,000,000		79,982,888
0.800% due 07/20/17†		139,000,000		138,948,473
0.820% due 07/27/17†		152,000,000		151,916,400
0.869% due 08/03/17†		121,000,000		120,910,387
0.912% due 08/10/17†		91,000,000		90,917,390
0.865% due 08/17/17		22,000,000		21,974,975
0.868% due 08/24/17†		91,000,000		90,879,725
0.899% due 08/31/17		18,000,000		17,972,417
0.909% due 09/07/17		74,000,000		73,871,114
0.907% due 09/14/17†		50,000,000		49,903,680
0.954% due 09/21/17†		51,000,000		50,890,636
1.004% due 09/28/17		49,000,000		48,880,994

Total short-term U.S. government and agency obligations (cost $1,011,011,518)			$	1,011,044,484


Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil—NYMEX, expires September 2017		8,449	$	391,104,210	$	546,865


Swap Agreements^

	Rate Paid (Received)*			Termination Date		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Swap agreement with Citibank N.A. based on Bloomberg WTI Crude Oil Subindex		0.18	%		07/07/17	$	530,103,536	$	(21,112,406	)
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25			07/07/17		440,733,506		(16,228,837	)
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25			07/07/17		128,321,260		(6,679,835	)
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25			07/07/17		427,123,991		(14,734,361	)

								$	(58,755,439	)

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

^	The positions and counterparties herein are as of June 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 June 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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	1,572,668		$	498,531		$	2,617,079		$	949,595

Expenses
Management fee		2,013,640			2,100,452			3,975,239			3,913,130
Brokerage commissions and fees		68,950			166,881			106,267			331,194

Total expenses		2,082,590			2,267,333			4,081,506			4,244,324

Net investment income (loss)		(509,922	)		(1,768,802	)		(1,464,427	)		(3,294,729	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(32,269,690	)		143,306,155			(34,964,008	)		36,948,486
Swap agreements		(136,327,308	)		223,376,017			(134,045,077	)		76,397,686
Short-term U.S. government and agency obligations		(1,238	)		12,969			(6,249	)		(15,690	)

Net realized gain (loss)		(168,598,236	)		366,695,141			(169,015,334	)		113,330,482

Change in net unrealized appreciation/depreciation on
Futures contracts		14,488,348			(67,940,201	)		(4,990,300	)		5,835,668
Swap agreements		14,272,649			(2,455,855	)		(114,114,010	)		18,897,819
Short-term U.S. government and agency obligations		28,195			(107,007	)		29,262			26,005

Change in net unrealized appreciation/depreciation		28,789,192			(70,503,063	)		(119,075,048	)		24,759,492

Net realized and unrealized gain (loss)		(139,809,044	)		296,192,078			(288,090,382	)		138,089,974

Net income (loss)	$	(140,318,966	)	$	294,423,276		$	(289,554,809	)	$	134,795,245

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	933,731,860
Addition of 61,200,000 shares		1,039,652,714
Redemption of 36,452,616 shares		(725,126,254	)

Net addition (redemption) of 24,747,384 shares		314,526,460

Net investment income (loss)		(1,464,427	)
Net realized gain (loss)		(169,015,334	)
Change in net unrealized appreciation/depreciation		(119,075,048	)

Net income (loss)		(289,554,809	)

Shareholders’ equity, at June 30, 2017	$	958,703,511

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(289,554,809	)	$	134,795,245
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		(2,625,150	)		19,521,810
Decrease (Increase) in segregated cash balances with brokers for forward agreements		—			(6,961,000	)
Purchases of short-term U.S. government and agency obligations		(2,966,410,064	)		(1,945,030,052	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		2,843,055,679			1,828,604,878
Net amortization and accretion on short-term U.S government and agency obligations		(2,617,079	)		(949,595	)
Net realized gain (loss) on investments		6,249			15,690
Change in unrealized appreciation/depreciation on investments		114,084,748			(18,923,824	)
Decrease (Increase) in receivable on futures contracts		(9,209,410	)		5,150,763
Increase (Decrease) in payable to Sponsor		(147,423	)		59,258
Increase (Decrease) in brokerage commissions and fees payable		(2,332	)		(3,308	)
Increase (Decrease) in payable on futures contracts		(1,993,438	)		10,498,791

Net cash provided by (used in) operating activities		(315,413,029	)		26,778,656

Cash flow from financing activities
Proceeds from addition of shares		1,039,652,714			535,278,182
Payment on shares redeemed		(719,602,834	)		(561,445,160	)

Net cash provided by (used in) financing activities		320,049,880			(26,166,978	)

Net increase (decrease) in cash		4,636,851			611,678
Cash, beginning of period		1,401,555			4,008,379

Cash, end of period	$	6,038,406		$	4,620,057

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENT OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)
Assets
Cash	$	15,658,710
Segregated cash balances with brokers for futures contracts		3,654,750
Receivable on open futures contracts		1,217,969
Offering costs (Note 5)		108,555
Limitation by Sponsor		8,302

Total assets		20,648,286

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

Total liabilities		148,400

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		20,499,886

Total liabilities and shareholders’ equity	$	20,648,286

Shares outstanding		1,050,008

Net asset value per share	$	19.52

Market value per share (Note 2)	$	19.68

*	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

JUNE 30, 2017

(unaudited)


Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil—NYMEX, expires September 2017		1,329	$	61,519,410	$	578,453

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30, 2017			January 13, 2017 (Inception) through June 30, 2017
Investment Income
Expenses
Brokerage commissions and fees	$	10,401		$	11,274
Offering costs		36,999			39,845
Limitation by Sponsor		(6,401	)		(8,302	)

Total expenses		40,999			42,817

Net investment income (loss)		(40,999	)		(42,817	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,832,876	)		(1,833,835	)

Net realized gain (loss)		(1,832,876	)		(1,833,835	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(272,129	)		578,453

Change in net unrealized appreciation/depreciation		(272,129	)		578,453

Net realized and unrealized gain (loss)		(2,105,005	)		(1,255,382	)

Net income (loss)	$	(2,146,004	)	$	(1,298,199	)

*	Since the Fund’s inception date was January 13, 2017, the Statements of Operations for the three and six months ended June 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 JUNE 30, 2017

(unaudited)


Shareholders’ equity, at January 13, 2017 (Inception)	$	—
Addition of 1,150,008 shares		24,649,481
Redemption of 100,000 shares		(2,851,396	)

Net addition (redemption) of 1,050,008 shares		21,798,085

Net investment income (loss)		(42,817	)
Net realized gain (loss)		(1,833,835	)
Change in net unrealized appreciation/depreciation		578,453

Net income (loss)		(1,298,199	)

Shareholders’ equity, at June 30, 2017	$	20,499,886

See accompanying notes to financial statements.

PROSHARES ULTRAPRO 3X CRUDE OIL ETF*

STATEMENT OF CASH FLOWS

(unaudited)


	January 13, 2017 (Inception) through June 30, 2017
Cash flow from operating activities
Net income (loss)	$	(1,298,199	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(3,654,750	)
Decrease (Increase) in receivable on futures contracts		(1,217,969	)
Decrease (Increase) in Limitation by Sponsor		(8,302	)
Change in offering cost		(108,555	)
Increase (Decrease) in payable for offering costs		148,400

Net cash provided by (used in) operating activities		(6,139,375	)

Cash flow from financing activities
Proceeds from addition of shares		24,649,481
Payment on shares redeemed		(2,851,396	)

Net cash provided by (used in) financing activities		21,798,085

Net increase (decrease) in cash		15,658,710
Cash, beginning of period		—

Cash, end of period	$	15,658,710

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	247,588	$	971,442
Segregated cash balances with brokers for futures contracts		5,893,360		7,612,770
Short-term U.S. government and agency obligations (Note 3) (cost $37,939,135 and $36,183,384, respectively)		37,938,991		36,183,648

Total assets		44,079,939		44,767,860

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		161,716		1,528,005
Brokerage commissions and fees payable		—		433
Payable to Sponsor		31,609		36,036

Total liabilities		193,325		1,564,474

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		43,886,614		43,203,386

Total liabilities and shareholders’ equity	$	44,079,939	$	44,767,860

Shares outstanding		4,492,169		2,292,169

Net asset value per share	$	9.77	$	18.85

Market value per share (Note 2)	$	9.74	$	18.96

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(86% of shareholders’ equity)
U.S. Treasury Bills^^:
0.861% due 08/17/17	$	3,000,000	$	2,996,587
0.895% due 08/24/17		15,000,000		14,980,175
0.908% due 09/07/17		10,000,000		9,982,583
0.907% due 09/14/17		5,000,000		4,990,368
0.954% due 09/21/17		5,000,000		4,989,278

Total short-term U.S. government and agency obligations (cost $37,939,135)			$	37,938,991


Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas—NYMEX September 2017		2,896	$	87,777,760	$	106,821

^^	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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	62,796		$	15,411		$	106,835		$	27,143

Expenses
Management fee		99,053			75,122			207,945			143,866
Brokerage commissions and fees		25,411			40,615			47,065			72,364

Total expenses		124,464			115,737			255,010			216,230

Net investment income (loss)		(61,668	)		(100,326	)		(148,175	)		(189,087	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(4,648,049	)		10,484,507			(19,025,765	)		4,627,286
Short-term U.S. government and agency obligations		(253	)		829			(672	)		(669	)

Net realized gain (loss)		(4,648,302	)		10,485,336			(19,026,437	)		4,626,617

Change in net unrealized appreciation/depreciation on
Futures contracts		(3,330,323	)		7,854,286			(2,429,899	)		657,141
Short-term U.S. government and agency obligations		(901	)		(2,350	)		(408	)		(151	)

Change in net unrealized appreciation/depreciation		(3,331,224	)		7,851,936			(2,430,307	)		656,990

Net realized and unrealized gain (loss)		(7,979,526	)		18,337,272			(21,456,744	)		5,283,607

Net income (loss)	$	(8,041,194	)	$	18,236,946		$	(21,604,919	)	$	5,094,520

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	43,203,386
Addition of 4,000,000 shares		44,413,082
Redemption of 1,800,000 shares		(22,124,935	)

Net addition (redemption) of 2,200,000 shares		22,288,147

Net investment income (loss)		(148,175	)
Net realized gain (loss)		(19,026,437	)
Change in net unrealized appreciation/depreciation		(2,430,307	)

Net income (loss)		(21,604,919	)

Shareholders’ equity, at June 30, 2017	$	43,886,614

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	(21,604,919	)	$	5,094,520
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		1,719,410			2,037,640
Purchases of short-term U.S. government and agency obligations		(127,836,007	)		(68,130,394	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		126,186,419			60,123,414
Net amortization and accretion on short-term U.S government and agency obligations		(106,835	)		(27,143	)
Net realized gain (loss) on investments		672			669
Change in unrealized appreciation/depreciation on investments		408			151
Decrease (Increase) in receivable on futures contracts		—			1,911,687
Increase (Decrease) in payable to Sponsor		(4,427	)		5,032
Increase (Decrease) in brokerage commissions and fees payable		(433	)		67
Increase (Decrease) in payable on futures contracts		(1,366,289	)		—

Net cash provided by (used in) operating activities		(23,012,001	)		1,015,643

Cash flow from financing activities
Proceeds from addition of shares		44,413,082			14,615,097
Payment on shares redeemed		(22,124,935	)		(15,204,840	)

Net cash provided by (used in) financing activities		22,288,147			(589,743	)

Net increase (decrease) in cash		(723,854	)		425,900
Cash, beginning of period		971,442			1,411,137

Cash, end of period	$	247,588		$	1,837,037

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	721,726	$	1,262,351
Segregated cash balances with brokers for futures contracts		8,690		13,200
Short-term U.S. government and agency obligations (Note 3) (cost $95,955,579 and $95,356,703, respectively)		95,959,312		95,356,621

Total assets		96,689,728		96,632,172

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		1,360		1,280
Payable to Sponsor		73,048		72,585
Unrealized depreciation on forward agreements		7,897,486		4,431,107

Total liabilities		7,971,894		4,504,972

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		88,717,834		92,127,200

Total liabilities and shareholders’ equity	$	96,689,728	$	96,632,172

Shares outstanding		2,350,000		2,800,000

Net asset value per share	$	37.75	$	32.90

Market value per share (Note 2)	$	37.68	$	33.20

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(108% of shareholders’ equity)
U.S. Treasury Bills^^:
0.784% due 07/06/17	$	3,000,000	$	2,999,814
0.757% due 07/13/17†		49,000,000		48,989,519
0.817% due 07/20/17†		34,000,000		33,987,396
0.908% due 09/07/17		10,000,000		9,982,583

Total short-term U.S. government and agency obligations (cost $95,955,579)			$	95,959,312


Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires August 2017		2	$	248,460	$	3,000


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		1.60	%		07/07/17	$	48,800	$	60,635,464	$	(2,727,933	)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		1.73			07/07/17		37,520		46,619,350		(2,089,538	)
Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold		1.73			07/07/17		18,000		22,365,360		(1,052,226	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		1.70			07/07/17		38,300		47,588,516		(2,027,789	)

										$	(7,897,486	)

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

^	The positions and counterparties herein are as of June 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 June 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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	178,660		$	59,634		$	300,135		$	106,020

Expenses
Management fee		225,316			221,251			467,757			420,073
Brokerage commissions and fees		10			8			29			25

Total expenses		225,326			221,259			467,786			420,098

Net investment income (loss)		(46,666	)		(161,625	)		(167,651	)		(314,078	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		3,280			2,040			(5,821	)		38,600
Forward agreements		8,449,061			(4,911,577	)		17,905,652			21,035,479
Short-term U.S. government and agency obligations		653			177			548			103

Net realized gain (loss)		8,452,994			(4,909,360	)		17,900,379			21,074,182

Change in net unrealized appreciation/depreciation on
Futures contracts		(5,740	)		14,460			21,960			12,780
Forward agreements		(9,839,036	)		16,117,052			(3,466,379	)		13,200,000
Short-term U.S. government and agency obligations		3,638			(9,368	)		3,815			1,958

Change in net unrealized appreciation/depreciation		(9,841,138	)		16,122,144			(3,440,604	)		13,214,738

Net realized and unrealized gain (loss)		(1,388,144	)		11,212,784			14,459,775			34,288,920

Net income (loss)	$	(1,434,810	)	$	11,051,159		$	14,292,124		$	33,974,842

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	92,127,200
Addition of 350,000 shares		12,476,159
Redemption of 800,000 shares		(30,177,649	)

Net addition (redemption) of (450,000) shares		(17,701,490	)

Net investment income (loss)		(167,651	)
Net realized gain (loss)		17,900,379
Change in net unrealized appreciation/depreciation		(3,440,604	)

Net income (loss)		14,292,124

Shareholders’ equity, at June 30, 2017	$	88,717,834

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	14,292,124		$	33,974,842
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		4,510			(3,850	)
Purchases of short-term U.S. government and agency obligations		(248,693,041	)		(166,483,272	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		248,394,829			149,554,859
Net amortization and accretion on short-term U.S government and agency obligations		(300,116	)		(106,020	)
Net realized gain (loss) on investments		(548	)		(103	)
Change in unrealized appreciation/depreciation on investments		3,462,564			(13,201,958	)
Decrease (Increase) in receivable on futures contracts		—			80
Increase (Decrease) in payable to Sponsor		463			16,426
Increase (Decrease) in payable on futures contracts		80			1,260

Net cash provided by (used in) operating activities		17,160,865			3,752,264

Cash flow from financing activities
Proceeds from addition of shares		12,476,159			4,103,970
Payment on shares redeemed		(30,177,649	)		(7,153,734	)

Net cash provided by (used in) financing activities		(17,701,490	)		(3,049,764	)

Net increase (decrease) in cash		(540,625	)		702,500
Cash, beginning of period		1,262,351			251,524

Cash, end of period	$	721,726		$	954,024

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	620,096	$	1,664,601
Segregated cash balances with brokers for futures contracts		11,000		14,300
Short-term U.S. government and agency obligations (Note 3) (cost $280,769,796 and $295,296,440, respectively)		280,780,815		295,300,799

Total assets		281,411,911		296,979,700

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		270		2,290
Payable to Sponsor		207,122		221,281
Unrealized depreciation on forward agreements		35,405,955		20,976,189

Total liabilities		35,613,347		21,199,760

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		245,798,564		275,779,940

Total liabilities and shareholders’ equity	$	281,411,911	$	296,979,700

Shares outstanding		7,396,526		8,246,526

Net asset value per share	$	33.23	$	33.44

Market value per share (Note 2)	$	33.82	$	32.09

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(114% of shareholders’ equity)
U.S. Treasury Bills^^:
0.786% due 07/06/17†	$	37,000,000	$	36,997,702
0.766% due 07/13/17†		90,000,000		89,980,749
0.866% due 07/20/17		25,000,000		24,990,733
0.871% due 07/27/17†		41,000,000		40,977,450
0.917% due 08/24/17		14,000,000		13,981,496
0.908% due 09/07/17		30,000,000		29,947,749
0.907% due 09/14/17†		15,000,000		14,971,104
0.954% due 09/21/17†		15,000,000		14,967,834
1.004% due 09/28/17		14,000,000		13,965,998

Total short-term U.S. government and agency obligations (cost $280,769,796)			$	280,780,815


Futures Contracts Purchased

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires September 2017		2	$	166,270	$	(2,380	)


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		1.70	%		07/07/17	$	10,614,000	$	174,855,036	$	(12,900,135	)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		1.85			07/07/17		7,710,800		127,026,177		(8,565,734	)
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		1.84			07/07/17		3,784,000		62,336,859		(4,889,267	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		1.87			07/07/17		7,721,000		127,194,982		(9,050,819	)

										$	(35,405,955	)

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

^	The positions and counterparties herein are as of June 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 June 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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	518,829		$	188,656		$	884,169		$	310,266

Expenses
Management fee		651,232			741,794			1,358,786			1,322,264
Brokerage commissions and fees		29			17			39			27

Total expenses		651,261			741,811			1,358,825			1,322,291

Net investment income (loss)		(132,432	)		(553,155	)		(474,656	)		(1,012,025	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(13,026	)		15,900			(20,826	)		35,100
Forward agreements		(10,926,116	)		21,367,809			19,283,572			55,463,053
Short-term U.S. government and agency obligations		97			2,806			198			2,226

Net realized gain (loss)		(10,939,045	)		21,386,515			19,262,944			55,500,379

Change in net unrealized appreciation/depreciation on
Futures contracts		(4,740	)		14,741			24,980			21,160
Forward agreements		(41,681,649	)		86,641,014			(14,429,766	)		98,045,726
Short-term U.S. government and agency obligations		12,512			(39,264	)		6,660			13,743

Change in net unrealized appreciation/depreciation		(41,673,877	)		86,616,491			(14,398,126	)		98,080,629

Net realized and unrealized gain (loss)		(52,612,922	)		108,003,006			4,864,818			153,581,008

Net income (loss)	$	(52,745,354	)	$	107,449,851		$	4,390,162		$	152,568,983

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	275,779,940
Addition of 650,000 shares		22,323,954
Redemption of 1,500,000 shares		(56,695,492	)

Net addition (redemption) of (850,000) shares		(34,371,538	)

Net investment income (loss)		(474,656	)
Net realized gain (loss)		19,262,944
Change in net unrealized appreciation/depreciation		(14,398,126	)

Net income (loss)		4,390,162

Shareholders’ equity, at June 30, 2017	$	245,798,564

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	4,390,162		$	152,568,983
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		3,300			6,600
Decrease (Increase) in segregated cash balances with brokers for forward agreements		—			(2,162,000	)
Purchases of short-term U.S. government and agency obligations		(969,953,635	)		(596,954,106	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		985,364,623			529,322,860
Net amortization and accretion on short-term U.S government and agency obligations		(884,146	)		(310,266	)
Net realized gain (loss) on investments		(198	)		(2,226	)
Change in unrealized appreciation/depreciation on investments		14,423,106			(98,059,469	)
Decrease (Increase) in receivable on futures contracts		—			(2,160	)
Increase (Decrease) in payable to Sponsor		(14,159	)		80,771
Increase (Decrease) in payable on futures contracts		(2,020	)		(1,875	)

Net cash provided by (used in) operating activities		33,327,033			(15,512,888	)

Cash flow from financing activities
Proceeds from addition of shares		22,323,954			45,318,583
Payment on shares redeemed		(56,695,492	)		(29,742,661	)

Net cash provided by (used in) financing activities		(34,371,538	)		15,575,922

Net increase (decrease) in cash		(1,044,505	)		63,034
Cash, beginning of period		1,664,601			243,900

Cash, end of period	$	620,096		$	306,934

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	631,804	$	606,393
Short-term U.S. government and agency obligations (Note 3) (cost $11,995,787 and $11,891,729, respectively)		11,996,425		11,891,831
Unrealized appreciation on foreign currency forward contracts		346,084		2,548

Total assets		12,974,313		12,500,772

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		10,063		9,629
Unrealized depreciation on foreign currency forward contracts		36,171		576,558

Total liabilities		46,234		586,187

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		12,928,079		11,914,585

Total liabilities and shareholders’ equity	$	12,974,313	$	12,500,772

Shares outstanding		800,000		850,000

Net asset value per share	$	16.16	$	14.02

Market value per share (Note 2)	$	16.17	$	14.09

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(93% of shareholders’ equity)
U.S. Treasury Bills^^:
0.777% due 07/13/17†	$	9,000,000	$	8,998,075
0.871% due 07/27/17		3,000,000		2,998,350

Total short-term U.S. government and agency obligations (cost $11,995,787)			$	11,996,425


Foreign Currency Forward Contracts^

	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		07/07/17		14,796,725		$	16,900,325		$	208,555
Euro with UBS AG		07/07/17		9,722,000			11,104,144			137,529

									$346,084

Contracts to Sell
Euro with Goldman Sachs International		07/07/17		(429,500	)	$	(490,561	)	$	(9,425	)
Euro with UBS AG		07/07/17		(1,459,900	)		(1,667,449	)		(26,746	)

									$	(36,171	)

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

^	The positions and counterparties herein are as of June 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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	24,972		$	6,834		$	39,752		$	11,797

Expenses
Management fee		34,480			23,237			64,547			48,943

Total expenses		34,480			23,237			64,547			48,943

Net investment income (loss)		(9,508	)		(16,403	)		(24,795	)		(37,146	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		2,035,177			605,039			1,406,509			1,109,709
Short-term U.S. government and agency obligations		147			217			147			147

Net realized gain (loss)		2,035,324			605,256			1,406,656			1,109,856

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(10,405	)		(1,161,976	)		883,923			(772,534	)
Short-term U.S. government and agency obligations		345			(1,141	)		536			1,367

Change in net unrealized appreciation/depreciation		(10,060	)		(1,163,117	)		884,459			(771,167	)

Net realized and unrealized gain (loss)		2,025,264			(557,861	)		2,291,115			338,689

Net income (loss)	$	2,015,756		$	(574,264	)	$	2,266,320		$	301,543

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	11,914,585
Addition of 750,000 shares		10,734,541
Redemption of 800,000 shares		(11,987,367	)

Net addition (redemption) of (50,000) shares		(1,252,826	)

Net investment income (loss)		(24,795	)
Net realized gain (loss)		1,406,656
Change in net unrealized appreciation/depreciation		884,459

Net income (loss)		2,266,320

Shareholders’ equity, at June 30, 2017	$	12,928,079

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	2,266,320		$	301,543
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(26,852,756	)		(26,640,527	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		26,788,597			28,736,795
Net amortization and accretion on short-term U.S government and agency obligations		(39,752	)		(11,797	)
Net realized gain (loss) on investments		(147	)		(147	)
Change in unrealized appreciation/depreciation on investments		(884,459	)		771,167
Increase (Decrease) in payable to Sponsor		434			(2,402	)

Net cash provided by (used in) operating activities		1,278,237			3,154,632

Cash flow from financing activities
Proceeds from addition of shares		10,734,541			831,691
Payment on shares redeemed		(11,987,367	)		(4,027,778	)

Net cash provided by (used in) financing activities		(1,252,826	)		(3,196,087	)

Net increase (decrease) in cash		25,411			(41,455	)
Cash, beginning of period		606,393			227,310

Cash, end of period	$	631,804		$	185,855

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	2,070,096	$	604,691
Segregated cash balances with brokers for foreign currency forward contracts		145,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $3,998,660 and $5,283,104, respectively)		3,998,906		5,282,879
Unrealized appreciation on foreign currency forward contracts		4,960		379

Total assets		6,218,962		5,887,949

Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor		4,730		4,537
Unrealized depreciation on foreign currency forward contracts		347,829		342,455

Total liabilities		352,559		346,992

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		5,866,403		5,540,957

Total liabilities and shareholders’ equity	$	6,218,962	$	5,887,949

Shares outstanding		99,970		99,970

Net asset value per share	$	58.68	$	55.43

Market value per share (Note 2)	$	58.68	$	55.52

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2017

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(68% of shareholders’ equity)
U.S. Treasury Bills^^:
0.789% due 07/06/17†	$	3,000,000	$	2,999,814
0.912% due 08/10/17		1,000,000		999,092

Total short-term U.S. government and agency obligations (cost $3,998,660)			$	3,998,906


Foreign Currency Forward Contracts^

	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		07/07/17		759,505,400		$	6,752,589		$	(193,364	)
Yen with UBS AG		07/07/17		607,794,000			5,403,758			(154,465	)

									$	(347,829	)

Contracts to Sell
Yen with Goldman Sachs International		07/07/17		(32,285,500	)	$	(287,043	)	$	4,499
Yen with UBS AG		07/07/17		(15,379,200	)		(136,733	)		461

									$	4,960

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

^	The positions and counterparties herein are as of June 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 June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Investment Income
Interest	$	6,876		$	4,255		$	11,186		$	7,149

Expenses
Management fee		14,326			15,811			27,969			29,811

Total expenses		14,326			15,811			27,969			29,811

Net investment income (loss)		(7,450	)		(11,556	)		(16,783	)		(22,662	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		424,094			485,862			342,583			1,318,083
Short-term U.S. government and agency obligations		—			—			(32	)		—

Net realized gain (loss)		424,094			485,862			342,551			1,318,083

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(590,497	)		597,266			(793	)		496,157
Short-term U.S. government and agency obligations		533			(315	)		471			37

Change in net unrealized appreciation/depreciation		(589,964	)		596,951			(322	)		496,194

Net realized and unrealized gain (loss)		(165,870	)		1,082,813			342,229			1,814,277

Net income (loss)	$	(173,320	)	$	1,071,257		$	325,446		$	1,791,615

See accompanying notes to financial statements.

101

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	5,540,957
Net investment income (loss)		(16,783	)
Net realized gain (loss)		342,551
Change in net unrealized appreciation/depreciation		(322	)

Net income (loss)		325,446

Shareholders’ equity, at June 30, 2017	$	5,866,403

See accompanying notes to financial statements.

102

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016
Cash flow from operating activities
Net income (loss)	$	325,446		$	1,791,615
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		(145,000	)		—
Purchases of short-term U.S. government and agency obligations		(8,989,185	)		(11,855,352	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		10,284,783			10,720,000
Net amortization and accretion on short-term U.S government and agency obligations		(11,186	)		(7,149	)
Net realized gain (loss) on investments		32			—
Change in unrealized appreciation/depreciation on investments		322			(496,194	)
Increase (Decrease) in payable to Sponsor		193			1,115

Net cash provided by (used in) operating activities		1,465,405			154,035

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

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

Net increase (decrease) in cash		1,465,405			153,836
Cash, beginning of period		604,691			147,371

Cash, end of period	$	2,070,096		$	301,207

See accompanying notes to financial statements.

103

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION


	June 30, 2017 (unaudited)		December 31, 2016
Assets
Cash	$	59,346,441	$	39,482,473
Segregated cash balances with brokers for futures contracts		194,302,625		180,212,984
Segregated cash balances with brokers for forward agreements		738,500		—
Segregated cash balances with brokers for foreign currency forward contracts		145,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $3,199,530,700 and $3,038,837,465, respectively)		3,199,607,596		3,038,848,441
Unrealized appreciation on swap agreements		12,252,695		55,358,571
Unrealized appreciation on forward agreements		5,204,728		4,417,812
Unrealized appreciation on foreign currency forward contracts		11,501,507		33,392,354
Receivable from capital shares sold		60,136,790		—
Receivable on open futures contracts		64,114,136		41,862,862
Offering costs (Note 5)		217,110		—
Limitation by Sponsor		30,418		—

Total assets		3,607,597,546		3,393,575,497

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		123,730,907		71,525,035
Payable on open futures contracts		5,135,484		3,972,621
Brokerage commissions and fees payable		—		2,909
Payable to Sponsor		2,431,457		2,722,696
Payable for offering costs		296,800		—
Unrealized depreciation on swap agreements		58,755,439		12,206,881
Unrealized depreciation on forward agreements		43,303,441		25,407,296
Unrealized depreciation on foreign currency forward contracts		8,407,515		1,400,572

Total liabilities		242,061,043		117,238,010

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		3,365,536,503		3,276,337,487

Total liabilities and shareholders’ equity	$	3,607,597,546	$	3,393,575,497

Shares outstanding		122,818,426		90,235,707

See accompanying notes to financial statements.

104

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

(unaudited)


	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016*			2017			2016*
Investment Income
Interest	$	5,591,540		$	2,351,155		$	9,188,100		$	4,161,392

Expenses
Management fee		7,549,242			9,442,881			14,820,126			17,336,602
Brokerage commissions and fees		1,969,627			2,339,266			3,371,027			3,903,387
Offering costs		73,998			—			79,690			—
Limitation by Sponsor		(26,550	)		—			(30,418	)		—

Total expenses		9,566,317			11,782,147			18,240,425			21,239,989

Net investment income (loss)		(3,974,777	)		(9,430,992	)		(9,052,325	)		(17,078,597	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(33,094,001	)		(383,587,036	)		(385,348,278	)		(540,391,505	)
Swap agreements		(92,063,183	)		146,492,089			(93,464,332	)		(2,339,938	)
Forward agreements		(5,279,159	)		9,777,375			26,641,969			45,108,454
Foreign currency forward contracts		(50,239,329	)		(40,130,127	)		(35,541,123	)		(105,324,044	)
Short-term U.S. government and agency obligations		(10,660	)		79,123			(48,632	)		(40,651	)

Net realized gain (loss)		(180,686,332	)		(267,368,576	)		(487,760,396	)		(602,987,684	)

Change in net unrealized appreciation/depreciation on
Futures contracts		21,378,764			8,022,867			(3,660,008	)		(130,712,193	)
Swap agreements		4,047,462			2,297,762			(89,654,434	)		24,335,948
Forward agreements		(44,697,738	)		83,326,409			(17,109,229	)		87,499,640
Foreign currency forward contracts		20,314,099			26,615,142			(28,897,790	)		23,613,245
Short-term U.S. government and agency obligations		118,844			(478,052	)		65,920			142,530

Change in net unrealized appreciation/depreciation		1,161,431			119,784,128			(139,255,541	)		4,879,170

Net realized and unrealized gain (loss)		(179,524,901	)		(147,584,448	)		(627,015,937	)		(598,108,514	)

Net income (loss)	$	(183,499,678	)	$	(157,015,440	)	$	(636,068,262	)	$	(615,187,111	)

*	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.

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PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2017

(unaudited)


Shareholders’ equity, at December 31, 2016	$	3,276,337,487
Addition of 125,828,766 shares		4,708,457,792
Redemption of 93,246,047 shares		(3,983,190,514	)

Net addition (redemption) of 32,582,719 shares		725,267,278

Net investment income (loss)		(9,052,325	)
Net realized gain (loss)		(487,760,396	)
Change in net unrealized appreciation/depreciation		(139,255,541	)

Net income (loss)		(636,068,262	)

Shareholders’ equity, at June 30, 2017	$	3,365,536,503

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

(unaudited)


	Six Months Ended June 30,
	2017			2016*
Cash flow from operating activities
Net income (loss)	$	(636,068,262	)	$	(615,187,111	)
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		(14,089,641	)		(58,039,312	)
Decrease (Increase) in segregated cash balances with brokers for swap agreements		—			(7,376,000	)
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(738,500	)		(2,663,000	)
Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts		(145,000	)		(17,077,000	)
Purchases of short-term U.S. government and agency obligations		(10,660,500,706	)		(9,799,037,036	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		10,508,946,861			9,328,106,607
Net amortization and accretion on short-term U.S government and agency obligations		(9,188,022	)		(4,155,471	)
Net realized gain (loss) on investments		48,632			40,651
Change in unrealized appreciation/depreciation on investments		135,595,533			(135,591,363	)
Decrease (Increase) in receivable on futures contracts		(22,251,274	)		7,836,328
Decrease (Increase) in Limitation by Sponsor		(30,418	)		—
Change in offering cost		(217,110	)		—
Increase (Decrease) in payable to Sponsor		(291,239	)		335,230
Increase (Decrease) in brokerage commissions and fees payable		(2,909	)		(9,678	)
Increase (Decrease) in payable on futures contracts		1,162,863			120,234,492
Increase (Decrease) in payable for offering costs		296,800			—

Net cash provided by (used in) operating activities		(697,472,392	)		(1,182,582,663	)

Cash flow from financing activities
Proceeds from addition of shares		4,648,321,002			5,894,737,733
Payment on shares redeemed		(3,930,984,642	)		(4,729,033,466	)

Net cash provided by (used in) financing activities		717,336,360			1,165,704,267

Net increase (decrease) in cash		19,863,968			(16,878,396	)
Cash, beginning of period		39,482,599			48,049,225

Cash, end of period	$	59,346,567		$	31,170,829

*	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.

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

June 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 June 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.

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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.

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

six months ended June 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

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

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

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

Each Fund is an investment company, as defined by Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services — Investment Companies.” As such, the Funds follow 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 June 30, 2017, and represents non-segregated cash with the custodian and does not include short-term investments.

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Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the six months ended June 30, 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.	June 30, 2017

UltraShort Gold, Ultra Gold	9:30 a.m.	10:00 a.m.	June 30, 2017

UltraShort Bloomberg Crude Oil, Ultra Bloomberg Crude Oil	2:00 p.m.	2:30 p.m.	June 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.	June 30, 2017

UltraShort Australian Dollar	3:00 p.m.	4:00 p.m.	June 30, 2017

Short Euro	3:00 p.m.	4:00 p.m.	June 30, 2017

UltraShort Euro, Ultra Euro

UltraShort Yen, Ultra Yen	3:00 p.m.	4:00 p.m.	June 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.	June 30, 2017

VIX Mid-Term Futures ETF	2:00 p.m.	4:15 p.m.	June 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 three months ended June 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 six months ended June 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.

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The following table summarizes the valuation of investments at June 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	$	138,937,316	$	(1,109,860	)	$	—		$	—		$	—		$	137,827,456
VIX Mid-Term Futures ETF		24,968,264		(2,306,255	)		—			—			—			22,662,009
Short VIX Short-Term Futures ETF		660,218,440		(5,789,431	)		—			—			—			654,429,009
Ultra VIX Short-Term Futures ETF		356,168,275		(6,247,469	)		—			—			—			349,920,806
UltraShort Bloomberg Crude Oil		101,940,269		(841,763	)		—			—			12,252,695			113,351,201
UltraPro 3X Short Crude Oil ETF		—		(245,274	)		—			—			—			(245,274	)
UltraShort Bloomberg Natural Gas		2,996,035		(266,680	)		—			—			—			2,729,355
UltraShort Gold		34,947,973		(3,020	)		2,655,979			—			—			37,600,932
UltraShort Silver		14,988,576		2,380			2,548,749			—			—			17,539,705
Short Euro		8,993,811		(185,581	)		—			—			—			8,808,230
UltraShort Australian Dollar		9,996,293		(458,310	)		—			—			—			9,537,983
UltraShort Euro		242,826,389		—			—			(6,203,440	)		—			236,622,949
UltraShort Yen		160,907,022		—			—			9,330,388			—			170,237,410
Ultra Bloomberg Crude Oil		1,011,044,484		546,865			—			—			(58,755,439	)		952,835,910
UltraPro 3X Crude Oil ETF		—		578,453			—			—			—			578,453
Ultra Bloomberg Natural Gas		37,938,991		106,821			—			—			—			38,045,812
Ultra Gold		95,959,312		3,000			(7,897,486	)		—			—			88,064,826
Ultra Silver		280,780,815		(2,380	)		(35,405,955	)		—			—			245,372,480
Ultra Euro		11,996,425		—			—			309,913			—			12,306,338
Ultra Yen		3,998,906		—			—			(342,869	)		—			3,656,037

Total Trust	$	3,199,607,596	$	(16,218,504	)	$	(38,098,713	)	$	3,093,992		$	(46,502,744	)	$	3,101,881,627

*	Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures.

At June 30, 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 June 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.

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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.

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.

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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.

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

116

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 June 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 owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of June 30, 2017, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

117

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 June 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.

A Fund will typically enter into forward contracts only with major global financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.

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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 June 30, 2017

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

287,035

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

1,396,895

ProShares Ultra VIX Short-Term Futures ETF

1,118,465

ProShares VIX Mid-Term Futures ETF

2,306,255

ProShares Short VIX Short-Term Futures ETF

5,789,431

ProShares Ultra VIX Short-Term Futures ETF

7,365,934

Commodities Contracts

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

ProShares UltraShort Bloomberg Crude Oil

12,252,695

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

ProShares UltraShort Bloomberg Crude Oil

841,763

ProShares UltraShort Gold

2,655,979

ProShares UltraPro 3X Short Crude Oil ETF

245,274

ProShares UltraShort Silver

2,551,129

ProShares UltraShort Bloomberg Natural Gas

266,680

ProShares Ultra Bloomberg Crude Oil

546,865

ProShares UltraShort Gold

3,020

ProShares UltraPro 3X Crude Oil ETF

578,453

ProShares Ultra Bloomberg Crude Oil

58,755,439

ProShares Ultra Bloomberg Natural Gas

106,821

ProShares Ultra Gold

7,897,486

ProShares Ultra Gold

3,000

ProShares Ultra Silver

35,408,335

Foreign Exchange Contracts

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

ProShares UltraShort Euro

810,212

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

ProShares Short Euro

185,581

ProShares UltraShort Yen

10,340,251

ProShares UltraShort Australian Dollar

458,310

ProShares Ultra Euro

346,084

ProShares UltraShort Euro

7,013,652

ProShares Ultra Yen

4,960

ProShares UltraShort Yen

1,009,863

ProShares Ultra Euro

36,171

ProShares Ultra Yen

347,829

Total Trust

31,601,949

Total Trust

129,327,918

*	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 swap and/or forward agreements

ProShares UltraShort Gold

3,052,546

Payable on open futures contracts, unrealized depreciation on swap 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 June 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	$	(33,527,643	)	$	6,215,600
		ProShares VIX Mid-Term Futures ETF		(7,047,733	)		2,246,125
		ProShares Short VIX Short-Term Futures ETF		182,934,500			(24,640,794	)
		ProShares Ultra VIX Short-Term Futures ETF		(153,988,983	)		30,318,423
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		60,376,204			(14,895,206	)
		ProShares UltraPro 3X Short Crude Oil ETF		1,878,109			416,232
		ProShares UltraShort Bloomberg Natural Gas		49,239			881,105
		ProShares UltraShort Gold		(3,423,637	)		3,811,095
		ProShares UltraShort Silver		631,112			3,022,382
		ProShares Ultra Bloomberg Crude Oil		(168,596,998	)		28,760,997
		ProShares UltraPro 3X Crude Oil ETF		(1,832,876	)		(272,129	)
		ProShares Ultra Bloomberg Natural Gas		(4,648,049	)		(3,330,323	)
		ProShares Ultra Gold		8,452,341			(9,844,776	)
		ProShares Ultra Silver		(10,939,142	)		(41,686,389	)
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		(817,763	)		(65,818	)
		ProShares UltraShort Australian Dollar		64,976			(208,036	)
		ProShares UltraShort Euro		(36,508,674	)		1,694,586
		ProShares UltraShort Yen		(16,189,926	)		19,220,415
		ProShares Ultra Euro		2,035,177			(10,405	)
		ProShares Ultra Yen		424,094			(590,497	)

		Total Trust	$	(180,675,672	)	$	1,042,587

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 30, 2016


Derivatives not accounted for as hedging instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts, changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF	$	(40,266,848	)	$	1,048,083
		ProShares VIX Mid-Term Futures ETF		(2,943,655	)		2,047,660
		ProShares Short VIX Short-Term Futures ETF		77,961,366			14,498,960
		ProShares Ultra VIX Short-Term Futures ETF		(535,337,385	)		33,204,771
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Crude Oil		(109,499,306	)		19,922,224
		ProShares UltraShort Bloomberg Natural Gas		(3,556,836	)		(13,486	)
		ProShares UltraShort Gold		(256,629	)		(9,919,871	)
		ProShares UltraShort Silver		(6,440,818	)		(9,540,356	)
		ProShares Ultra Bloomberg Crude Oil		366,682,172			(70,396,056	)
		ProShares Ultra Bloomberg Natural Gas		10,484,507			7,854,286
		ProShares Ultra Gold		(4,909,537	)		16,131,512
		ProShares Ultra Silver		21,383,709			86,655,755
Foreign Exchange Contracts	Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts	ProShares Short Euro		(472,606	)		926,538
		ProShares UltraShort Australian Dollar		(455,053	)		1,177,517
		ProShares UltraShort Euro		(26,140,318	)		45,156,342
		ProShares UltraShort Yen		(15,080,710	)		(17,976,490	)
		ProShares Ultra Euro		605,039			(1,161,976	)
		ProShares Ultra Yen		485,862			597,266

		Total Trust*	$	(267,757,046	)	$	120,212,679

*	Amount excludes the activity of ProShares Managed Futures Strategy which liquidated on March 30, 2016, and ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity both of which liquidated on September 1, 2016.

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The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 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	$	(98,755,500	)	$	(641,208	)
		ProShares VIX Mid-Term Futures ETF		(15,215,051	)		(1,018,010	)
		ProShares Short VIX Short-Term Futures ETF		282,827,592			4,520,180
		ProShares Ultra VIX Short-Term Futures ETF		(519,504,171	)		1,724,768
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		59,226,337			25,044,628
		ProShares UltraPro 3X Short Crude Oil ETF		1,772,343			(245,274	)
		ProShares UltraShort Bloomberg Natural Gas		1,907,620			215,351
		ProShares UltraShort Gold		(8,294,797	)		(399,587	)
		ProShares UltraShort Silver		(2,226,149	)		1,139,573
		ProShares Ultra Bloomberg Crude Oil		(169,009,085	)		(119,104,310	)
		ProShares UltraPro 3X Crude Oil ETF		(1,833,835	)		578,453
		ProShares Ultra Bloomberg Natural Gas		(19,025,765	)		(2,429,899	)
		ProShares Ultra Gold		17,899,831			(3,444,419	)
		ProShares Ultra Silver		19,262,746			(14,404,786	)
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		(735,506	)		(318,481	)
		ProShares UltraShort Australian Dollar		(467,251	)		(1,640,650	)
		ProShares UltraShort Euro		(20,829,055	)		(22,366,371	)
		ProShares UltraShort Yen		(16,461,160	)		(7,414,549	)
		ProShares Ultra Euro		1,406,509			883,923
		ProShares Ultra Yen		342,583			(793	)

		Total Trust	$	(487,711,764	)	$	(139,321,461	)

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The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 30, 2016


Derivatives not accounted for as hedging instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts, changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF	$	(32,560,699	)	$	(15,262,292	)
		ProShares VIX Mid-Term Futures ETF		(349,195	)		(768,040	)
		ProShares Short VIX Short-Term Futures ETF		(14,221,443	)		68,476,439
		ProShares Ultra VIX Short-Term Futures ETF		(524,131,767	)		(190,137,467	)
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Crude Oil		(87,177,708	)		3,152,261
		ProShares UltraShort Bloomberg Natural Gas		557,513			2,090,582
		ProShares UltraShort Gold		(19,668,636	)		(10,002,602	)
		ProShares UltraShort Silver		(11,789,322	)		(13,774,454	)
		ProShares Ultra Bloomberg Crude Oil		113,346,172			24,733,487
		ProShares Ultra Bloomberg Natural Gas		4,627,286			657,141
		ProShares Ultra Gold		21,074,079			13,212,780
		ProShares Ultra Silver		55,498,153			98,066,886
Foreign Exchange Contracts	Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts	ProShares Short Euro		(526,800	)		218,031
		ProShares UltraShort Australian Dollar		(2,143,492	)		475,987
		ProShares UltraShort Euro		(55,054,450	)		32,953,944
		ProShares UltraShort Yen		(52,697,386	)		(9,064,322	)
		ProShares Ultra Euro		1,109,709			(772,534	)
		ProShares Ultra Yen		1,318,083			496,157

		Total Trust*	$	(602,789,903	)	$	4,751,984

*	Amount excludes the activity of ProShares Managed Futures Strategy which liquidated on March 30, 2016, and ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity both of which liquidated on September 1, 2016.

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 June 30, 2017.


Fair Values of Derivative Instruments as of June 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	$	12,252,695	$	—	$	12,252,695	$	—	$	—	$	—
ProShares UltraShort Gold Forward agreements		2,655,979		—		2,655,979		—		—		—
ProShares UltraShort Silver Forward agreements		2,548,749		—		2,548,749		—		—		—
ProShares UltraShort Euro Foreign currency forward contracts		810,212		—		810,212		7,013,652		—		7,013,652
ProShares UltraShort Yen Foreign currency forward contracts		10,340,251		—		10,340,251		1,009,863		—		1,009,863
ProShares Ultra Bloomberg Crude Oil Swap agreements		—		—		—		58,755,439		—		58,755,439
ProShares Ultra Gold Forward agreements		—		—		—		7,897,486		—		7,897,486
ProShares Ultra Silver Forward agreements		—		—		—		35,405,955		—		35,405,955
ProShares Ultra Euro Foreign currency forward contracts		346,084		—		346,084		36,171		—		36,171
ProShares Ultra Yen Foreign currency forward contracts		4,960		—		4,960		347,829		—		347,829

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 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 June 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.	$	3,917,917		$	—		$	—		$	3,917,917
Goldman Sachs International		3,686,141			(3,686,141	)		—			—
Societe Generale S.A.		602,764			(602,764	)		—			—
UBS AG		4,045,873			—			(4,045,873	)		—
ProShares UltraShort Gold
Citibank N.A.		923,664			—			—			923,664
Goldman Sachs International		739,767			(633,285	)		—			106,482
Societe Generale S.A.		259,230			(259,230	)		—			—
UBS AG		733,318			—			(600,000	)		133,318
ProShares UltraShort Silver
Citibank N.A.		911,231			—			—			911,231
Goldman Sachs International		675,652			(544,217	)		—			131,435
Societe Generale S.A.		171,589			(144,495	)		—			27,094
UBS AG		790,277			—			(600,000	)		190,277
ProShares UltraShort Euro
Goldman Sachs International		(3,074,421	)		3,074,421			—			—
UBS AG		(3,129,019	)		3,129,019			—			—
ProShares UltraShort Yen
Goldman Sachs International		4,729,990			(4,107,542	)		—			622,448
UBS AG		4,600,398			—			(4,010,000	)		590,398
ProShares Ultra Bloomberg Crude Oil
Citibank N.A.		(21,112,406	)		21,112,406			—			—
Goldman Sachs International		(16,228,837	)		16,228,837			—			—
Societe Generale S.A.		(6,679,835	)		6,679,835			—			—
UBS AG		(14,734,361	)		14,734,361			—			—
ProShares Ultra Gold
Citibank N.A.		(2,727,933	)		2,727,933			—			—
Goldman Sachs International		(2,089,538	)		2,089,538			—			—
Societe Generale S.A.		(1,052,226	)		1,052,226			—			—
UBS AG		(2,027,789	)		2,027,789			—			—
ProShares Ultra Silver
Citibank N.A.		(12,900,135	)		12,900,135			—			—
Goldman Sachs International		(8,565,734	)		8,565,734			—			—
Societe Generale S.A.		(4,889,267	)		4,889,267			—			—
UBS AG		(9,050,819	)		9,050,819			—			—
ProShares Ultra Euro
Goldman Sachs International		199,130			—			—			199,130
UBS AG		110,783			—			—			110,783
ProShares Ultra Yen
Goldman Sachs International		(188,865	)		188,865			—			—
UBS AG		(154,004	)		9,004			145,000			—

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 S.A.		(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 S.A.		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 S.A.		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 S.A.		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 S.A.		(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 S.A.		(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 six months ended June 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 June 30, 2017		Six Months Ended June 30, 2017
VIX Short-Term Futures ETF	$	37,861	$	66,495
VIX Mid-Term Futures ETF		1,585		3,212
Short VIX Short-Term Futures ETF		255,866		425,854
Ultra VIX Short-Term Futures ETF		245,987		452,486
UltraShort Bloomberg Crude Oil		79,893		118,408
UltraPro 3X Short Crude Oil ETF		2,511		3,199
UltraShort Bloomberg Natural Gas		488		765
UltraShort Gold		5,708		11,989
UltraShort Silver		—		—
Short Euro		—		—
UltraShort Australian Dollar		—		—
UltraShort Euro		—		—
UltraShort Yen		—		—
Ultra Bloomberg Crude Oil		226,384		395,871
UltraPro 3X Crude Oil ETF		8,116		9,112
Ultra Bloomberg Natural Gas		2,003		6,870
Ultra Gold		2,492		9,375
Ultra Silver		11,627		17,688
Ultra Euro		—		—
Ultra Yen		—		—

Total Trust	$	880,521	$	1,521,324

132

NOTE 7 – FINANCIAL HIGHLIGHTS

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

For the Three Months Ended June 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 March 31, 2017	$	52.7150		$	31.8965		$	70.5439		$	64.7746		$	36.7016		$	21.1581
Net investment income (loss)		(0.0359	)		(0.0210	)		(0.1568	)		(0.1586	)		(0.0292	)		(0.0802	)
Net realized and unrealized gain (loss)#		(9.9899	)		(4.4116	)		9.7200			(25.2974	)		6.7614			5.3826
Change in net asset value from operations		(10.0258	)		(4.4326	)		9.5632			(25.4560	)		6.7322			5.3024
Net asset value, at June 30, 2017	$	42.6892		$	27.4639		$	80.1071		$	39.3186		$	43.4338		$	26.4605
Market value per share, at March 31, 2017†	$	52.68		$	31.95		$	70.58		$	64.68		$	36.57		$	21.07
Market value per share, at June 30, 2017†	$	42.52		$	27.43		$	80.64		$	38.96		$	43.21		$	26.24
Total Return, at net asset value^		(19.0	)%		(13.9	)%		13.6	%		(39.3	)%		18.3	%		25.1	%
Total Return, at market value^		(19.3	)%		(14.1	)%		14.3	%		(39.8	)%		18.2	%		24.5	%
Ratios to Average Net Assets**
Expense ratio		0.97	%		0.87	%		1.50	%		1.88	%		1.00	%		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	)%		(0.28	)%		(0.86	)%		(1.27	)%		(0.30	)%		(1.34	)%

*	See Note 1 of these Notes to Financial Statements.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

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

**	Percentages are annualized.

133

For the Three Months Ended June 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 March 31, 2017	$	29.2434		$	76.4038		$	29.3775		$	44.5099		$	48.7520		$	26.4161
Net investment income (loss)		(0.0602	)		(0.0386	)		(0.0215	)		(0.0354	)		(0.0534	)		(0.0117	)
Net realized and unrealized gain (loss)#		3.9792			(0.0653	)		5.3912			(2.7385	)		(0.7987	)		(3.2812	)
Change in net asset value from operations		3.9190			(0.1039	)		5.3697			(2.7739	)		(0.8521	)		(3.2929	)
Net asset value, at June 30, 2017	$	33.1624		$	76.2999		$	34.7472		$	41.7360		$	47.8999		$	23.1232
Market value per share, at March 31, 2017†	$	29.25		$	75.93		$	28.90		$	44.29		$	49.00		$	26.39
Market value per share, at June 30, 2017†	$	33.33		$	76.37		$	34.09		$	41.71		$	47.80		$	23.12
Total Return, at net asset value^		13.4	%		(0.1	)%		18.3	%		(6.2	)%		(1.7	)%		(12.5	)%
Total Return, at market value^		13.9	%		0.6	%		18.0	%		(5.8	)%		(2.4	)%		(12.4	)%
Ratios to Average Net Assets**
Expense ratio		1.31	%		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)		(0.81	)%		(0.21	)%		(0.27	)%		(0.33	)%		(0.42	)%		(0.19	)%

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

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

**	Percentages are annualized.

134

For the Three Months Ended June 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 March 31, 2017	$	72.5519		$	18.9587		$	29.2438		$	12.2730		$	38.3348		$	40.5970
Net investment income (loss)		(0.0363	)		(0.0100	)		(0.0715	)		(0.0166	)		(0.0191	)		(0.0178	)
Net realized and unrealized gain (loss)#		1.5578			(4.1451	)		(9.6487	)		(2.4868	)		(0.5634	)		(7.3476	)
Change in net asset value from operations		1.5215			(4.1551	)		(9.7202	)		(2.5034	)		(0.5825	)		(7.3654	)
Net asset value, at June 30, 2017	$	74.0734		$	14.8036		$	19.5236		$	9.7696		$	37.7523		$	33.2316
Market value per share, at March 31, 2017†	$	72.50		$	19.02		$	29.42		$	12.27		$	38.45		$	41.23
Market value per share, at June 30, 2017†	$	74.05		$	14.86		$	19.68		$	9.74		$	37.68		$	33.82
Total Return, at net asset value^		2.1	%		(21.9	)%		(33.2	)%		(20.4	)%		(1.5	)%		(18.1	)%
Total Return, at market value^		2.1	%		(21.9	)%		(33.1	)%		(20.6	)%		(2.0	)%		(18.0	)%
Ratios to Average Net Assets**
Expense ratio		0.95	%		0.98	%		1.27	%		1.19	%		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)		(0.20	)%		(0.24	)%		(1.27	)%		(0.59	)%		(0.20	)%		(0.19	)%

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

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

**	Percentages are annualized.

135

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


Per Share Operating Performance	Ultra Euro			Ultra Yen
Net asset value, at March 31, 2017	$	14.2445		$	60.4154
Net investment income (loss)		(0.0098	)		(0.0745	)
Net realized and unrealized gain (loss)#		1.9254			(1.6593	)
Change in net asset value from operations		1.9156			(1.7338	)
Net asset value, at June 30, 2017	$	16.1601		$	58.6816
Market value per share, at March 31, 2017†	$	14.27		$	60.19
Market value per share, at June 30, 2017†	$	16.17		$	58.68
Total Return, at net asset value^		13.4	%		(2.9	)%
Total Return, at market value^		13.3	%		(2.5	)%
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	)%		(0.49	)%

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

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

**	Percentages are annualized.

136

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

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


Per Share Operating Performance	VIX Short-Term Futures ETF*			VIX Mid-Term Futures ETF			Short VIX Short-Term Futures ETF*			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Crude Oil*			UltraShort Bloomberg Natural Gas
Net asset value, at March 31, 2016	$	232.6568		$	52.7219		$	25.3165		$	1,925.3153		$	64.8940		$	66.7299
Net investment income (loss)		(0.4022	)		(0.0931	)		(0.0783	)		(4.6958	)		(0.0873	)		(0.1967	)
Net realized and unrealized gain (loss)#		(51.6801	)		(0.6535	)		(0.3211	)		(1,008.0205	)		(23.8390	)		(32.4440	)
Change in net asset value from operations		(52.0823	)		(0.7466	)		(0.3994	)		(1,012.7163	)		(23.9263	)		(32.6407	)
Net asset value, at June 30, 2016	$	180.5745		$	51.9753		$	24.9171		$	912.5990		$	40.9677		$	34.0892
Market value per share, at March 31, 2016†	$	233.60		$	52.87		$	25.27		$	1,933.00		$	65.47		$	65.93
Market value per share, at June 30, 2016†	$	183.20		$	52.53		$	24.53		$	943.00		$	40.81		$	34.06
Total Return, at net asset value^		(22.4	)%		(1.4	)%		(1.6	)%		(52.6	)%		(36.9	)%		(48.9	)%
Total Return, at market value^		(21.6	)%		(0.6	)%		(2.9	)%		(51.2	)%		(37.7	)%		(48.3	)%
Ratios to Average Net Assets**
Expense ratio		1.01	%		0.92	%		1.40	%		1.56	%		1.02	%		1.72	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.79	)%		(0.70	)%		(1.18	)%		(1.33	)%		(0.76	)%		(1.51	)%

*	See Note 1 of these Notes to Financial Statements.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2016.

**	Percentages are annualized.

137

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


Per Share Operating Performance	UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen
Net asset value, at March 31, 2016	$	82.0751		$	49.6365		$	41.6987		$	51.5091		$	23.1947		$	76.5139
Net investment income (loss)		(0.1336	)		(0.0690	)		(0.0793	)		(0.1033	)		(0.0402	)		(0.1249	)
Net realized and unrealized gain (loss)#		(11.6295	)		(16.4051	)		1.1947			2.0611			1.1638			(12.8555	)
Change in net asset value from operations		(11.7631	)		(16.4741	)		1.1154			1.9578			1.1236			(12.9804	)
Net asset value, at June 30, 2016	$	70.3120		$	33.1624		$	42.8141		$	53.4669		$	24.3183		$	63.5335
Market value per share, at March 31, 2016†	$	83.03		$	49.42		$	41.66		$	51.65		$	23.19		$	76.50
Market value per share, at June 30, 2016†	$	70.00		$	31.65		$	42.81		$	53.47		$	24.32		$	63.53
Total Return, at net asset value^		(14.3	)%		(33.2	)%		2.7	%		3.8	%		4.8	%		(17.0	)%
Total Return, at market value^		(15.7	)%		(36.0	)%		2.7	%		3.5	%		4.9	%		(17.0	)%
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)		(0.68	)%		(0.67	)%		(0.76	)%		(0.77	)%		(0.69	)%		(0.72	)%

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2016.

**	Percentages are annualized.

138

For the Three Months Ended June 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 March 31, 2016	$	17.9885		$	10.8292		$	39.8802		$	32.7270		$	16.8643		$	61.9587
Net investment income (loss)		(0.0453	)		(0.0397	)		(0.0707	)		(0.0677	)		(0.0276	)		(0.1156	)
Net realized and unrealized gain (loss)#		6.3825			6.9636			4.9860			12.8697			(0.9485	)		10.8313
Change in net asset value from operations		6.3372			6.9239			4.9153			12.8020			(0.9761	)		10.7157
Net asset value, at June 30, 2016	$	24.3257		$	17.7531		$	44.7955		$	45.5290		$	15.8882		$	72.6744
Market value per share, at March 31, 2016†	$	17.82		$	10.88		$	39.69		$	32.82		$	16.87		$	61.98
Market value per share, at June 30, 2016†	$	24.44		$	17.65		$	45.03		$	47.67		$	15.86		$	72.71
Total Return, at net asset value^		35.2	%		63.9	%		12.3	%		39.1	%		(5.8	)%		17.3	%
Total Return, at market value^		37.1	%		62.2	%		13.5	%		45.2	%		(6.0	)%		17.3	%
Ratios to Average Net Assets**
Expense ratio		1.03	%		1.46	%		0.95	%		0.95	%		0.95	%		0.95	%
Expense ratio, excluding brokerage commissions		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.80	)%		(1.27	)%		(0.69	)%		(0.71	)%		(0.67	)%		(0.69	)%

*	See Note 1 of these Notes to Financial Statements.

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2016.

**	Percentages are annualized.

139

Selected data for a Share outstanding throughout the six months ended June 30, 2017:

For the Six Months Ended June 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	$	84.8584		$	42.1361		$	45.6151		$	173.9265		$	31.6975		$	25.0000
Net investment income (loss)		(0.1078	)		(0.0610	)		(0.3270	)		(0.4209	)		(0.0764	)		(0.0884	)
Net realized and unrealized gain (loss)#		(42.0614	)		(14.6112	)		34.8190			(134.1870	)		11.8127			1.5489
Change in net asset value from operations		(42.1692	)		(14.6722	)		34.4920			(134.6079	)		11.7363			1.4605
Net asset value, at June 30, 2017	$	42.6892		$	27.4639		$	80.1071		$	39.3186		$	43.4338		$	26.4605
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 June 30, 2017†	$	42.52		$	27.43		$	80.64		$	38.96		$	43.21		$	26.24
Total Return, at net asset value^		(49.7	)%		(34.8	)%		75.6	%		(77.4	)%		37.0	%		5.8	%
Total Return, at market value^		(50.0	)%		(35.2	)%		77.3	%		(77.7	)%		36.5	%		5.0	%
Ratios to Average Net Assets**
Expense ratio		0.96	%		0.88	%		1.54	%		1.81	%		0.98	%		1.37	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.40	)%		(0.37	)%		(0.96	)%		(1.31	)%		(0.43	)%		(1.37	)%

*	See Note 1 of these Notes to Financial Statements.

⁺	From commencement of operations, March 24, 2017 through June 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.

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

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

**	Percentages are annualized.

140

For the Six Months Ended June 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	$	23.1010		$	91.3281		$	37.3072		$	45.0574		$	55.3782		$	27.0847
Net investment income (loss)		(0.1343	)		(0.1318	)		(0.0595	)		(0.0976	)		(0.1316	)		(0.0427	)
Net realized and unrealized gain (loss)#		10.1957			(14.8964	)		(2.5005	)		(3.2238	)		(7.3467	)		(3.9188	)
Change in net asset value from operations		10.0614			(15.0282	)		(2.5600	)		(3.3214	)		(7.4783	)		(3.9615	)
Net asset value, at June 30, 2017	$	33.1624		$	76.2999		$	34.7472		$	41.7360		$	47.8999		$	23.1232
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 June 30, 2017†	$	33.33		$	76.37		$	34.09		$	41.71		$	47.80		$	23.12
Total Return, at net asset value^		43.6	%		(16.5	)%		(6.9	)%		(7.4	)%		(13.5	)%		(14.6	)%
Total Return, at market value^		44.6	%		(15.7	)%		(12.0	)%		(7.6	)%		(13.5	)%		(14.6	)%
Ratios to Average Net Assets**
Expense ratio		1.30	%		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)		(0.89	)%		(0.34	)%		(0.37	)%		(0.45	)%		(0.53	)%		(0.33	)%

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

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

**	Percentages are annualized.

141

For the Six Months Ended June 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	$	80.2431		$	23.3352		$	25.0000		$	18.8483		$	32.9026		$	33.4420
Net investment income (loss)		(0.1309	)		(0.0320	)		(0.0783	)		(0.0397	)		(0.0638	)		(0.0616	)
Net realized and unrealized gain (loss)#		(6.0388	)		(8.4996	)		(5.3981	)		(9.0390	)		4.9135			(0.1488	)
Change in net asset value from operations		(6.1697	)		(8.5316	)		(5.4764	)		(9.0787	)		4.8497			(0.2104	)
Net asset value, at June 30, 2017	$	74.0734		$	14.8036		$	19.5236		$	9.7696		$	37.7523		$	33.2316
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 June 30, 2017†	$	74.05		$	14.86		$	19.68		$	9.74		$	37.68		$	33.82
Total Return, at net asset value^		(7.7	)%		(36.6	)%		(21.9	)%		(48.2	)%		14.7	%		(0.6	)%
Total Return, at market value^		(7.7	)%		(36.4	)%		(21.3	)%		(48.6	)%		13.5	%		5.4	%
Ratios to Average Net Assets**
Expense ratio		0.95	%		0.98	%		1.29	%		1.17	%		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)		(0.36	)%		(0.35	)%		(1.29	)%		(0.68	)%		(0.34	)%		(0.33	)%

⁺	From commencement of operations, March 24, 2017 through June 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.

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

**	Percentages are annualized.

142

For the Six Months Ended June 30, 2017 (unaudited)


Per Share Operating Performance	Ultra Euro			Ultra Yen
Net asset value, at December 31, 2016	$	14.0172		$	55.4262
Net investment income (loss)		(0.0265	)		(0.1679	)
Net realized and unrealized gain (loss)#		2.1694			3.4233
Change in net asset value from operations		2.1429			3.2554
Net asset value, at June 30, 2017	$	16.1601		$	58.6816
Market value per share, at December 31, 2016†	$	14.09		$	55.52
Market value per share, at June 30, 2017†	$	16.17		$	58.68
Total Return, at net asset value^		15.3	%		5.9	%
Total Return, at market value^		14.8	%		5.7	%
Ratios to Average Net Assets**
Expense ratio		0.95	%		0.95	%
Expense ratio, excluding brokerage commissions		0.95	%		0.95	%
Net investment income (loss)		(0.36	)%		(0.57	)%

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

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

**	Percentages are annualized.

143

Selected data for a Share outstanding throughout the six months ended June 30, 2016:

For the Six Months Ended June 30, 2016 (unaudited)


Per Share Operating Performance	VIX Short-Term Futures ETF*			VIX Mid-Term Futures ETF			Short VIX Short-Term Futures ETF*			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Crude Oil*			UltraShort Bloomberg Natural Gas
Net asset value, at December 31, 2015	$	264.8433		$	53.9626		$	25.4075		$	2,808.4027		$	66.6009		$	46.5314
Net investment income (loss)		(0.9172	)		(0.2001	)		(0.1250	)		(11.5661	)		(0.2219	)		(0.4217	)
Net realized and unrealized gain (loss)#		(83.3516	)		(1.7872	)		(0.3654	)		(1,884.2376	)		(25.4113	)		(12.0205	)
Change in net asset value from operations		(84.2688	)		(1.9873	)		(0.4904	)		(1,895.8037	)		(25.6332	)		(12.4422	)
Net asset value, at June 30, 2016	$	180.5745		$	51.9753		$	24.9171		$	912.5990		$	40.9677		$	34.0892
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 June 30, 2016†	$	183.20		$	52.53		$	24.53		$	943.00		$	40.81		$	34.06
Total Return, at net asset value^		(31.8	)%		(3.7	)%		(1.9	)%		(67.5	)%		(38.5	)%		(26.7	)%
Total Return, at market value^		(31.3	)%		(2.7	)%		(2.8	)%		(66.7	)%		(38.9	)%		(26.8	)%
Ratios to Average Net Assets**
Expense ratio		1.03	%		0.93	%		1.33	%		1.55	%		1.05	%		1.70	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.82	)%		(0.72	)%		(1.12	)%		(1.32	)%		(0.80	)%		(1.47	)%

*	See Note 1 of these Notes to Financial Statements

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2016.

**	Percentages are annualized.

144

For the Six Months Ended June 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	$	115.8799		$	64.5783		$	43.7767		$	58.4582		$	25.5406		$	87.9389
Net investment income (loss)		(0.3036	)		(0.1668	)		(0.1676	)		(0.2320	)		(0.0845	)		(0.2872	)
Net realized and unrealized gain (loss)#		(45.2643	)		(31.2491	)		(0.7950	)		(4.7593	)		(1.1378	)		(24.1182	)
Change in net asset value from operations		(45.5679	)		(31.4159	)		(0.9626	)		(4.9913	)		(1.2223	)		(24.4054	)
Net asset value, at June 30, 2016	$	70.3120		$	33.1624		$	42.8141		$	53.4669		$	24.3183		$	63.5335
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 June 30, 2016†	$	70.00		$	31.65		$	42.81		$	53.47		$	24.32		$	63.53
Total Return, at net asset value^		(39.3	)%		(48.6	)%		(2.2	)%		(8.5	)%		(4.8	)%		(27.8	)%
Total Return, at market value^		(39.6	)%		(51.0	)%		(2.1	)%		(8.0	)%		(4.7	)%		(27.7	)%
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)		(0.72	)%		(0.71	)%		(0.79	)%		(0.83	)%		(0.70	)%		(0.77	)%

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^	Percentages are not annualized for the period ended June 30, 2016.

**	Percentages are annualized.

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For the Six Months Ended June 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	$	25.1548		$	18.5698		$	29.7295		$	27.0638		$	15.5107		$	54.7527
Net investment income (loss)		(0.0792	)		(0.0787	)		(0.1371	)		(0.1255	)		(0.0581	)		(0.2267	)
Net realized and unrealized gain (loss)#		(0.7499	)		(0.7380	)		15.2031			18.5907			0.4356			18.1484
Change in net asset value from operations		(0.8291	)		(0.8167	)		15.0660			18.4652			0.3775			17.9217
Net asset value, at June 30, 2016	$	24.3257		$	17.7531		$	44.7955		$	45.5290		$	15.8882		$	72.6744
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 June 30, 2016†	$	24.44		$	17.65		$	45.03		$	47.67		$	15.86		$	72.71
Total Return, at net asset value^		(3.3	)%		(4.4	)%		50.7	%		68.2	%		2.4	%		32.7	%
Total Return, at market value^		(2.6	)%		(4.5	)%		51.5	%		76.0	%		2.3	%		32.9	%
Ratios to Average Net Assets**
Expense ratio		1.03	%		1.43	%		0.95	%		0.95	%		0.95	%		0.95	%
Expense ratio, excluding brokerage commissions		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.80	)%		(1.25	)%		(0.71	)%		(0.73	)%		(0.72	)%		(0.72	)%

*	See Note 1 of these Notes to Financial Statements

#	The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

†	Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated

^	Percentages are not annualized for the period ended June 30, 2016.

**	Percentages are annualized.

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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.

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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.

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Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.

Gold and silver historically exhibit persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly. It is generally believed this is because the market needs to build inventories for most of the year in order to have enough storage to make it through a normal winter. Periods of backwardation are typically thought to be caused by demand shocks or supply shortages such as an unusually cold winter or a hurricane.

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 March 31, 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.

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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.

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

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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.

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 six months ended June 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 June 30, 2017		Interest Income Three Months Ended June 30, 2016		Interest Income Six Months Ended June 30, 2017		Interest Income Six Months Ended June 30, 2016
ProShares VIX Short-Term Futures ETF	$	248,418	$	134,426	$	407,223	$	180,575
ProShares VIX Mid-Term Futures ETF		48,327		21,839		92,587		34,098
ProShares Short VIX Short-Term Futures ETF		1,030,436		281,446		1,382,694		599,158
ProShares Ultra VIX Short-Term Futures ETF		595,569		527,858		966,554		826,663
ProShares UltraShort Bloomberg Crude Oil		280,496		144,387		539,542		233,499
ProShares UltraPro 3X Short Crude Oil ETF		—		—		—		—
ProShares UltraShort Bloomberg Natural Gas		9,532		4,550		14,473		14,118
ProShares UltraShort Gold		64,930		45,076		116,347		74,265
ProShares UltraShort Silver		36,403		29,058		58,906		48,742
ProShares Short Euro		22,784		8,531		38,480		14,669
ProShares UltraShort Australian Dollar		21,253		12,258		35,524		20,043
ProShares UltraShort Euro		508,339		255,428		893,083		516,867
ProShares UltraShort Yen		360,252		104,491		683,531		172,839
ProShares Ultra Bloomberg Crude Oil		1,572,668		498,531		2,617,079		949,595
ProShares UltraPro 3X Crude Oil ETF		—		—		—		—
ProShares Ultra Bloomberg Natural Gas		62,796		15,411		106,835		27,143
ProShares Ultra Gold		178,660		59,634		300,135		106,020
ProShares Ultra Silver		518,829		188,656		884,169		310,266
ProShares Ultra Euro		24,972		6,834		39,752		11,797
ProShares Ultra Yen		6,876		4,255		11,186		7,149

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 August 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 six months ended June 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 June 30, 2017 Compared to the Three Months Ended June 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 June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	137,512,969		$	159,076,994
NAV end of period	$	162,053,094		$	190,955,944
Percentage change in NAV		17.8	%		20.0	%
Shares outstanding beginning of period		2,608,613			683,741
Shares outstanding end of period		3,796,113			1,057,491
Percentage change in shares outstanding		45.5	%		54.7	%
Shares created		1,937,500			917,500
Shares redeemed		750,000			543,750
Per share NAV beginning of period	$	52.71		$	232.66
Per share NAV end of period	$	42.69		$	180.57
Percentage change in per share NAV		(19.0	)%		(22.4	)%
Percentage change in benchmark		(18.7	)%		(22.5	)%
Benchmark annualized volatility		56.3	%		102.3	%

During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,608,613 outstanding Shares at March 31, 2017 to 3,796,113 outstanding Shares at June 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 June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 683,741 outstanding Shares at March 31, 2016 to 1,057,491 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended June 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 19.0% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 22.4% for the three months ended June 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $61.29 per Share and reached its low for the period on June 26, 2017 at $40.75 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 11, 2016 at $250.48 per Share and reached its low for the period on June 6, 2016 at $170.20 per Share.

The benchmark’s decline of 18.7% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 22.5% for the three months ended June 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 June 30, 2017.

158

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(110,768	)	$	(487,032	)
Management fee		313,196			520,759
Brokerage commissions		45,990			100,699
Net realized gain (loss)		(33,527,509	)		(40,262,015	)
Change in net unrealized appreciation/depreciation		6,221,178			1,038,205
Net income (loss)	$	(27,417,099	)	$	(39,710,842	)

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 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 June 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 June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	37,873,983		$	29,650,967
NAV end of period	$	30,550,943		$	42,224,892
Percentage change in NAV		(19.3	)%		42.4	%
Shares outstanding beginning of period		1,187,403			562,403
Shares outstanding end of period		1,112,403			812,403
Percentage change in shares outstanding		(6.3	)%		44.5	%
Shares created		50,000			275,000
Shares redeemed		125,000			25,000
Per share NAV beginning of period	$	31.90		$	52.72
Per share NAV end of period	$	27.46		$	51.98
Percentage change in per share NAV		(13.9	)%		(1.4	)%
Percentage change in benchmark		(13.6	)%		(1.2	)%
Benchmark annualized volatility		18.6	%		45.6	%

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,187,403 outstanding Shares at March 31, 2017 to 1,112,403 outstanding Shares at June 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 daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 562,403 outstanding Shares at March 31, 2016 to 812,403 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended June 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 13.9% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.4% for the three months ended June 30, 2016 was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

159

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $32.97 per Share and reached its low for the period on June 28, 2017 at $27.30 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $58.82 per Share and reached its low for the period on June 23, 2016 at $49.89 per Share.

The benchmark’s decline of 13.6% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 1.2% for the three months ended June 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 three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(23,141	)	$	(69,741	)
Management fee		70,059			84,727
Brokerage commissions		1,409			6,853
Net realized gain (loss)		(7,047,660	)		(2,943,716	)
Change in net unrealized appreciation/depreciation		2,246,757			2,044,685
Net income (loss)	$	(4,824,044	)	$	(968,772	)

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a greater decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended June 30, 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 June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	486,752,851		$	508,862,366
NAV end of period	$	793,060,423		$	687,712,265
Percentage change in NAV		62.9	%		35.1	%
Shares outstanding beginning of period		6,900,000			20,100,000
Shares outstanding end of period		9,900,000			27,600,000
Percentage change in shares outstanding		43.5	%		37.3	%
Shares created		16,500,000			39,800,000
Shares redeemed		13,500,000			32,300,000
Per share NAV beginning of period	$	70.54		$	25.32
Per share NAV end of period	$	80.11		$	24.92
Percentage change in per share NAV		13.6	%		(1.6	)%
Percentage change in benchmark		(18.7	)%		(22.5	)%
Benchmark annualized volatility		56.3	%		102.3	%

160

During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 6,900,000 outstanding Shares at March 31, 2017 to 9,900,000 outstanding Shares at June 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 June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 20,100,000 outstanding Shares at March 31, 2016 to 27,600,000 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended June 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 13.6% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.6% for the three months ended June 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 26, 2017 at $84.17 per Share and reached its low for the period on April 13, 2017 at $60.18 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 6, 2016 at $32.59 per Share and reached its low for the period on June 27, 2016 at $19.38 per Share.

The benchmark’s decline of 18.7% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 22.5% for the three months ended June 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 June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(1,366,200	)	$	(1,510,189	)
Management fee		1,516,291			1,218,924
Brokerage commissions		880,345			572,711
Net realized gain (loss)		182,927,300			77,967,418
Change in net unrealized appreciation/depreciation		(24,618,005	)		14,457,719
Net income (loss)	$	156,943,095		$	90,914,948

*	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 June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	359,949,459		$	892,431,755
NAV end of period	$	378,714,636		$	839,613,853
Percentage change in NAV		5.2	%		(5.9	)%
Shares outstanding beginning of period		5,556,952			463,525
Shares outstanding end of period		9,631,952			920,025
Percentage change in shares outstanding		73.3	%		98.5	%
Shares created		11,787,500			1,023,500
Shares redeemed		7,712,500			567,000
Per share NAV beginning of period	$	64.77		$	1,925.32
Per share NAV end of period	$	39.32		$	912.60
Percentage change in per share NAV		(39.3	)%		(52.6	)%
Percentage change in benchmark		(18.7	)%		(22.5	)%
Benchmark annualized volatility		56.3	%		102.3	%

During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 5,556,952 outstanding Shares at March 31, 2017 to 9,631,952 outstanding Shares at June 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 June 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the 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 463,525 outstanding Shares at March 31, 2016 to 920,025 outstanding Shares at June 30, 2016.

For the three months ended June 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 39.3% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 52.6% for the three months ended June 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 13, 2017 at $86.96 per Share and reached its low for the period on June 26, 2017 at $35.93 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 11, 2016 at $2,197.60 per Share and reached its low for the period on June 30, 2016 at $912.60 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(1,224,224	)	$	(3,032,293	)
Management fee		918,110			2,169,397
Brokerage commissions		901,683			1,390,754
Net realized gain (loss)		(153,987,419	)		(535,301,823	)
Change in net unrealized appreciation/depreciation		30,330,056			33,049,072
Net income (loss)	$	(124,881,587	)	$	(505,285,044	)

162

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a lesser decline n the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 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 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 June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	205,157,522		$	223,228,004
NAV end of period	$	121,175,298		$	165,504,746
Percentage change in NAV		(40.9	)%		(25.9	)%
Shares outstanding beginning of period		5,589,884			3,439,884
Shares outstanding end of period		2,789,884			4,039,884
Percentage change in shares outstanding		(50.1	)%		17.4	%
Shares created		3,200,000			4,600,000
Shares redeemed		6,000,000			4,000,000
Per share NAV beginning of period	$	36.70		$	64.89
Per share NAV end of period	$	43.43		$	40.97
Percentage change in per share NAV		18.3	%		(36.9	)%
Percentage change in benchmark		(10.5	)%		18.7	%
Benchmark annualized volatility		27.7	%		38.6	%

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 5,589,884 outstanding Shares at March 31, 2017 to 2,789,884 outstanding Shares at June 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 WTI Crude Oil Subindex^SM. By comparison, during the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 3,439,884 outstanding Shares at March 31, 2016 to 4,039,884 outstanding Shares at June 30, 2016.

For the three months ended June 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 18.3% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 36.9% for the three months ended June 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 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 April 11, 2017 at $32.87 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 4, 2016 at $74.28 per Share and reached its low for the period on June 8, 2016 at $37.22 per Share.

The benchmark’s decline of 10.5% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 18.7% for the three months ended June 30, 2016, can be attributed to a decrease in the price of WTI Crude Oil during the three months ended June 30, 2017.

163

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(120,394	)	$	(412,454	)
Management fee		381,832			516,946
Brokerage commissions		19,058			39,895
Net realized gain (loss)		60,374,329			(109,493,254	)
Change in net unrealized appreciation/depreciation		(14,881,070	)		19,903,264
Net income (loss)	$	45,372,865		$	(90,002,444	)

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decrease in the price of WTI Crude Oil during the three months ended June 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 June 30, 2016 have not been provided.

The following table provides summary performance information for the Fund for the three months ended June 30, 2017:


	Three Months Ended June 30, 2017
NAV beginning of period	$	4,231,785
NAV end of period	$	5,292,315
Percentage change in NAV		25.1	%
Shares outstanding beginning of period		200,008
Shares outstanding end of period		200,008
Percentage change in shares outstanding		0.0	%
Shares created		150,000
Shares redeemed		150,000
Per share NAV beginning of period	$	21.16
Per share NAV end of period	$	26.46
Percentage change in per share NAV		25.0	%
Percentage change in benchmark		(10.5	)%
Benchmark annualized volatility		27.7	%

During the three months ended June 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 3x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. There was no net change in the Fund’s outstanding Shares from March 31, 2017 to June 30, 2017.

For the three months ended June 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 June 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 April 11, 2017 at $17.91 per Share.

164

The benchmark’s decline of 10.5% for the three months ended June 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017:


	Three Months Ended June 30, 2017
Net investment income (loss)	$	(23,799	)
Brokerage commissions		6,949
Offering costs		36,999
Limitation by Sponsor		(20,149	)
Net realized gain (loss)		1,878,109
Change in net unrealized appreciation/depreciation		416,232
Net income (loss)	$	2,270,542

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016 :


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	8,037,027		$	4,993,531
NAV end of period	$	7,455,967		$	2,550,965
Percentage change in NAV		(7.2	)%		(48.9	)%
Shares outstanding beginning of period		274,832			74,832
Shares outstanding end of period		224,832			74,832
Percentage change in shares outstanding		(18.2	)%		0.0	%
Shares created		50,000			300,000
Shares redeemed		100,000			300,000
Per share NAV beginning of period	$	29.24		$	66.73
Per share NAV end of period	$	33.16		$	34.09
Percentage change in per share NAV		13.4	%		(48.9	)%
Percentage change in benchmark		(9.4	)%		31.0	%
Benchmark annualized volatility		31.3	%		40.0	%

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 274,832 outstanding Shares at March 31, 2017 to 224,832 outstanding Shares at June 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 June 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM. There was no net change in the Fund’s outstanding Shares from March 31, 2016 to June 30, 2016.

For the three months ended June 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 13.4% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 48.9% for the three months ended June 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 19, 2017 at $36.17 per Share and reached its low for the period on May 12, 2017 at $25.70 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 6, 2016 at $69.79 per Share and reached its low for the period on June 30, 2016 at $34.09 per Share.

165

The benchmark’s decline of 9.4% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 31.0% for the three months ended June 30, 2016, can be attributed to a decrease in the price of Henry Hub Natural Gas during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(15,159	)	$	(31,909	)
Management fee		17,846			20,104
Brokerage commissions		6,845			16,355
Net realized gain (loss)		49,239			(3,554,942	)
Change in net unrealized appreciation/depreciation		880,924			(14,207	)
Net income (loss)	$	915,004		$	(3,601,058	)

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decrease in the price of Henry Hub Natural Gas, during the three months ended June 30, 2017.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016 :


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	34,150,818		$	69,515,807
NAV end of period	$	37,919,363		$	56,037,110
Percentage change in NAV		11.0	%		(19.4	)%
Shares outstanding beginning of period		446,978			846,978
Shares outstanding end of period		496,978			796,978
Percentage change in shares outstanding		11.2	%		(5.9	)%
Shares created		200,000			100,000
Shares redeemed		150,000			150,000
Per share NAV beginning of period	$	76.40		$	82.08
Per share NAV end of period	$	76.30		$	70.31
Percentage change in per share NAV		(0.1	)%		(14.3	)%
Percentage change in benchmark		(0.2	)%		6.8	%
Benchmark annualized volatility		11.1	%		17.7	%

During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 446,978 outstanding Shares at March 31, 2017 to 496,978 outstanding Shares at June 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 gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 846,978 outstanding Shares at March 31, 2016 to 796,978 outstanding Shares at June 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

166

For the three months ended June 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 0.1% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 14.3% for the three months ended June 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on May 9, 2017 at $79.26 per Share and reached its low for the period on June 6, 2017 at $70.47 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $85.16 per Share and reached its low for the period on June 27, 2016 at $69.95 per Share.

The benchmark’s decline of 0.2% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 6.8% for the three months ended June 30, 2016, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(18,164	)	$	(114,810	)
Management fee		83,084			159,878
Brokerage commissions		10			8
Net realized gain (loss)		(3,423,708	)		(256,423	)
Change in net unrealized appreciation/depreciation		3,810,157			(9,930,237	)
Net income (loss)	$	368,285		$	(10,301,470	)

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2017.

167

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	18,125,235		$	50,479,106
NAV end of period	$	23,175,549		$	32,067,220
Percentage change in NAV		27.9	%		(36.5	)%
Shares outstanding beginning of period		616,976			1,016,976
Shares outstanding end of period		666,976			966,976
Percentage change in shares outstanding		8.1	%		(4.9	)%
Shares created		300,000			250,000
Shares redeemed		250,000			300,000
Per share NAV beginning of period	$	29.38		$	49.64
Per share NAV end of period	$	34.75		$	33.16
Percentage change in per share NAV		18.3	%		(33.2	)%
Percentage change in benchmark		(8.8	)%		19.4	%
Benchmark annualized volatility		16.5	%		25.3	%

During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 616,976 outstanding Shares at March 31, 2017 to 666,976 outstanding Shares at June 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 silver bullion as measured by the London Silver Price. By comparison, during the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,016,976 outstanding Shares at March 31, 2016 to 966,976 outstanding Shares at June 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended June 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 18.3% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 33.2% for the three months ended June 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on May 9, 2017 at $36.09 per Share and reached its low for the period on April 13, 2017 at $27.71 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 4, 2016 at $52.34 per Share and reached its low for the period on June 30, 2016 at $33.16 per Share.

The benchmark’s decline of 8.8% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 19.4% for the three months ended June 30, 2016, can be attributed to a decline in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2017.

168

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(14,368	)	$	(70,289	)
Management fee		50,752			99,330
Brokerage commissions		19			17
Net realized gain (loss)		631,092			(6,440,229	)
Change in net unrealized appreciation/depreciation		3,022,758			(9,544,661	)
Net income (loss)	$	3,639,482		$	(16,055,179	)

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decline in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2017.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	15,578,470		$	14,594,528
NAV end of period	$	10,433,992		$	17,125,648
Percentage change in NAV		(33.0	)%		17.3	%
Shares outstanding beginning of period		350,000			350,000
Shares outstanding end of period		250,000			400,000
Percentage change in shares outstanding		(28.6	)%		14.3	%
Shares created		—			50,000
Shares redeemed		100,000			—
Per share NAV beginning of period	$	44.51		$	41.70
Per share NAV end of period	$	41.74		$	42.81
Percentage change in per share NAV		(6.2	)%		2.7	%
Percentage change in benchmark		7.1	%		(2.5	)%
Benchmark annualized volatility		7.4	%		9.1	%

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,000 outstanding Shares at March 31, 2017 to 250,000 outstanding Shares at June 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 June 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 350,000 outstanding Shares at March 31, 2016 to 400,000 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended June 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 6.2% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 2.7% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2017.

169

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 10, 2017 at $44.89 per Share and reached its low for the period on June 29, 2017 at $41.66 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $43.03 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share.

The benchmark’s rise of 7.1% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 2.5% for the three months ended June 30, 2016, can be attributed to an increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(11,755	)	$	(31,107	)
Management fee		34,086			38,959
Brokerage commissions		453			679
Net realized gain (loss)		(818,040	)		(472,606	)
Change in net unrealized appreciation/depreciation		(66,049	)		925,451
Net income (loss)	$	(895,844	)	$	421,738

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2017.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	14,625,590		$	18,028,199
NAV end of period	$	11,974,974		$	18,713,405
Percentage change in NAV		(18.1	)%		3.8	%
Shares outstanding beginning of period		300,000			350,000
Shares outstanding end of period		250,000			350,000
Percentage change in shares outstanding		(16.7	)%		0.0	%
Shares created		—			—
Shares redeemed		50,000			—
Per share NAV beginning of period	$	48.75		$	51.51
Per share NAV end of period	$	47.90		$	53.47
Percentage change in per share NAV		(1.7	)%		3.8	%
Percentage change in benchmark		0.6	%		(2.7	)%
Benchmark annualized volatility		7.1	%		13.2	%

170

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at March 31, 2017 to 250,000 outstanding Shares at June 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 June 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2016 to June 30, 2016.

For the three months ended June 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 1.7% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 3.8% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on May 9, 2017 at $52.68 per Share and reached its low for the period on June 29, 2017 at $47.90 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on May 24, 2016 at $58.10 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share.

The benchmark’s rise of 0.6% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 2.7% for the three months ended June 30, 2016, can be attributed to a rise in the value of the Australian dollar versus the U.S. dollar during the period ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(15,526	)	$	(36,158	)
Management fee		34,714			44,642
Brokerage commissions		2,065			3,774
Net realized gain (loss)		64,821			(454,834	)
Change in net unrealized appreciation/depreciation		(207,466	)		1,176,198
Net income (loss)	$	(158,171	)	$	685,206

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a rise in the value of the Australian dollar versus the U.S. dollar during the three months ended June 30, 2017.

171

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	297,181,632		$	398,948,519
NAV end of period	$	237,012,906		$	386,660,905
Percentage change in NAV		(20.2	)%		(3.1	)%
Shares outstanding beginning of period		11,250,000			17,200,000
Shares outstanding end of period		10,250,000			15,900,000
Percentage change in shares outstanding		(8.9	)%		(7.6	)%
Shares created		150,000			200,000
Shares redeemed		1,150,000			1,500,000
Per share NAV beginning of period	$	26.42		$	23.19
Per share NAV end of period	$	23.12		$	24.32
Percentage change in per share NAV		(12.5	)%		4.9	%
Percentage change in benchmark		7.1	%		(2.5	)%
Benchmark annualized volatility		7.4	%		9.1	%

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 11,250,000 outstanding Shares at March 31, 2017 to 10,250,000 outstanding Shares at June 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 three months ended June 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 17,200,000 outstanding Shares at March 31, 2016 to 15,900,000 outstanding Shares at June 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended June 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 12.5% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 4.9% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 7, 2017 at $26.79 per Share and reached its low for the period on June 29, 2017 at $23.04 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $24.67 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share.

The benchmark’s rise of 7.1% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 2.5% for the three months ended June 30, 2016, can be attributed to rise in the value of the euro versus the U.S. dollar during the three months ended June 30, 2017.

172

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(125,473	)	$	(666,494	)
Management fee		633,812			921,922
Net realized gain (loss)		(36,509,511	)		(26,134,024	)
Change in net unrealized appreciation/depreciation		1,704,360			45,094,110
Net income (loss)	$	(34,930,624	)	$	18,293,592

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended June 30, 2017.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	221,231,848		$	175,927,655
NAV end of period	$	170,316,152		$	193,732,080
Percentage change in NAV		(23.0	)%		10.1	%
Shares outstanding beginning of period		3,049,290			2,299,290
Shares outstanding end of period		2,299,290			3,049,290
Percentage change in shares outstanding		(24.6	)%		32.6	%
Shares created		—			750,000
Shares redeemed		750,000			—
Per share NAV beginning of period	$	72.55		$	76.51
Per share NAV end of period	$	74.07		$	63.53
Percentage change in per share NAV		2.1	%		(17.0	)%
Percentage change in benchmark		(1.0	)%		9.0	%
Benchmark annualized volatility		8.0	%		14.6	%

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 3,049,290 outstanding Shares at March 31, 2017 to 2,299,290 outstanding Shares at June 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 June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,299,290 outstanding Shares at March 31, 2016 to 3,049,290 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended June 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 June 30, 2017, as compared to the Fund’s per Share NAV decrease of 17.0% for the three months ended June 30, 2016, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2017.

173

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on May 10, 2017 at $76.41 per Share and reached its low for the period on April 18, 2017 at $68.84 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $75.29 per Share and reached its low for the period on June 27, 2016 at $62.01 per Share.

The benchmark’s decline of 1.0% for the three months ended June 30, 2017, as compared to the benchmark’s rise of 9.0% for the three months ended June 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 June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(97,161	)	$	(324,778	)
Management fee		457,413			429,269
Net realized gain (loss)		(16,191,328	)		(15,080,369	)
Change in net unrealized appreciation/depreciation		19,230,799			(17,985,087	)
Net income (loss)	$	2,942,310		$	(33,390,234	)

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2017.

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	883,692,281		$	807,934,402
NAV end of period	$	958,703,511		$	898,563,742
Percentage change in NAV		8.5	%		11.2	%
Shares outstanding beginning of period		46,611,317			44,913,933
Shares outstanding end of period		64,761,317			36,938,933
Percentage change in shares outstanding		38.9	%		(17.8	)%
Shares created		39,500,000			5,975,000
Shares redeemed		21,350,000			13,950,000
Per share NAV beginning of period	$	18.96		$	17.99
Per share NAV end of period	$	14.80		$	24.33
Percentage change in per share NAV		(21.9	)%		35.3	%
Percentage change in benchmark		(10.5	)%		18.7	%
Benchmark annualized volatility		27.7	%		38.6	%

174

During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 46,611,317 outstanding Shares at March 31, 2017 to 64,761,317 outstanding Shares at June 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 WTI Crude Oil Subindex^SM. By comparison, during the three months ended June 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. The increase in the Fund’s NAV was offset by a decrease from 44,913,933 outstanding Shares at March 31, 2016 to 36,938,933 outstanding Shares at June 30, 2016.

For the three months ended June 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 21.9% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 35.3% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on April 11, 2017 at $21.09 per Share and reached its low for the period on June 21, 2017 at $12.64 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $28.16 per Share and reached its low for the period on April 4, 2016 at $15.54 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(509,922	)	$	(1,768,802	)
Management fee		2,013,640			2,100,452
Brokerage commissions		68,950			166,881
Net realized gain (loss)		(168,598,236	)		366,695,141
Change in net unrealized appreciation/depreciation		28,789,192			(70,503,063	)
Net income (loss)	$	(140,318,966	)	$	294,423,276

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decrease in the price of WTI Crude Oil during the three months ended June 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 ProShares Ultra Bloomberg Crude Oil.

175

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 June 30, 2016 have not been provided.

The following table provides summary performance information for the Fund for the three months ended June 30, 2017:


	Three Months Ended June 30, 2017
NAV beginning of period	$	5,849,001
NAV end of period	$	20,499,886
Percentage change in NAV		250.5	%
Shares outstanding beginning of period		200,008
Shares outstanding end of period		1,050,008
Percentage change in shares outstanding		425.0	%
Shares created		950,000
Shares redeemed		100,000
Per share NAV beginning of period	$	29.24
Per share NAV end of period	$	19.52
Percentage change in per share NAV		(33.2	)%
Percentage change in benchmark		(10.5	)%
Benchmark annualized volatility		27.7	%

During the three months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 200,008 outstanding Shares at March 31, 2017 to 1,050,008 outstanding Shares at June 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 three months ended June 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 June 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 10.5% for the three months ended June 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017:


	Three Months Ended June 30, 2017
Net investment income (loss)	$	(40,999	)
Brokerage commissions		10,401
Offering costs		36,999
Limitation by Sponsor		(6,401	)
Net realized gain (loss)		(1,832,876	)
Change in net unrealized appreciation/depreciation		(272,129	)
Net income (loss)	$	(2,146,004	)

176

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	47,154,853		$	28,612,516
NAV end of period	$	43,886,614		$	43,355,961
Percentage change in NAV		(6.9	)%		51.5	%
Shares outstanding beginning of period		3,842,169			2,642,169
Shares outstanding end of period		4,492,169			2,442,169
Percentage change in shares outstanding		16.9	%		(7.6	)%
Shares created		1,250,000			400,000
Shares redeemed		600,000			600,000
Per share NAV beginning of period	$	12.27		$	10.83
Per share NAV end of period	$	9.77		$	17.75
Percentage change in per share NAV		(20.4	)%		63.9	%
Percentage change in benchmark		(9.4	)%		31.0	%
Benchmark annualized volatility		31.3	%		40.0	%

During the three months ended June 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 Bloomberg Natural Gas Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 3,842,169 outstanding Shares at March 31, 2017 to 4,492,169 outstanding Shares at June 30, 2017. By comparison, during the three months ended June 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. The increase in the Fund’s NAV was offset by a decrease from 2,642,169 outstanding Shares at March 31, 2016 to 2,442,169 outstanding Shares at June 30, 2016.

For the three months ended June 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 20.4% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 63.9% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on May 12, 2017 at $13.37 per Share and reached its low for the period on June 19, 2017 at $9.02 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 30, 2016 at $17.75 per Share and reached its low for the period on April 6, 2016 at $10.29 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(61,668	)	$	(100,326	)
Management fee		99,053			75,122
Brokerage commissions		25,411			40,615
Net realized gain (loss)		(4,648,302	)		10,485,336
Change in net unrealized appreciation/depreciation		(3,331,224	)		7,851,936
Net income (loss)	$	(8,041,194	)	$	18,236,946

177

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decrease in the price of Henry Hub Natural Gas during the three months ended June 30, 2017.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	97,753,642		$	91,724,555
NAV end of period	$	88,717,834		$	100,789,893
Percentage change in NAV		(9.2	)%		9.9	%
Shares outstanding beginning of period		2,550,000			2,300,000
Shares outstanding end of period		2,350,000			2,250,000
Percentage change in shares outstanding		(7.8	)%		(2.2	)%
Shares created		50,000			–
Shares redeemed		250,000			50,000
Per share NAV beginning of period	$	38.33		$	39.88
Per share NAV end of period	$	37.75		$	44.80
Percentage change in per share NAV		(1.5	)%		12.3	%
Percentage change in benchmark		(0.2	)%		6.8	%
Benchmark annualized volatility		11.1	%		17.7	%

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,000 outstanding Shares at March 31, 2017 to 2,350,000 outstanding Shares at June 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 gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the three months ended June 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,300,000 outstanding Shares at March 31, 2016 to 2,250,000 outstanding Shares at June 30, 2016.

For the three months ended June 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 1.5% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 12.3% for the three months ended June 30, 2016 was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 6, 2017 at $41.06 per Share and reached its low for the period on May 9, 2017 at $36.67 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $45.07 per Share and reached its low for the period on May 31, 2016 at $37.96 per Share.

178

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(46,666	)	$	(161,625	)
Management fee		225,316			221,251
Brokerage commissions		10			8
Net realized gain (loss)		8,452,994			(4,909,360	)
Change in net unrealized appreciation/depreciation		(9,841,138	)		16,122,144
Net income (loss)	$	(1,434,810	)	$	11,051,159

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to decrease in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2017.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	306,366,355		$	263,338,473
NAV end of period	$	245,798,564		$	386,838,399
Percentage change in NAV		(19.8	)%		46.9	%
Shares outstanding beginning of period		7,546,526			8,046,526
Shares outstanding end of period		7,396,526			8,496,526
Percentage change in shares outstanding		(2.0	)%		5.6	%
Shares created		650,000			700,000
Shares redeemed		800,000			250,000
Per share NAV beginning of period	$	40.60		$	32.73
Per share NAV end of period	$	33.23		$	45.53
Percentage change in per share NAV		(18.2	)%		39.1	%
Percentage change in benchmark		(8.8	)%		19.4	%
Benchmark annualized volatility		16.5	%		25.3	%

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 7,546,526 outstanding Shares at March 31, 2017 to 7,396,526 outstanding Shares at June 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 silver bullion as measured by the London Silver Price. By comparison, during the three months ended June 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 8,046,526 outstanding Shares at March 31, 2016 to 8,496,526 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended June 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 18.2% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 39.1% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2017.

179

During the three months ended June 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 May 9, 2017 at $32.50 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 30, 2016 at $45.53 per Share and reached its low for the period on April 4, 2016 at $30.92 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(132,432	)	$	(553,155	)
Management fee		651,232			741,794
Brokerage commissions		29			17
Net realized gain (loss)		(10,939,045	)		21,386,515
Change in net unrealized appreciation/depreciation		(41,673,877	)		86,616,491
Net income (loss)	$	(52,745,354	)	$	107,449,851

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decline in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2017.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	14,244,522		$	10,961,778
NAV end of period	$	12,928,079		$	9,532,904
Percentage change in NAV		(9.2	)%		(13.0	)%
Shares outstanding beginning of period		1,000,000			650,000
Shares outstanding end of period		800,000			600,000
Percentage change in shares outstanding		(20.0	)%		(7.7	)%
Shares created		550,000			50,000
Shares redeemed		750,000			100,000
Per share NAV beginning of period	$	14.24		$	16.86
Per share NAV end of period	$	16.16		$	15.89
Percentage change in per share NAV		13.5	%		(5.8	)%
Percentage change in benchmark		7.1	%		(2.5	)%
Benchmark annualized volatility		7.4	%		9.1	%

180

During the three months ended June 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 1,000,000 outstanding Shares at March 31, 2017 to 800,000 outstanding Shares at June 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 spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 650,000 outstanding Shares at March 31, 2016 to 600,000 outstanding Shares at June 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended June 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 13.5% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 5.8% for the three months ended June 30, 2016, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2017.

During the three months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 29, 2017 at $16.22 per Share and reached its low for the period on April 7, 2017 at $14.04 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on May 2, 2016 at $17.23 per Share and reached its low for the period on June 27, 2016 at $15.67 per Share.

The benchmark’s rise of 7.1% for the three months ended June 30, 2017, as compared to the benchmark’s decline of 2.5% for the three months ended June 30, 2016, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(9,508	)	$	(16,403	)
Management fee		34,480			23,237
Net realized gain (loss)		2,035,324			605,256
Change in net unrealized appreciation/depreciation		(10,060	)		(1,163,117	)
Net income (loss)	$	2,015,756		$	(574,264	)

The Fund’s net income increased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to an increase in the value of the euro versus the U.S. dollar during the three months ended June 30, 2017.

181

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
NAV beginning of period	$	6,039,723		$	6,194,007
NAV end of period	$	5,866,403		$	7,265,264
Percentage change in NAV		(2.9	)%		17.3	%
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	$	60.42		$	61.96
Per share NAV end of period	$	58.68		$	72.67
Percentage change in per share NAV		(2.9	)%		17.3	%
Percentage change in benchmark		(1.0	)%		9.0	%
Benchmark annualized volatility		8.0	%		14.6	%

During the three months ended June 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 March 31, 2017 to June 30, 2017. By comparison, during the three months ended June 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2016 to June 30, 2016.

For the three months ended June 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 2.9% for the three months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 17.3% for the three months ended June 30, 2016, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended June 30, 2017.

During the three months ended June 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 May 10, 2017 at $57.18 per Share. By comparison, during the three months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $74.48 per Share and reached its low for the period on April 22, 2016 at $62.83 per Share.

182

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2017 and 2016:


	Three Months Ended June 30, 2017			Three Months Ended June 30, 2016
Net investment income (loss)	$	(7,450	)	$	(11,556	)
Management fee		14,326			15,811
Net realized gain (loss)		424,094			485,862
Change in net unrealized appreciation/depreciation		(589,964	)		596,951
Net income (loss)	$	(173,320	)	$	1,071,257

The Fund’s net income decreased for the three months ended June 30, 2017, as compared to the three months ended June 30, 2016, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2017.

183

Results of Operations for the Six Months Ended June 30, 2017 Compared to the Six Months Ended June 30, 2016

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	174,160,146		$	105,272,823
NAV end of period	$	162,053,094		$	190,955,944
Percentage change in NAV		(7.0	)%		81.4	%
Shares outstanding beginning of period		2,052,363			397,491
Shares outstanding end of period		3,796,113			1,057,491
Percentage change in shares outstanding		85.0	%		166.0	%
Shares created		3,018,750			1,346,250
Shares redeemed		1,275,000			686,250
Per share NAV beginning of period	$	84.86		$	264.84
Per share NAV end of period	$	42.69		$	180.57
Percentage change in per share NAV		(49.7	)%		(31.8	)%
Percentage change in benchmark		(49.4	)%		(31.6	)%
Benchmark annualized volatility		46.3	%		88.5	%

During the six months ended June 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 Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 2,052,363 outstanding Shares at December 31, 2016 to 3,796,113 outstanding Shares at June 30, 2017. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 397,491 outstanding Shares at December 31, 2015 to 1,057,491 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the six months ended June 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 49.7% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 31.8% for the six months ended June 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the six months ended June 30, 2017.

During the six months ended June 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 June 26, 2017 at $40.75 per Share. By comparison, during the six months ended June 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 June 6, 2016 at $170.20 per Share.

The benchmark’s decline of 49.4% for the six months ended June 30, 2017, as compared to the benchmark’s decline of 31.6% for the six months ended June 30, 2016, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the six months ended June 30, 2017.

184

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(294,989	)	$	(708,321	)
Management fee		622,968			735,862
Brokerage commission		79,244			153,034
Net realized gain (loss)		(98,756,862	)		(32,558,408	)
Change in net unrealized appreciation/depreciation		(637,918	)		(15,251,572	)
Net income (loss)	$	(99,689,769	)	$	(48,518,301	)

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater decline in the futures prices and benchmark volatility during the six months ended June 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 six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	45,818,914		$	27,650,638
NAV end of period	$	30,550,943		$	42,224,892
Percentage change in NAV		(33.3	)%		52.7	%
Shares outstanding beginning of period		1,087,403			512,404
Shares outstanding end of period		1,112,403			812,403
Percentage change in shares outstanding		2.3	%		58.5	%
Shares created		175,000			425,000
Shares redeemed		150,000			125,001
Per share NAV beginning of period	$	42.14		$	53.96
Per share NAV end of period	$	27.46		$	51.98
Percentage change in per share NAV		(34.8	)%		(3.7	)%
Percentage change in benchmark		(34.4	)%		(3.3	)%
Benchmark annualized volatility		18.1	%		42.7	%

During the six months ended June 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 1,112,403 outstanding Shares at June 30, 2017. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 812,403 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

185

For the six months ended June 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 34.8% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 3.7% for the six months ended June 30, 2016 was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

During the six months ended June 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 June 28, 2017 at $27.30 per Share. By comparison, during the six months ended June 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 June 23, 2016 at $49.89 per Share.

The benchmark’s decline of 34.4% for the six months ended June 30, 2017, as compared to the benchmark’s decline of 3.3% for the six months ended June 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 six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(67,708	)	$	(121,236	)
Management fee		155,244			142,725
Brokerage commission		5,051			12,609
Net realized gain (loss)		(15,215,578	)		(349,207	)
Change in net unrealized appreciation/depreciation		(1,017,185	)		(766,663	)
Net income (loss)	$	(16,300,471	)	$	(1,237,106	)

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater decline in futures prices during the six months ended June 30, 2017.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	228,075,387		$	642,811,361
NAV end of period	$	793,060,423		$	687,712,265
Percentage change in NAV		247.7	%		7.0	%
Shares outstanding beginning of period		5,000,000			25,300,080
Shares outstanding end of period		9,900,000			27,600,000
Percentage change in shares outstanding		98.0	%		9.1	%
Shares created		29,000,000			69,600,000
Shares redeemed		24,100,000			67,300,080
Per share NAV beginning of period	$	45.62		$	25.41
Per share NAV end of period	$	80.11		$	24.92
Percentage change in per share NAV		75.6	%		(1.9	)%
Percentage change in benchmark		(49.4	)%		(31.6	)%
Benchmark annualized volatility		46.3	%		88.5	%

186

During the six months ended June 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 9,900,000 outstanding Shares at June 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 six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 25,300,080 outstanding Shares at December 31, 2015 to 27,600,000 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the six months ended June 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 75.6% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 1.9% for the six months ended June 30, 2016, was primarily due to a decline in prices of the first and second month VIX futures during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 26, 2017 at $84.17 per Share and reached its low for the period on January 3, 2017 at $49.10 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 6, 2016 at $32.59 per Share and reached its low for the period on February 11, 2016 at $15.75 per Share.

The benchmark’s decline of 49.4% for the six months ended June 30, 2017, as compared to the benchmark’s decline of 31.6% for the six months ended June 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 six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(2,272,392	)	$	(3,065,043	)
Management fee		2,260,276			2,610,743
Brokerage commission		1,394,810			1,053,458
Net realized gain (loss)		282,816,334			(14,242,969	)
Change in net unrealized appreciation/depreciation		4,519,029			68,505,168
Net income (loss)	$	285,062,971		$	51,197,156

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater decline in futures prices during the six months ended June 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 six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	515,758,754		$	547,708,740
NAV end of period	$	378,714,636		$	839,613,853
Percentage change in NAV		(26.6	)%		53.3	%
Shares outstanding beginning of period		2,965,383			195,025
Shares outstanding end of period		9,631,952			920,025
Percentage change in shares outstanding		224.8	%		371.7	%
Shares created		17,785,000			1,500,500
Shares redeemed		11,118,431			775,500
Per share NAV beginning of period	$	173.93		$	2,808.40
Per share NAV end of period	$	39.32		$	912.60
Percentage change in per share NAV		(77.4	)%		(67.5	)%
Percentage change in benchmark		(49.4	)%		(31.6	)%
Benchmark annualized volatility		46.3	%		88.5	%

During the six months ended June 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 S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 2,965,383 outstanding Shares at December 31, 2016 to 9,631,952 outstanding Shares at June 30, 2017. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 195,025 outstanding Shares at December 31, 2015 to 920,025 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the six months ended June 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 77.4% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 67.5% for the six months ended June 30, 2016, was primarily due to a greater decline in prices of the first and second month VIX futures during the six months ended June 30, 2017.

During the six months ended June 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 June 26, 2017 at $35.93 per Share. By comparison, during the six months ended June 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 June 30, 2016 at $912.60 per Share.

188

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(2,541,734	)	$	(4,681,300	)
Management fee		1,839,772			3,381,298
Brokerage commission		1,668,516			2,126,665
Net realized gain (loss)		(519,524,922	)		(524,123,173	)
Change in net unrealized appreciation/depreciation		1,737,284			(190,156,030	)
Net income (loss)	$	(520,329,372	)	$	(718,960,503	)

*	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 six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	200,958,303		$	95,897,894
NAV end of period	$	121,175,298		$	165,504,746
Percentage change in NAV		(39.7	)%		72.6	%
Shares outstanding beginning of period		6,339,884			1,439,888
Shares outstanding end of period		2,789,884			4,039,884
Percentage change in shares outstanding		(56.0	)%		180.6	%
Shares created		5,300,000			10,000,000
Shares redeemed		8,850,000			7,400,004
Per share NAV beginning of period	$	31.70		$	66.60
Per share NAV end of period	$	43.43		$	40.97
Percentage change in per share NAV		37.0	%		(38.5	)%
Percentage change in benchmark		(18.5	)%		4.9	%
Benchmark annualized volatility		25.5	%		50.6	%

During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 6,339,884 outstanding Shares at December 31, 2016 to 2,789,884 outstanding Shares at June 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 WTI Crude Oil Subindex^SM. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,439,888 outstanding Shares at December 31, 2015 to 4,039,884 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the six months ended June 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 37.0% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 38.5% for the six months ended June 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

189

During the six months ended June 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 six months ended June 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 18.5% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 4.9% for the six months ended June 30, 2016, can be attributed to a decrease in the price of WTI Crude Oil during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(411,094	)	$	(749,456	)
Management fee		917,856			885,196
Brokerage commission		32,780			97,759
Net realized gain (loss)		59,224,854			(87,186,302	)
Change in net unrealized appreciation/depreciation		25,048,184			3,166,118
Net income (loss)	$	83,861,944		$	(84,769,640	)

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a decrease in the price of WTI Crude Oil during the six months ended June 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 June 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 June 30, 2017 may not be meaningful.

The following table provides summary performance information for the Fund from commencement of operations to June 30, 2017:


	March 24, 2017 (Commencement of Operations) through June 30, 2017
NAV beginning of period	$	200
NAV end of period	$	5,292,315
Percentage change in NAV		—	^NM
Shares outstanding beginning of period		8
Shares outstanding end of period		200,008
Percentage change in shares outstanding		—	^NM
Shares created		350,008
Shares redeemed		150,000
Per share NAV beginning of period	$	25.00
Per share NAV end of period	$	26.46
Percentage change in per share NAV		5.8	%
Percentage change in benchmark		(5.6	)%
Benchmark annualized volatility		27.1	%

NM — Not Meaningful

190

During the period ended June 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 8 outstanding Shares at March 24, 2017 to 200,008 outstanding Shares at June 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 daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the period ended June 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 June 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 April 11, 2017 at $17.91 per Share.

The benchmark’s decline of 5.6% for the period ended June 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to June 30, 2017:


	March 24, 2017 (Commencement of Operations) through June 30, 2017
Net investment income (loss)	$	(25,630	)
Brokerage commission		7,901
Offering costs		39,845
Limitation by Sponsor		(22,116	)
Net realized gain (loss)		1,772,343
Change in net unrealized appreciation/depreciation		(245,274	)
Net income (loss)	$	1,501,439

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	4,038,794		$	10,462,856
NAV end of period	$	7,455,967		$	2,550,965
Percentage change in NAV		84.6	%		(75.6	)%
Shares outstanding beginning of period		174,832			224,856
Shares outstanding end of period		224,832			74,832
Percentage change in shares outstanding		28.6	%		(66.7	)%
Shares created		150,000			450,000
Shares redeemed		100,000			600,024
Per share NAV beginning of period	$	23.10		$	46.53
Per share NAV end of period	$	33.16		$	34.09
Percentage change in per share NAV		43.5	%		(26.7	)%
Percentage change in benchmark		(24.8	)%		2.3	%
Benchmark annualized volatility		37.2	%		41.2	%

191

During the six months ended June 30, 2017, the increase in the Fund’s NAV resulted primarily from an increase from 174,832 outstanding Shares at December 31, 2016 to 224,832 outstanding Shares at June 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 Natural Gas Subindex^SM. By comparison, during the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,856 outstanding Shares at December 31, 2015 to 74,832 outstanding Shares at June 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the six months ended June 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 43.5% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 26.7% for the six months ended June 30, 2016, was primarily due to an appreciation in the value of the assets of the Fund during the six months June 30, 2017.

During the six months ended June 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 six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on March 3, 2016 at $84.20 per Share and reached its low for the period on June 30, 2016 at $34.09 per Share.

The benchmark’s decline of 24.8% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 2.3% for the six months ended June 30, 2016, can be attributed to a decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(30,975	)	$	(88,207	)
Management fee		33,091			57,023
Brokerage commission		12,357			45,302
Net realized gain (loss)		1,907,361			560,517
Change in net unrealized appreciation/depreciation		215,045			2,090,668
Net income (loss)	$	2,091,431		$	2,562,978

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2017.

192

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	63,653,647		$	74,971,764
NAV end of period	$	37,919,363		$	56,037,110
Percentage change in NAV		(40.4	)%		(25.3	)%
Shares outstanding beginning of period		696,978			646,978
Shares outstanding end of period		496,978			796,978
Percentage change in shares outstanding		(28.7	)%		23.2	%
Shares created		250,000			700,000
Shares redeemed		450,000			550,000
Per share NAV beginning of period	$	91.33		$	115.88
Per share NAV end of period	$	76.30		$	70.31
Percentage change in per share NAV		(16.5	)%		(39.3	)%
Percentage change in benchmark		8.4	%		24.6	%
Benchmark annualized volatility		12.3	%		19.4	%

During the six months ended June 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 June 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 six months ended June 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The decrease in the Fund’s NAV was offset by an increase from 646,978 outstanding Shares at December 31, 2015 to 796,978 outstanding Shares at June 30, 2016.

For the six months ended June 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 16.5% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 39.3% for the six months ended June 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

During the six months ended June 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 June 6, 2017 at $70.47 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $112.07 per Share and reached its low for the period on June 27, 2016 at $69.95 per Share.

The benchmark’s rise of 8.4% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 24.6% for the six months ended June 30, 2016, can be attributed to a lesser increase in the price of spot gold in U.S. dollar terms during the six months ended June 30, 2017.

193

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(65,041	)	$	(231,750	)
Management fee		181,359			305,990
Brokerage commission		29			25
Net realized gain (loss)		(8,295,869	)		(19,669,579	)
Change in net unrealized appreciation/depreciation		(400,322	)		(9,998,304	)
Net income (loss)	$	(8,761,232	)	$	(29,899,633	)

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a lesser increase in the price of spot gold in U.S. dollar terms and lower Net Asset Value during the six months ended June 30, 2017, as compared to the six months ended June 30, 2016.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	23,017,656		$	55,987,938
NAV end of period	$	23,175,549		$	32,067,220
Percentage change in NAV		0.7	%		(42.7	)%
Shares outstanding beginning of period		616,976			866,978
Shares outstanding end of period		666,976			966,976
Percentage change in shares outstanding		8.1	%		11.5	%
Shares created		500,000			1,000,000
Shares redeemed		450,000			900,002
Per share NAV beginning of period	$	37.31		$	64.58
Per share NAV end of period	$	34.75		$	33.16
Percentage change in per share NAV		(6.9	)%		(48.7	)%
Percentage change in benchmark		1.4	%		32.9	%
Benchmark annualized volatility		17.9	%		25.6	%

During the six months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 616,976 outstanding Shares at December 31, 2016 to 666,976 outstanding Shares at June 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 silver bullion as measured by the London Silver Price. By comparison, during the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 866,978 outstanding Shares at December 31, 2015 to 966,976 outstanding Shares at June 30, 2016.

For the six months ended June 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 6.9% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 48.7% for the six months ended June 30, 2016, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

194

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on January 3, 2017 at $38.64 per Share and reached its low for the period on April 13, 2017 at $27.71 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 28, 2016 at $66.01 per Share and reached its low for the period on June 30, 2016 at $33.16 per Share.

The benchmark’s rise of 1.4% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 32.9% for the six months ended June 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(37,928	)	$	(146,024	)
Management fee		96,805			194,741
Brokerage commission		29			25
Net realized gain (loss)		(2,226,293	)		(11,791,694	)
Change in net unrealized appreciation/depreciation		1,139,511			(13,772,989	)
Net income (loss)	$	(1,124,710	)	$	(25,710,707	)

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2017.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	15,770,088		$	17,510,898
NAV end of period	$	10,433,992		$	17,125,648
Percentage change in NAV		(33.8	)%		(2.2	)%
Shares outstanding beginning of period		350,000			400,005
Shares outstanding end of period		250,000			400,000
Percentage change in shares outstanding		(28.6	)%		0.0	%^
Shares created		—			50,000
Shares redeemed		100,000			50,005
Per share NAV beginning of period	$	45.06		$	43.78
Per share NAV end of period	$	41.74		$	42.81
Percentage change in per share NAV		(7.4	)%		(2.2	)%
Percentage change in benchmark		8.5	%		2.1	%
Benchmark annualized volatility		7.4	%		9.3	%

^	Amount represents less than 0.05%.

195

During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,000 outstanding Shares at December 31, 2016 to 250,000 outstanding Shares at June 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 six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 400,000 outstanding Shares at June 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the six months ended June 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 7.4% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 2.2% for the six months ended June 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2017.

During the six months ended June 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 June 29, 2017 at $41.66 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $44.25 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share.

The benchmark’s rise of 8.5% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 2.1% for the six months ended June 30, 2016, can be attributed to a greater increase in the value of the euro versus the U.S. dollar during the period ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(33,276	)	$	(66,252	)
Management fee		70,653			79,492
Brokerage commission		1,103			1,429
Net realized gain (loss)		(735,783	)		(526,767	)
Change in net unrealized appreciation/depreciation		(318,403	)		218,418
Net income (loss)	$	(1,087,462	)	$	(374,601	)

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2017.

196

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	16,613,473		$	20,460,679
NAV end of period	$	11,974,974		$	18,713,405
Percentage change in NAV		(27.9	)%		(8.5	)%
Shares outstanding beginning of period		300,000			350,005
Shares outstanding end of period		250,000			350,000
Percentage change in shares outstanding		(16.7	)%		0.0	%^
Shares created		—			—
Shares redeemed		50,000			5
Per share NAV beginning of period	$	55.38		$	58.46
Per share NAV end of period	$	47.90		$	53.47
Percentage change in per share NAV		(13.5	)%		(8.5	)%
Percentage change in benchmark		6.5	%		2.3	%
Benchmark annualized volatility		7.6	%		13.2	%

^	Amount represents less than 0.05%.

During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,000 outstanding Shares at December 31, 2016 to 250,000 outstanding Shares at June 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 six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 350,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at June 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the six months ended June 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 13.5% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 8.5% for the six months ended June 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2017.

During the six months ended June 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 March 20, 2017 at $47.67 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 15, 2016 at $65.74 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share.

The benchmark’s rise of 6.5% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 2.3% for the six months ended June 30, 2016, can be attributed to a greater rise in the value of the Australian dollar versus the U.S. dollar during the period ended June 30, 2017.

197

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(38,855	)	$	(81,187	)
Management fee		69,846			93,486
Brokerage commission		4,533			7,744
Net realized gain (loss)		(467,406	)		(2,143,273	)
Change in net unrealized appreciation/depreciation		(1,639,793	)		477,500
Net income (loss)	$	(2,146,054	)	$	(1,746,960	)

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater rise in the value of the Australian dollar versus the U.S. dollar during the six months ended June 30, 2017.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	349,392,650		$	522,306,518
NAV end of period	$	237,012,906		$	386,660,905
Percentage change in NAV		(32.2	)%		(26.0	)%
Shares outstanding beginning of period		12,900,000			20,450,014
Shares outstanding end of period		10,250,000			15,900,000
Percentage change in shares outstanding		(20.5	)%		(22.2	)%
Shares created		450,000			450,000
Shares redeemed		3,100,000			5,000,014
Per share NAV beginning of period	$	27.08		$	25.54
Per share NAV end of period	$	23.12		$	24.32
Percentage change in per share NAV		(14.6	)%		(4.8	)%
Percentage change in benchmark		8.5	%		2.1	%
Benchmark annualized volatility		7.4	%		9.3	%

During the six months ended June 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 10,250,000 outstanding Shares at June 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 six months ended June 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,450,014 outstanding Shares at December 31, 2015 to 15,900,000 outstanding Shares at June 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the six months ended June 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 14.6% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 4.8% for the six months ended June 30, 2016, was primarily due to a greater depreciation in the value of the assets held by the Fund during the six months ended June 30, 2017.

198

During the six months ended June 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 June 29, 2017 at $23.04 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $26.09 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share.

The benchmark’s rise of 8.5% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 2.1% for the six months ended June 30, 2016, can be attributed to a greater rise in the value of the euro versus the U.S. dollar during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(484,494	)	$	(1,471,447	)
Management fee		1,377,577			1,988,314
Net realized gain (loss)		(20,831,517	)		(55,056,068	)
Change in net unrealized appreciation/depreciation		(22,363,154	)		32,984,986
Net income (loss)	$	(43,679,165	)	$	(23,542,529	)

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater rise in the value of the euro versus the U.S. dollar during the six months ended June 30, 2017.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	276,781,747		$	237,372,900
NAV end of period	$	170,316,152		$	193,732,080
Percentage change in NAV		(38.5	)%		(18.4	)%
Shares outstanding beginning of period		3,449,290			2,699,294
Shares outstanding end of period		2,299,290			3,049,290
Percentage change in shares outstanding		(33.3	)%		13.0	%
Shares created		750,000			800,000
Shares redeemed		1,900,000			450,004
Per share NAV beginning of period	$	80.24		$	87.94
Per share NAV end of period	$	74.07		$	63.53
Percentage change in per share NAV		(7.7	)%		(27.8	)%
Percentage change in benchmark		3.9	%		16.4	%
Benchmark annualized volatility		9.0	%		12.8	%

199

During the six months ended June 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 2,299,290 outstanding Shares at June 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 six months ended June 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 2,699,294 outstanding Shares at December 31, 2015 to 3,049,290 outstanding Shares at June 30, 2016.

For the six months ended June 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 7.7% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 27.8% for the six months ended June 30, 2016, was primarily due to a lesser depreciation in the value of the assets held by the Fund during the six months ended June 30, 2017.

During the six months ended June 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 April 18, 2017 at $68.84 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 29, 2016 at $88.99 per Share and reached its low for the period on June 27, 2016 at $62.01 per Share.

The benchmark’s rise of 3.9% for the six months ended June 30, 2017, as compared to the benchmark’s rise of 16.4% for the six months ended June 30, 2016, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(408,905	)	$	(725,575	)
Management fee		1,092,436			898,414
Net realized gain (loss)		(16,463,982	)		(52,703,180	)
Change in net unrealized appreciation/depreciation		(7,411,050	)		(9,039,731	)
Net income (loss)	$	(24,283,937	)	$	(62,468,486	)

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2017.

200

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	933,731,860		$	783,922,475
NAV end of period	$	958,703,511		$	898,563,742
Percentage change in NAV		2.7	%		14.6	%
Shares outstanding beginning of period		40,013,933			31,163,934
Shares outstanding end of period		64,761,317			36,938,933
Percentage change in shares outstanding		61.8	%		18.5	%
Shares created		61,200,000			32,675,000
Shares redeemed		36,452,616			26,900,001
Per share NAV beginning of period	$	23.34		$	25.15
Per share NAV end of period	$	14.80		$	24.33
Percentage change in per share NAV		(36.6	)%		(3.3	)%
Percentage change in benchmark		(18.5	)%		4.9	%
Benchmark annualized volatility		25.5	%		50.6	%

During the six months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 40,013,933 outstanding Shares at December 31, 2016 to 64,761,317 outstanding Shares at June 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 WTI Crude Oil Subindex^SM. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 31,163,934 outstanding Shares at December 31, 2015 to 36,938,933 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the six months ended June 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 36.6% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 3.3% for the six months ended June 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

During the six months ended June 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 six months ended June 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.

201

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(1,464,427	)	$	(3,294,729	)
Management fee		3,975,239			3,913,130
Brokerage commission		106,267			331,194
Net realized gain (loss)		(169,015,334	)		113,330,482
Change in net unrealized appreciation/depreciation		(119,075,048	)		24,759,492
Net income (loss)	$	(289,554,809	)	$	134,795,245

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a decrease in the price of WTI Crude Oil during the six months ended June 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 ProShares Ultra Bloomberg Crude Oil.

ProShares UltraPro 3x Crude Oil ETF

Fund Performance

The following table provides summary performance information for the Fund from commencement of operations to June 30, 2017:


	March 24, 2017 (Commencement of Operations) through June 30, 2017
NAV beginning of period	$	200
NAV end of period	$	20,499,886
Percentage change in NAV		—	^NM
Shares outstanding beginning of period		8
Shares outstanding end of period		1,050,008
Percentage change in shares outstanding		—	^NM
Shares created		1,150,008
Shares redeemed		100,000
Per share NAV beginning of period	$	25.00
Per share NAV end of period	$	19.52
Percentage change in per share NAV		(21.9	)%
Percentage change in benchmark		(5.6	)%
Benchmark annualized volatility		27.1	%

NM — Not Meaningful

202

During the period ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 8 outstanding Shares at March 24, 2017 to 1,050,008 outstanding Shares at June 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 June 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 June 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 5.6% for the period ended June 30, 2017, can be attributed to a decrease in the price of WTI Crude Oil during the period ended June 30, 2017.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to June 30, 2017:


	March 24, 2017 (Commencement of Operations) through June 30, 2017
Net investment income (loss)	$	(42,817	)
Brokerage commission		11,274
Offering costs		39,845
Limitation by Sponsor		(8,302	)
Net realized gain (loss)		(1,833,835	)
Change in net unrealized appreciation/depreciation		578,453
Net income (loss)	$	(1,298,199	)

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	43,203,386		$	38,851,184
NAV end of period	$	43,886,614		$	43,355,961
Percentage change in NAV		1.6	%		11.6	%
Shares outstanding beginning of period		2,292,169			2,092,170
Shares outstanding end of period		4,492,169			2,442,169
Percentage change in shares outstanding		96.0	%		16.7	%
Shares created		4,000,000			1,500,000
Shares redeemed		1,800,000			1,150,001
Per share NAV beginning of period	$	18.85		$	18.57
Per share NAV end of period	$	9.77		$	17.75
Percentage change in per share NAV		(48.2	)%		(4.4	)%
Percentage change in benchmark		(24.8	)%		2.3	%
Benchmark annualized volatility		37.2	%		41.2	%

203

During the six months ended June 30, 2017, the increase in the Fund’s NAV resulted from an increase from 2,292,169 outstanding Shares at December 31, 2016 to 4,492,169 outstanding Shares at June 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 six months ended June 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,442,169 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the six months ended June 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 48.2% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV decrease of 4.4% for the six months ended June 30, 2016, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

During the six months ended June 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 June 19, 2017 at $9.02 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on January 8, 2016 at $20.23 per Share and reached its low for the period on March 3, 2016 at $8.89 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(148,175	)	$	(189,087	)
Management fee		207,945			143,866
Brokerage commission		47,065			72,364
Net realized gain (loss)		(19,026,437	)		4,626,617
Change in net unrealized appreciation/depreciation		(2,430,307	)		656,990
Net income (loss)	$	(21,604,919	)	$	5,094,520

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	92,127,200		$	69,864,815
NAV end of period	$	88,717,834		$	100,789,893
Percentage change in NAV		(3.7	)%		44.3	%
Shares outstanding beginning of period		2,800,000			2,350,014

204


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Shares outstanding end of period		2,350,000			2,250,000
Percentage change in shares outstanding		(16.1	)%		(4.3	)%
Shares created		350,000			100,000
Shares redeemed		800,000			200,014
Per share NAV beginning of period	$	32.90		$	29.73
Per share NAV end of period	$	37.75		$	44.80
Percentage change in per share NAV		14.7	%		50.7	%
Percentage change in benchmark		8.4	%		24.6	%
Benchmark annualized volatility		12.3	%		19.4	%

During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted from a decrease from 2,800,000 outstanding Shares at December 31, 2016 to 2,350,000 outstanding Shares at June 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 six months ended June 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,014 outstanding Shares at December 31, 2015 to 2,250,000 outstanding Shares at June 30, 2016.

For the six months ended June 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 14.7% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 50.7% for the six months ended June 30, 2016 was primarily due to a lesser appreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 6, 2017 at $41.06 per Share and reached its low for the period on January 3, 2017 at $33.18 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $45.07 per Share and reached its low for the period on January 5, 2016 at $30.67 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(167,651	)	$	(314,078	)
Management fee		467,757			420,073
Brokerage commission		29			25
Net realized gain (loss)		17,900,379			21,074,182
Change in net unrealized appreciation/depreciation		(3,440,604	)		13,214,738
Net income (loss)	$	14,292,124		$	33,974,842

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 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 six months ended June 30, 2017.

205

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	275,779,940		$	216,416,642
NAV end of period	$	245,798,564		$	386,838,399
Percentage change in NAV		(10.9	)%		78.7	%
Shares outstanding beginning of period		8,246,526			7,996,533
Shares outstanding end of period		7,396,526			8,496,526
Percentage change in shares outstanding		(10.3	)%		6.3	%
Shares created		650,000			1,350,000
Shares redeemed		1,500,000			850,007
Per share NAV beginning of period	$	33.44		$	27.06
Per share NAV end of period	$	33.23		$	45.53
Percentage change in per share NAV		(0.6	)%		68.3	%
Percentage change in benchmark		1.4	%		32.9	%
Benchmark annualized volatility		17.9	%		25.6	%

During the six months ended June 30, 2017, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,246,526 outstanding Shares at December 31, 2016 to 7,396,526 outstanding Shares at June 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 silver bullion as measured by the London Silver Price. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 7,996,533 outstanding Shares at December 31, 2015 to 8,496,526 outstanding Shares at June 30, 2016. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price.

For the six months ended June 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 0.6% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 68.3% for the six months ended June 30, 2016, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2017.

During the six months ended June 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 January 3, 2017 at $32.23 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 30, 2016 at $45.53 per Share and reached its low for the period on January 28, 2016 at $25.96 per Share.

The benchmark’s rise of 1.4%for the six months ended June 30, 2017, as compared to the benchmark’s rise of 32.9% for the six months ended June 30, 2016, can be attributed to a lesser rise in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2017.

206

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(474,656	)	$	(1,012,025	)
Management fee		1,358,786			1,322,264
Brokerage commission		39			27
Net realized gain (loss)		19,262,944			55,500,379
Change in net unrealized appreciation/depreciation		(14,398,126	)		98,080,629
Net income (loss)	$	4,390,162		$	152,568,983

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a lesser rise in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2017.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	11,914,585		$	10,857,730
NAV end of period	$	12,928,079		$	9,532,904
Percentage change in NAV		8.5	%		(12.2	)%
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		750,000			50,000
Shares redeemed		800,000			150,014
Per share NAV beginning of period	$	14.02		$	15.51
Per share NAV end of period	$	16.16		$	15.89
Percentage change in per share NAV		15.3	%		2.5	%
Percentage change in benchmark		8.5	%		2.1	%
Benchmark annualized volatility		7.4	%		9.3	%

During the six months ended June 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 June 30, 2017. By comparison, during the six months ended June 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 700,014 outstanding Shares at December 31, 2015 to 600,000 outstanding Shares at June 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

For the six months ended June 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 15.3% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 2.5% for the six months ended June 30, 2016, was primarily due to a greater appreciation in the value of the assets held by the Fund during the six months ended June 30, 2017.

207

During the six months ended June 30, 2017, the Fund’s per Share NAV reached its high for the period on June 29, 2017 at $16.22 per Share and reached its low for the period on January 3, 2017 at $13.68 per Share. By comparison, during the six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on May 2, 2016 at $17.23 per Share and reached its low for the period on January 5, 2016 at $15.17 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(24,795	)	$	(37,146	)
Management fee		64,547			48,943
Net realized gain (loss)		1,406,656			1,109,856
Change in net unrealized appreciation/depreciation		884,459			(771,167	)
Net income (loss)	$	2,266,320		$	301,543

The Fund’s net income increased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a greater increase in the value of the euro versus the U.S. dollar during the six months ended June 30, 2017.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
NAV beginning of period	$	5,540,957		$	5,473,848
NAV end of period	$	5,866,403		$	7,265,264
Percentage change in NAV		5.9	%		32.7	%
Shares outstanding beginning of period		99,970			99,974
Shares outstanding end of period		99,970			99,970
Percentage change in shares outstanding		0.0	%		0.0	%^
Shares created		—			—
Shares redeemed		—			4
Per share NAV beginning of period	$	55.43		$	54.75
Per share NAV end of period	$	58.68		$	72.67
Percentage change in per share NAV		5.9	%		32.7	%
Percentage change in benchmark		3.9	%		16.4	%
Benchmark annualized volatility		9.0	%		12.8	%

^	Amount represents less than 0.05%

208

During the six months ended June 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 June 30, 2017. By comparison, during the six months ended June 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase 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 June 30, 2016.

For the six months ended June 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 5.9% for the six months ended June 30, 2017, as compared to the Fund’s per Share NAV increase of 32.7% for the six months ended June 30, 2016, was primarily due to a lesser appreciation in the value of the assets held by the Fund during the six months ended June 30, 2017.

During the six months ended June 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 six months ended June 30, 2016, the Fund’s per Share NAV reached its high for the period on June 27, 2016 at $74.48 per Share and reached its low for the period on January 29, 2016 at $53.85 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2017 and 2016:


	Six Months Ended June 30, 2017			Six Months Ended June 30, 2016
Net investment income (loss)	$	(16,783	)	$	(22,662	)
Management fee		27,969			29,811
Net realized gain (loss)		342,551			1,318,083
Change in net unrealized appreciation/depreciation		(322	)		496,194
Net income (loss)	$	325,446		$	1,791,615

The Fund’s net income decreased for the six months ended June 30, 2017, as compared to the six months ended June 30, 2016, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2017.

209

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Equity Market Volatility Sensitivity

Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. The following tables provide information about each of the VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes. As of June 30, 2017 and 2016, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF:

As of June 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 June 30, 2017 and 2016, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2017


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2017		7,526	$	12.33		1,000	$	92,757,950
VIX Futures (CBOE)	Long	August 2017		5,474		12.68		1,000		69,382,950

Futures Positions as of June 30, 2016


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2016		5,415	$	16.98		1,000	$	91,919,625
VIX Futures (CBOE)	Long	August 2016		5,388		18.33		1,000		98,735,100

The June 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 June 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 June 30, 2017 and 2016, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2017


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2017		391	$	14.43		1,000	$	5,640,175
VIX Futures (CBOE)	Long	November 2017		675		14.93		1,000		10,074,375
VIX Futures (CBOE)	Long	December 2017		675		15.18		1,000		10,243,125
VIX Futures (CBOE)	Long	January 2018		284		16.23		1,000		4,607,900

210

Futures Positions as of June 30, 2016


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2016		349	$	19.78		1,000	$	6,901,475
VIX Futures (CBOE)	Long	November 2016		698		20.05		1,000		13,994,900
VIX Futures (CBOE)	Long	December 2016		699		20.03		1,000		13,997,475
VIX Futures (CBOE)	Long	January 2017		349		21.03		1,000		7,337,725

The June 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 June 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 June 30, 2017 and 2016, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2017


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Short	July 2017		36,797	$	12.33		1,000	$	(453,523,025	)
VIX Futures (CBOE)	Short	August 2017		26,760		12.68		1,000		(339,183,000	)

Futures Positions as of June 30, 2016


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Short	July 2016		19,460	$	16.98		1,000	$	(330,333,500	)
VIX Futures (CBOE)	Short	August 2016		19,556		18.33		1,000		(358,363,700	)

The June 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.

211

ProShares Ultra VIX Short-Term Futures ETF:

As of June 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 June 30, 2017 and 2016, which were sensitive to equity market volatility risk.


Futures Positions as of June 30, 2017

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2017		35,168	$	12.33		1,000	$	433,445,600
VIX Futures (CBOE)	Long	August 2017		25,576		12.68		1,000		324,175,800


Futures Positions as of June 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2016		47,593	$	16.98		1,000	$	807,891,175
VIX Futures (CBOE)	Long	August 2016		47,476		18.33		1,000		869,997,700

The June 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 June 30, 2017 and 2016, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort Bloomberg Crude Oil:

As of June 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Short

September 2017

1,018

46.29

1,000

(47,123,220

)

212


Swap Agreements as of June 30, 2017

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Citibank N.A.	Short	$	68.6588	$	(78,374,318	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		68.6588		(48,374,448	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Short		68.6588		(11,656,686	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		68.6588		(56,894,461	)

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional
Amount at
Value

WTI Crude Oil (NYMEX)

Short

September
2016

1,415

49.01

1,000

(69,349,150

)


Swap Agreements as of June 30, 2016

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Citibank N.A.	Short	$	83.1363	$	(80,059,861	)
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Short		83.1363		(31,645,418	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		83.1363		(76,235,818	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Short		83.1363		(8,710,888	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		83.1363		(64,999,894	)

The June 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 June 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.

ProShares UltraPro 3x Short Crude Oil ETF:

As of June 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 June 30, 2017, which were sensitive to commodity price risk.

213

Futures Positions as of June 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Short

September 2017

343

46.29

1,000

(15,877,470

)

The June 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 June 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Short

September 2017

492

3.03

10,000

(14,912,520

)

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Short

September 2016

175

2.92

10,000

(5,106,500

)

The June 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.

ProShares UltraShort Gold:

As of June 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

214

Futures Positions as of June 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Short

August 2017

1,242.30

100

(248,460

)


Forward Agreements as of June 30, 2017

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Citibank N.A.	Short	$	1,242.53	$	(25,596,118	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,242.52		(20,623,347	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,242.52		(5,964,096	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,242.52		(23,421,502	)

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Short

August 2016

1,320.60

100

(264,120

)


Forward Agreements as of June 30, 2016

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Citibank N.A.	Short	$	1,320.75	$	(21,663,908	)
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short		1,320.75		(50,331,243	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,320.75		(19,679,662	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,320.75		(5,283,840	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,320.75		(14,860,688	)

The June 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 June 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.

ProShares UltraShort Silver:

As of June 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

215

Futures Positions as of June 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Short

September 2017

16.63

5,000

(166,270

)


Forward Agreements as of June 30, 2017

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Citibank N.A.	Short	$	16.4740	$	(17,577,758	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		16.4738		(10,123,150	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		16.4738		(2,569,913	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		16.4739		(15,913,787	)

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Short

September 2016

18.62

5,000

(186,230

)


Forward Agreements as of June 30, 2016

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Citibank N.A.	Short	$	18.3634	$	(12,780,926	)
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short		18.3642		(24,846,763	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		18.3632		(10,604,748	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		18.3632		(2,864,659	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		18.3632		(12,854,240	)

The June 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 June 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.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of June 30, 2017 and 2016, each of the Currency Fund’s positions were as follows:

216

ProShares Short Euro:

As of June 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 June 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Futures Positions as of June 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Euro Fx Currency Futures (CME)

Short

September 2017

1.1467

125,000

(10,463,638

)

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Euro Fx Currency Futures (CME)

Short

September 2016

123

1.1107

125,000

(17,077,781

)

The June 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 June 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 June 30, 2017 and 2016, which were sensitive to exchange rate price risk.

Futures Positions as of June 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Australian Dollar Fx Currency Futures (CME)

Short

September 2017

312

76.75

1,000

(23,946,000

)

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Australian Dollar Fx Currency Futures (CME)

Short

September 2016

502

74.24

1,000

(37,268,480

)

217

estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of June 30, 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 June 30, 2017 and 2016, which were sensitive to exchange rate price risk.


Foreign Currency Forward Contracts as of June 30, 2017

Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/07/17		50,410,500			1.1422	$	57,577,190
Euro	UBS AG	Long	07/07/17		10,265,000			1.1422		11,724,340
Euro	Goldman Sachs International	Short	07/07/17		(259,346,725	)		1.1422		(296,217,173	)
Euro	UBS AG	Short	07/07/17		(216,746,100	)		1.1422		(247,560,161	)


Foreign Currency Forward Contracts as of June 30, 2016

Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/08/16		83,932,700			1.1097	$	93,141,094
Euro	UBS AG	Long	07/08/16		51,350,400			1.1097		56,984,137
Euro	Goldman Sachs International	Short	07/08/16		(440,595,725	)		1.1097		(488,934,205	)
Euro	UBS AG	Short	07/08/16		(392,387,400	)		1.1097		(435,436,866	)

The June 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.

ProShares UltraShort Yen:

As of June 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 June 30, 2017 and 2016, which were sensitive to exchange rate price risk.

218


Foreign Currency Forward Contracts as of June 30, 2017

Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/07/17		3,810,442,000			0.008891	$	33,877,771
Yen	UBS AG	Long	07/07/17		948,807,900			0.008891		8,435,635
Yen	Goldman Sachs International	Short	07/07/17		(23,235,467,800	)		0.008891		(206,581,246	)
Yen	UBS AG	Short	07/07/17		(19,833,775,700	)		0.008891		(176,337,578	)


Foreign Currency Forward Contracts as of June 30, 2016

Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/08/16		9,742,295,100			0.009684	$	94,343,198
Yen	UBS AG	Long	07/08/16		3,617,334,400			0.009684		35,029,825
Yen	Goldman Sachs International	Short	07/08/16		(29,570,855,800	)		0.009684		(286,360,561	)
Yen	UBS AG	Short	07/08/16		(23,779,447,700	)		0.009684		(230,277,271	)

The June 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

ProShares Ultra Bloomberg Crude Oil:

As of June 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

219

Futures Positions as of June 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Long

September 2017

8,449

46.29

1,000

391,104,210

Swap Agreements as of June 30, 2017

Reference Index

Counterparty

Long or
Short

Index
Close

Notional Amount
at Value

Bloomberg WTI Crude Oil Subindex

Citibank N.A.

Long

68.6588

530,103,536

Bloomberg WTI Crude Oil Subindex

Goldman Sachs International

Long

68.6588

440,733,506

Bloomberg WTI Crude Oil Subindex

Societe Generale S.A.

Long

68.6588

128,321,260

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

68.6588

427,123,991

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Long

September 2016

7,500

49.01

1,000

367,575,000

Swap Agreements as of June 30, 2016

Reference Index

Counterparty

Long or
Short

Index
Close

Notional Amount
at Value

Bloomberg WTI Crude Oil Subindex

Citibank N.A.

Long

83.1363

336,118,991

Bloomberg WTI Crude Oil Subindex

Deutsche Bank AG

Long

83.1363

322,512,270

Bloomberg WTI Crude Oil Subindex

Goldman Sachs International

Long

83.1363

339,972,378

Bloomberg WTI Crude Oil Subindex

Societe Generale S.A.

Long

83.1363

105,676,541

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

83.1363

325,294,079

The June 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 June 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.

ProShares UltraPro 3x Crude Oil ETF:

As of June 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 June 30, 2017, which were sensitive to commodity price risk.

220

Futures Positions as of June 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Long

September 2017

1,329

46.29

1,000

61,519,410

The June 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 June 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

September 2017

2,896

3.03

10,000

87,777,760

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

September 2016

2,972

2.92

10,000

86,722,960

The June 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.

ProShares Ultra Gold:

As of June 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

221

Futures Positions as of June 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

August 2017

1,242.30

100

248,460

Forward Agreements as of June 30, 2017

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Citibank N.A.

Long

1,242.53

60,635,464

0.995 Fine Troy Ounce Gold

Goldman Sachs International

Long

1,242.52

46,619,350

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,242.52

22,365,360

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,242.52

47,588,516

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

August 2016

1,320.60

100

264,120

Forward Agreements as of June 30, 2016

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Citibank N.A.

Long

1,320.97

49,007,987

0.995 Fine Troy Ounce Gold

Deutsche Bank AG

Long

1,321.03

56,540,084

0.995 Fine Troy Ounce Gold

Goldman Sachs International

Long

1,320.96

42,165,043

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,320.96

20,342,784

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,320.95

33,287,940

The June 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 June 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.

ProShares Ultra Silver:

As of June 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 June 30, 2017 and 2016, which were sensitive to commodity price risk.

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Futures Positions as of June 30, 2017

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

September 2017

16.63

5,000

166,270

Forward Agreements as of June 30, 2017

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Citibank N.A.

Long

16.4740

174,855,036

0.999 Fine Troy Ounce Silver

Goldman Sachs International

Long

16.4738

127,026,177

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

16.4738

62,336,859

0.999 Fine Troy Ounce Silver

UBS AG

Long

16.4739

127,194,982

Futures Positions as of June 30, 2016

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

September 2016

18.62

5,000

186,230

Forward Agreements as of June 30, 2016

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Citibank N.A.

Long

18.3634

236,300,231

0.999 Fine Troy Ounce Silver

Deutsche Bank AG

Long

18.3642

171,573,048

0.999 Fine Troy Ounce Silver

Goldman Sachs International

Long

18.3632

188,145,675

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

18.3632

63,977,389

0.999 Fine Troy Ounce Silver

UBS AG

Long

18.3632

113,466,213

The June 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 June 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.

Exchange Rate Sensitivity

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ProShares Ultra Euro:

As of June 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 June 30, 2017 and 2016, which were sensitive to exchange rate price risk.


Foreign Currency Forward Contracts as of June 30, 2017

Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/07/17		14,796,725			1.1422	$	16,900,325
Euro	UBS AG	Long	07/07/17		9,722,000			1.1422		11,104,144
Euro	Goldman Sachs International	Short	07/07/17		(429,500	)		1.1422		(490,561	)
Euro	UBS AG	Short	07/07/17		(1,459,900	)		1.1422		(1,667,449	)


Foreign Currency Forward Contracts as of June 30, 2016

Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/08/16		9,644,425			1.1097	$	10,702,531
Euro	UBS AG	Long	07/08/16		8,473,000			1.1097		9,402,587
Euro	Goldman Sachs International	Short	07/08/16		(628,600	)		1.1097		(697,565	)
Euro	UBS AG	Short	07/08/16		(336,200	)		1.1097		(373,085	)

The June 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 June 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 June 30, 2017 and 2016, which were sensitive to exchange rate price risk.


Foreign Currency Forward Contracts as of June 30, 2017

Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/07/17		759,505,400			0.008891	$	6,752,589
Yen	UBS AG	Long	07/07/17		607,794,000			0.008891		5,403,758
Yen	Goldman Sachs International	Short	07/07/17		(32,285,500	)		0.008891		(287,043	)
Yen	UBS AG	Short	07/07/17		(15,379,200	)		0.008891		(136,733	)

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Foreign Currency Forward Contracts as of June 30, 2016

Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/08/16		1,044,190,800			0.009684	$	10,111,816
Yen	UBS AG	Long	07/08/16		518,229,500			0.009684		5,018,471
Yen	Goldman Sachs International	Short	07/08/16		(48,749,300	)		0.009684		(472,082	)
Yen	UBS AG	Short	07/08/16		(13,000,100	)		0.009684		(125,892	)

The June 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.

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).

225

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.

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.

226

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).

227

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 June 30, 2016 that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.]¹

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.

¹	ProShares to confirm/update

228

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

229

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 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-

230

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.

231


Title of Securities Registered	Amount Registered As of June 30, 2017		Shares Sold For the Three Months Ended June 30, 2017		Sale Price of Shares Sold For the Three Months Ended June 30, 2017
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	1,759,913,478		1,937,500	$	89,775,290
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest		555,231,376		50,000		1,415,105
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest		5,371,643,102		16,500,000		1,185,603,169
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest		10,182,620,555		11,787,500		577,053,693
ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest		2,014,694,796		3,200,000		125,346,684
ProShares UltraPro 3X Short Crude Oil ETF Common Units of Beneficial Interest		1,020,000,000		150,000		3,280,531
ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest		344,275,705		50,000		1,803,199
ProShares UltraShort Gold Common Units of Beneficial Interest		184,530,493		200,000		14,870,457
ProShares UltraShort Silver Common Units of Beneficial Interest		1,950,297,178		300,000		9,695,698
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		1,943,348,907		150,000		3,816,671
ProShares UltraShort Yen Common Units of Beneficial Interest		962,499,882		—		—
ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest		4,871,886,139		39,500,000		610,710,559
ProShares UltraPro 3X Crude Oil ETF Common Units of Beneficial Interest		1,020,000,000		950,000		19,648,285
ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest		427,459,640		1,250,000		12,194,375
ProShares Ultra Gold Common Units of Beneficial Interest		281,894,994		50,000		1,865,854
ProShares Ultra Silver Common Units of Beneficial Interest		1,314,623,611		650,000		22,323,954
ProShares Ultra Euro Common Units of Beneficial Interest		119,594,796		550,000		7,926,368
ProShares Ultra Yen Common Units of Beneficial Interest		138,726,333		—	$	—
Total:	$	34,789,431,003

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(b) From April 1, 2017 through June 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*
04/01/17 to 04/30/17		81,250	$	56.75
05/01/17 to 05/31/17		437,500	$	53.55
06/01/17 to 06/30/17		231,250	$	42.29
ProShares VIX Mid-Term Futures ETF
04/01/17 to 04/30/17		75,000	$	32.21
05/01/17 to 05/31/17		50,000	$	29.97
06/01/17 to 06/30/17		—	$	—
ProShares Short VIX Short-Term Futures ETF*
04/01/17 to 04/30/17		3,600,000	$	71.60
05/01/17 to 05/31/17		5,000,000	$	76.47
06/01/17 to 06/30/17		4,900,000	$	80.84
ProShares Ultra VIX Short-Term Futures ETF*
04/01/17 to 04/30/17		1,775,000	$	79.40
05/01/17 to 05/31/17		2,475,000	$	62.89
06/01/17 to 06/30/17		3,462,500	$	39.51
ProShares UltraShort Bloomberg Crude Oil*
04/01/17 to 04/30/17		2,200,000	$	38.21
05/01/17 to 05/31/17		1,550,000	$	43.29
06/01/17 to 06/30/17		2,250,000	$	46.02
ProShares UltraPro 3X Short Crude Oil ETF
04/01/17 to 04/30/17		—	$	—
05/01/17 to 05/31/17		—	$	—
06/01/17 to 06/30/17		150,000		29.94
ProShares UltraShort Bloomberg Natural Gas
04/01/17 to 04/30/17		—	$	—
05/01/17 to 05/31/17		50,000	$	32.66
06/01/17 to 06/30/17		50,000	$	33.32
ProShares UltraShort Gold
04/01/17 to 04/30/17		—	$	—
05/01/17 to 05/31/17		100,000	$	76.91
06/01/17 to 06/30/17		50,000	$	75.58
ProShares UltraShort Silver
04/01/17 to 04/30/17		50,000	$	31.27
05/01/17 to 05/31/17		150,000	$	33.64
06/01/17 to 06/30/17		50,000	$	33.52
ProShares Short Euro
04/01/17 to 04/30/17		—	$	—
05/01/17 to 05/31/17		—	$	—
06/01/17 to 06/30/17		100,000	$	42.49
ProShares UltraShort Australian Dollar
04/01/17 to 04/30/17		—	$	—
05/01/17 to 05/31/17		—	$	—
06/01/17 to 06/30/17		50,000	$	49.85
ProShares UltraShort Euro
04/01/17 to 04/30/17		600,000	$	26.32
05/01/17 to 05/31/17		150,000	$	24.31
06/01/17 to 06/30/17		400,000	$	24.05
ProShares UltraShort Yen
04/01/17 to 04/30/17		150,000	$	70.79
05/01/17 to 05/31/17		250,000	$	74.39
06/01/17 to 06/30/17		350,000	$	70.40
ProShares Ultra Bloomberg Crude Oil*
04/01/17 to 04/30/17		9,050,000	$	20.16
05/01/17 to 05/31/17		10,100,000	$	17.98
06/01/17 to 06/30/17		2,200,000	$	14.27
ProShares UltraPro 3X Crude Oil ETF
04/01/17 to 04/30/17		—	$	—
05/01/17 to 05/31/17		100,000		28.51

233


Fund	Total Number of Shares Redeemed		Average Price Per Share
06/01/17 to 06/30/17		—	$	—
ProShares Ultra Bloomberg Natural Gas
04/01/17 to 04/30/17		400,000	$	12.86
05/01/17 to 05/31/17		100,000	$	12.84
06/01/17 to 06/30/17		100,000	$	9.95
ProShares Ultra Gold
04/01/17 to 04/30/17		50,000	$	38.77
05/01/17 to 05/31/17		150,000	$	37.49
06/01/17 to 06/30/17		50,000	$	38.10
ProShares Ultra Silver
04/01/17 to 04/30/17		500,000	$	39.56
05/01/17 to 05/31/17		—	$	—
06/01/17 to 06/30/17		300,000	$	34.55
ProShares Ultra Euro
04/01/17 to 04/30/17		450,000	$	14.68
05/01/17 to 05/31/17		250,000	$	15.49
06/01/17 to 06/30/17		50,000	$	15.63
ProShares Ultra Yen
04/01/17 to 04/30/17		—	$	—
05/01/17 to 05/31/17		—	$	—
06/01/17 to 06/30/17		—	$	—

See Note 1 of the Notes to Financial Statements in this Quarterly Report on Form 10-Q regarding the reverse Share splits for Pro Shares VIX Short-Term ETF, ProShares Ultra VIX Short-Term Futures ETF, ProShares Ultra Bloomberg Crude Oil and the Share splits for ProShares UltraShort Bloomberg Crude Oil, 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.

234

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.

235

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

PROSHARES TRUST II

/s/ Todd Johnson

By: Todd Johnson

Principal Executive Officer

Date: August 9, 2017

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: August 9, 2017

236