UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

for the quarterly period ended September 30, 2016.

or

☐ 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 or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer	☒	Accelerated filer	☐
Non-accelerated filer	☐  (Do not check if a smaller reporting company)	Smaller reporting company	☐

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. Condensed Financial Statements		1
Item  2. Management’s Discussion and Analysis of Financial Condition and Results of Operations		135
Item 3. Quantitative and Qualitative Disclosures About Market Risk		188
Item 4. Controls and Procedures		207
Part II. OTHER INFORMATION
Item 1. Legal Proceedings		208
Item 1A. Risk Factors		208
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds		208
Item 3. Defaults Upon Senior Securities		212
Item 4. Mine Safety Disclosures		212
Item 5. Other Information		212
Item 6. Exhibits		213

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		2
ProShares VIX Mid-Term Futures ETF		7
ProShares Short VIX Short-Term Futures ETF		12
ProShares Ultra VIX Short-Term Futures ETF		17
ProShares UltraShort Bloomberg Crude Oil		22
ProShares UltraShort Bloomberg Natural Gas		27
ProShares UltraShort Gold		32
ProShares UltraShort Silver		37
ProShares Short Euro		42
ProShares UltraShort Australian Dollar		47
ProShares UltraShort Euro		52
ProShares UltraShort Yen		57
ProShares Ultra Bloomberg Crude Oil		62
ProShares Ultra Bloomberg Natural Gas		67
ProShares Ultra Gold		72
ProShares Ultra Silver		77
ProShares Ultra Euro		82
ProShares Ultra Yen		87
ProShares Trust II		92
Notes to Financial Statements		96

1

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	3,225,000	$	2,124,103
Segregated cash balances with brokers for futures contracts		8,258,945		5,888,545
Short-term U.S. government and agency obligations (Note 3) (cost $216,306,760 and $96,075,481, respectively)		216,340,487		96,073,659
Receivable on open futures contracts		158,134		1,263,933
Total assets		227,982,566		105,350,240
Liabilities and shareholders’ equity
Liabilities
Management fee payable		163,348		77,417
Total liabilities		163,348		77,417
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		227,819,218		105,272,823
Total liabilities and shareholders’ equity	$	227,982,566	$	105,350,240
Shares outstanding (Note 1)		7,984,451		1,589,962
Net asset value per share (Note 1)	$	28.53	$	66.21
Market value per share (Note 1) (Note 2)	$	28.33	$	66.65

See accompanying notes to financial statements.

2

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (95% of shareholders’ equity)
U.S. Treasury Bills^^:
0.303% due 10/13/16	$	3,955,000	$	3,954,813
0.305% due 10/20/16		43,850,000		43,847,207
0.230% due 10/27/16		5,203,000		5,202,324
0.261% due 11/17/16†		35,000,000		34,992,345
0.307% due 11/25/16†		5,400,000		5,398,728
0.282% due 12/01/16†		45,000,000		44,987,463
0.156% due 12/08/16		20,000,000		19,993,400
0.299% due 12/15/16†		20,000,000		19,992,498
0.352% due 01/12/17		32,000,000		31,976,659
0.351% due 01/19/17†		6,000,000		5,995,050
Total short-term U.S. government and agency obligations (cost $216,306,760)			$	216,340,487

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires October 2016		8,392	$	132,383,800	$	(9,089,704	)
VIX Futures - CBOE, expires November 2016		5,601		94,936,950		(464,279	)
					$	(9,553,983	)

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

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

†† Cash collateral in the amount of $8,258,945 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

See accompanying notes to financial statements.

3

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	144,244		$	9,963		$	324,819		$	31,098
Expenses
Management fee		474,982			279,410			1,210,844			839,732
Brokerage commissions and fees		76,959			49,114			229,993			115,986
Total expenses		551,941			328,524			1,440,837			955,718
Net investment income (loss)		(407,697	)		(318,561	)		(1,116,018	)		(924,620	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(101,785,229	)		63,980,150			(134,345,928	)		3,412,234
Short-term U.S. government and agency obligations		3,946			(1,235	)		6,237			1,928
Net realized gain (loss)		(101,781,283	)		63,978,915			(134,339,691	)		3,414,162
Change in net unrealized appreciation/depreciation on
Futures contracts		6,786,934			(12,755,774	)		(8,475,358	)		(5,109,937	)
Short-term U.S. government and agency obligations		24,829			2,804			35,549			3,304
Change in net unrealized appreciation/depreciation		6,811,763			(12,752,970	)		(8,439,809	)		(5,106,633	)
Net realized and unrealized gain (loss)		(94,969,520	)		51,225,945			(142,779,500	)		(1,692,471	)
Net income (loss)	$	(95,377,217	)	$	50,907,384		$	(143,895,518	)	$	(2,617,091	)

See accompanying notes to financial statements.

4

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	105,272,823
Addition of 9,990,000 shares (Note 1)		461,486,395
Redemption of 3,595,511 shares (Note 1)		(195,044,482	)
Net addition (redemption) of 6,394,489 shares (Note 1)		266,441,913
Net investment income (loss)		(1,116,018	)
Net realized gain (loss)		(134,339,691	)
Change in net unrealized appreciation/depreciation		(8,439,809	)
Net income (loss)		(143,895,518	)
Shareholders’ equity, at September 30, 2016	$	227,819,218

See accompanying notes to financial statements.

5

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	(143,895,518	)	$	(2,617,091	)
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		(2,370,400	)		(4,502,075	)
Purchases of short-term U.S. government and agency obligations		(742,783,009	)		(528,217,602	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		622,882,786			521,808,025
Net amortization and accretion on short-term U.S government and agency obligations		(324,819	)		(30,500	)
Net realized gain (loss) on investments		(6,237	)		(1,928	)
Change in unrealized appreciation/depreciation on investments		(35,549	)		(3,304	)
Decrease (Increase) in receivable on futures contracts		1,105,799			9,317,236
Increase (Decrease) in management fee payable		85,931			97,206
Increase (Decrease) in payable on futures contracts		—			3,161,690
Net cash provided by (used in) operating activities		(265,341,016	)		(988,343	)
Cash flow from financing activities
Proceeds from addition of shares		461,486,395			162,408,538
Payment on shares redeemed		(195,044,482	)		(160,304,394	)
Net cash provided by (used in) financing activities		266,441,913			2,104,144
Net increase (decrease) in cash		1,100,897			1,115,801
Cash, beginning of period		2,124,103			1,694,791
Cash, end of period	$	3,225,000		$	2,810,592

See accompanying notes to financial statements.

6

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	3,120,892	$	671,791
Segregated cash balances with brokers for futures contracts		1,804,725		980,750
Short-term U.S. government and agency obligations (Note 3) (cost $54,258,849 and $25,975,462, respectively)		54,269,416		25,976,287
Receivable on open futures contracts		—		42,188
Total assets		59,195,033		27,671,016
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		258,839		—
Management fee payable		41,383		20,378
Total liabilities		300,222		20,378
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		58,894,811		27,650,638
Total liabilities and shareholders’ equity	$	59,195,033	$	27,671,016
Shares outstanding		1,287,403		512,404
Net asset value per share	$	45.75	$	53.96
Market value per share (Note 2)	$	45.69	$	53.99

See accompanying notes to financial statements.

7

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (92% of shareholders’ equity)
U.S. Treasury Bills^^:
0.261% due 11/03/16†	$	9,490,000	$	9,488,366
0.292% due 11/25/16†		13,700,000		13,696,772
0.210% due 12/01/16		4,099,000		4,097,858
0.346% due 12/08/16†		2,000,000		1,999,340
0.287% due 12/15/16†		15,000,000		14,994,374
0.352% due 01/12/17†		10,000,000		9,992,706
Total short-term U.S. government and agency obligations (cost $54,258,849)			$	54,269,416

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires January 2017		614	$	11,359,000	$	(779,435	)
VIX Futures - CBOE, expires February 2017		1,024		19,507,200		(669,070	)
VIX Futures - CBOE, expires March 2017		1,023		19,846,200		(762,620	)
VIX Futures - CBOE, expires April 2017		409		8,169,775		(51,025	)
					$	(2,262,150	)

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

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

†† Cash collateral in the amount of $1,804,725 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

See accompanying notes to financial statements.

8

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	29,706		$	1,084		$	63,804		$	5,960
Expenses
Management fee		108,438			58,899			251,163			173,165
Brokerage commissions and fees		10,935			1,686			23,544			13,649
Total expenses		119,373			60,585			274,707			186,814
Net investment income (loss)		(89,667	)		(59,501	)		(210,903	)		(180,854	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(4,899,530	)		631,983			(5,248,725	)		(2,291,385	)
Short-term U.S. government and agency obligations		144			22			132			1,330
Net realized gain (loss)		(4,899,386	)		632,005			(5,248,593	)		(2,290,055	)
Change in net unrealized appreciation/depreciation on
Futures contracts		(1,149,750	)		3,760,350			(1,917,790	)		3,199,340
Short-term U.S. government and agency obligations		8,365			594			9,742			(365	)
Change in net unrealized appreciation/depreciation		(1,141,385	)		3,760,944			(1,908,048	)		3,198,975
Net realized and unrealized gain (loss)		(6,040,771	)		4,392,949			(7,156,641	)		908,920
Net income (loss)	$	(6,130,438	)	$	4,333,448		$	(7,367,544	)	$	728,066

See accompanying notes to financial statements.

9

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	27,650,638
Addition of 950,000 shares		48,406,580
Redemption of 175,001 shares		(9,794,863	)
Net addition (redemption) of 774,999 shares		38,611,717
Net investment income (loss)		(210,903	)
Net realized gain (loss)		(5,248,593	)
Change in net unrealized appreciation/depreciation		(1,908,048	)
Net income (loss)		(7,367,544	)
Shareholders’ equity, at September 30, 2016	$	58,894,811

See accompanying notes to financial statements.

10

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	(7,367,544	)	$	728,066
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		(823,975	)		(2,049,510	)
Purchases of short-term U.S. government and agency obligations		(132,528,541	)		(69,593,419	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		104,309,090			68,420,012
Net amortization and accretion on short-term U.S government and agency obligations		(63,804	)		(5,960	)
Net realized gain (loss) on investments		(132	)		(1,330	)
Change in unrealized appreciation/depreciation on investments		(9,742	)		365
Decrease (Increase) in receivable on futures contracts		42,188			1,783,328
Increase (Decrease) in management fee payable		21,005			17,703
Increase (Decrease) in payable on futures contracts		258,839			416,446
Net cash provided by (used in) operating activities		(36,162,616	)		(284,299	)
Cash flow from financing activities
Proceeds from addition of shares		48,406,580			17,870,189
Payment on shares redeemed		(9,794,863	)		(16,894,470	)
Net cash provided by (used in) financing activities		38,611,717			975,719
Net increase (decrease) in cash		2,449,101			691,420
Cash, beginning of period		671,791			1,634,082
Cash, end of period	$	3,120,892		$	2,325,502

See accompanying notes to financial statements.

11

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	5,730,208	$	5,150,976
Segregated cash balances with brokers for futures contracts		47,943,380		123,528,405
Short-term U.S. government and agency obligations (Note 3) (cost $446,803,478 and $535,381,199, respectively)		446,877,389		535,392,718
Receivable from capital shares sold		—		10,164,157
Receivable on open futures contracts		4,571,788		—
Total assets		505,122,765		674,236,256
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		29,497,107
Payable on open futures contracts		—		1,420,271
Management fee payable		324,100		507,517
Total liabilities		324,100		31,424,895
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		504,798,665		642,811,361
Total liabilities and shareholders’ equity	$	505,122,765	$	674,236,256
Shares outstanding		6,950,000		12,650,040
Net asset value per share	$	72.63	$	50.81
Market value per share (Note 2)	$	73.21	$	50.45

See accompanying notes to financial statements.

12

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (89% of shareholders’ equity)
U.S. Treasury Bills^^:
0.276% due 11/17/16	$	22,000,000	$	21,995,189
0.273% due 12/01/16		162,000,000		161,954,867
0.237% due 12/08/16		35,000,000		34,988,450
0.336% due 12/15/16†		125,000,000		124,953,112
0.180% due 12/22/16		2,060,000		2,058,901
0.242% due 01/05/17†		90,000,000		89,935,371
0.350% due 01/12/17		6,000,000		5,995,624
0.355% due 01/19/17†		5,000,000		4,995,875
Total short-term U.S. government and agency obligations (cost $446,803,478)			$	446,877,389

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires October 2016		18,688	$	294,803,200	$	26,428,042
VIX Futures - CBOE, expires November 2016		12,445		210,942,750		981,800
					$	27,409,842

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

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

†† Cash collateral in the amount of $47,943,380 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

See accompanying notes to financial statements.

13

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	248,974		$	34,056		$	848,132		$	78,709
Expenses
Management fee		951,001			939,029			3,561,744			2,522,692
Brokerage commissions and fees		469,401			470,319			1,522,859			1,263,889
Total expenses		1,420,402			1,409,348			5,084,603			3,786,581
Net investment income (loss)		(1,171,428	)		(1,375,292	)		(4,236,471	)		(3,707,872	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		277,246,086			(74,068,147	)		263,024,643			35,780,248
Short-term U.S. government and agency obligations		(12,510	)		(8,165	)		(34,036	)		22,472
Net realized gain (loss)		277,233,576			(74,076,312	)		262,990,607			35,802,720
Change in net unrealized appreciation/depreciation on
Futures contracts		(51,813,012	)		(45,302,831	)		16,663,427			(45,530,343	)
Short-term U.S. government and agency obligations		33,663			54,041			62,392			52,752
Change in net unrealized appreciation/depreciation		(51,779,349	)		(45,248,790	)		16,725,819			(45,477,591	)
Net realized and unrealized gain (loss)		225,454,227			(119,325,102	)		279,716,426			(9,674,871	)
Net income (loss)	$	224,282,799		$	(120,700,394	)	$	275,479,955		$	(13,382,743	)

See accompanying notes to financial statements.

14

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	642,811,361
Addition of 44,050,000 shares		2,173,486,450
Redemption of 49,750,040 shares		(2,586,979,101	)
Net addition (redemption) of (5,700,040) shares		(413,492,651	)
Net investment income (loss)		(4,236,471	)
Net realized gain (loss)		262,990,607
Change in net unrealized appreciation/depreciation		16,725,819
Net income (loss)		275,479,955
Shareholders’ equity, at September 30, 2016	$	504,798,665

See accompanying notes to financial statements.

15

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	275,479,955		$	(13,382,743	)
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		75,585,025			77,464,840
Purchases of short-term U.S. government and agency obligations		(2,235,163,421	)		(1,564,085,870	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		2,324,555,238			1,405,058,217
Net amortization and accretion on short-term U.S government and agency obligations		(848,132	)		(78,693	)
Net realized gain (loss) on investments		34,036			(22,472	)
Change in unrealized appreciation/depreciation on investments		(62,392	)		(52,752	)
Decrease (Increase) in receivable on futures contracts		(4,571,788	)		(15,025,925	)
Increase (Decrease) in management fee payable		(183,417	)		319,707
Increase (Decrease) in payable on futures contracts		(1,420,271	)		(31,020,019	)
Net cash provided by (used in) operating activities		433,404,833			(140,825,710	)
Cash flow from financing activities
Proceeds from addition of shares		2,183,650,607			1,145,778,404
Payment on shares redeemed		(2,616,476,208	)		(1,012,523,175	)
Net cash provided by (used in) financing activities		(432,825,601	)		133,255,229
Net increase (decrease) in cash		579,232			(7,570,481	)
Cash, beginning of period		5,150,976			9,122,219
Cash, end of period	$	5,730,208		$	1,551,738

See accompanying notes to financial statements.

16

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	11,604,209	$	9,081,964
Segregated cash balances with brokers for futures contracts		47,581,115		62,348,600
Short-term U.S. government and agency obligations (Note 3) (cost $653,689,929 and $438,333,277, respectively)		653,723,238		438,357,849
Receivable from capital shares sold		72,228,055		32,987,472
Receivable on open futures contracts		—		17,995,478
Total assets		785,136,617		560,771,363
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		14,491,425		12,635,235
Payable on open futures contracts		31,416,387		—
Management fee payable		479,005		427,388
Total liabilities		46,386,817		13,062,623
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		738,749,800		547,708,740
Total liabilities and shareholders’ equity	$	785,136,617	$	560,771,363
Shares outstanding (Note 1)		43,707,651		3,900,490
Net asset value per share (Note 1)	$	16.90	$	140.42
Market value per share (Note 1) (Note 2)	$	16.65	$	141.75

See accompanying notes to financial statements.

17

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (88% of shareholders’ equity)
U.S. Treasury Bills^^:
0.292% due 10/13/16	$	33,534,000	$	33,532,417
0.286% due 10/20/16		1,862,000		1,861,882
0.236% due 10/27/16†		59,369,000		59,361,282
0.270% due 11/03/16†		17,455,000		17,451,994
0.242% due 11/10/16		4,000,000		3,999,198
0.286% due 11/17/16†		43,000,000		42,990,596
0.296% due 11/25/16†		59,000,000		58,986,100
0.153% due 12/01/16†		70,738,000		70,718,292
0.234% due 12/08/16†		142,000,000		141,953,140
0.255% due 12/15/16†		52,000,000		51,980,495
0.180% due 12/22/16†		66,000,000		65,964,802
0.205% due 01/05/17†		77,000,000		76,944,706
0.352% due 01/12/17†		15,000,000		14,989,059
0.341% due 01/19/17†		13,000,000		12,989,275
Total short-term U.S. government and agency obligations (cost $653,689,929)			$	653,723,238

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires October 2016		54,497	$	859,690,175	$	(36,755,531	)
VIX Futures - CBOE, expires November 2016		36,351		616,149,450		(2,513,552	)
					$	(39,269,083	)

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

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

†† Cash collateral in the amount of $47,581,115 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

See accompanying notes to financial statements.

18

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	400,731		$	22,679		$	1,227,394		$	87,173
Expenses
Management fee		1,625,260			807,006			5,006,558			3,205,706
Brokerage commissions and fees		1,102,098			660,215			3,228,763			2,378,733
Total expenses		2,727,358			1,467,221			8,235,321			5,584,439
Net investment income (loss)		(2,326,627	)		(1,444,542	)		(7,007,927	)		(5,497,266	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(745,101,700	)		245,646,935			(1,269,233,467	)		(291,236,149	)
Short-term U.S. government and agency obligations		16,032			15,079			24,626			31,578
Net realized gain (loss)		(745,085,668	)		245,662,014			(1,269,208,841	)		(291,204,571	)
Change in net unrealized appreciation/depreciation on
Futures contracts		138,973,918			(63,658,535	)		(51,163,549	)		(14,741,278	)
Short-term U.S. government and agency obligations		27,300			(610	)		8,737			10,341
Change in net unrealized appreciation/depreciation		139,001,218			(63,659,145	)		(51,154,812	)		(14,730,937	)
Net realized and unrealized gain (loss)		(606,084,450	)		182,002,869			(1,320,363,653	)		(305,935,508	)
Net income (loss)	$	(608,411,077	)	$	180,558,327		$	(1,327,371,580	)	$	(311,432,774	)

See accompanying notes to financial statements.

19

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	547,708,740
Addition of 77,140,000 shares (Note 1)		3,728,960,296
Redemption of 37,332,839 shares (Note 1)		(2,210,547,656	)
Net addition (redemption) of 39,807,161 shares (Note 1)		1,518,412,640
Net investment income (loss)		(7,007,927	)
Net realized gain (loss)		(1,269,208,841	)
Change in net unrealized appreciation/depreciation		(51,154,812	)
Net income (loss)		(1,327,371,580	)
Shareholders’ equity, at September 30, 2016	$	738,749,800

See accompanying notes to financial statements.

20

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	(1,327,371,580	)	$	(311,432,774	)
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		14,767,485			(22,588,285	)
Purchases of short-term U.S. government and agency obligations		(3,719,826,671	)		(2,605,845,186	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		3,505,716,134			2,596,354,541
Net amortization and accretion on short-term U.S government and agency obligations		(1,221,489	)		(87,173	)
Net realized gain (loss) on investments		(24,626	)		(31,578	)
Change in unrealized appreciation/depreciation on investments		(8,737	)		(10,341	)
Decrease (Increase) in receivable on futures contracts		17,995,478			42,531,441
Increase (Decrease) in management fee payable		51,617			224,382
Increase (Decrease) in payable on futures contracts		31,416,387			27,913,959
Net cash provided by (used in) operating activities		(1,478,506,002	)		(272,971,014	)
Cash flow from financing activities
Proceeds from addition of shares		3,689,719,713			2,368,042,977
Payment on shares redeemed		(2,208,691,466	)		(2,092,311,113	)
Net cash provided by (used in) financing activities		1,481,028,247			275,731,864
Net increase (decrease) in cash		2,522,245			2,760,850
Cash, beginning of period		9,081,964			3,737,292
Cash, end of period	$	11,604,209		$	6,498,142

See accompanying notes to financial statements.

21

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,001,298	$	598,645
Segregated cash balances with brokers for futures contracts		6,676,670		10,154,430
Segregated cash balances with brokers for swap agreements		1,128,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $143,236,947 and $79,694,797, respectively)		143,261,078		79,692,642
Unrealized appreciation on swap agreements		—		6,412,656
Receivable from capital shares sold		56,765,877		—
Total assets		208,832,923		96,858,373
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		816,041		850,883
Brokerage commissions and fees payable		1,506		8,453
Management fee payable		136,091		101,143
Unrealized depreciation on swap agreements		16,564,825		—
Payable to counterparty		1,736,880		—
Total liabilities		19,255,343		960,479
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		189,577,580		95,897,894
Total liabilities and shareholders’ equity	$	208,832,923	$	96,858,373
Shares outstanding		2,369,942		719,944
Net asset value per share	$	79.99	$	133.20
Market value per share (Note 2)	$	80.90	$	133.64

See accompanying notes to financial statements.

22

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (76% of shareholders’ equity)
U.S. Treasury Bills^^:
0.276% due 10/06/16†	$	6,265,000	$	6,264,942
0.242% due 10/13/16†		7,576,000		7,575,642
0.251% due 10/20/16†		16,088,000		16,086,975
0.251% due 11/03/16†		7,379,000		7,377,729
0.280% due 11/17/16†		45,000,000		44,990,159
0.307% due 11/25/16†		7,000,000		6,998,351
0.284% due 12/01/16†		3,000,000		2,999,164
0.287% due 12/15/16†		15,000,000		14,994,374
0.352% due 01/12/17†		36,000,000		35,973,742
Total short-term U.S. government and agency obligations (cost $143,236,947)			$	143,261,078

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil - NYMEX, expires November 2016		2,093	$	100,966,320	$	(4,381,977	)

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	%		10/06/16	$	(110,835,497	)	$	(7,594,390	)
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25			10/06/16		(78,877,241	)		(4,078,619	)
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25			10/06/16		(8,278,478	)		(478,359	)
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25			10/06/16		(80,182,717	)		(4,413,457	)
									$	(16,564,825	)

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

†† Cash collateral in the amount of $6,676,670 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

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

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

* Reflects the floating financing rate, as of September 30, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

23

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	112,015		$	9,198		$	345,514		$	45,693
Expenses
Management fee		405,879			409,809			1,291,075			1,681,411
Brokerage commissions and fees		27,568			62,572			125,327			187,715
Total expenses		433,447			472,381			1,416,402			1,869,126
Net investment income (loss)		(321,432	)		(463,183	)		(1,070,888	)		(1,823,433	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		7,108,871			47,450,674			(1,439,525	)		26,325,398
Swap agreements		43,172,623			39,168,833			(35,456,689	)		21,238,753
Short-term U.S. government and agency obligations		3,798			(127	)		(4,796	)		15,363
Net realized gain (loss)		50,285,292			86,619,380			(36,901,010	)		47,579,514
Change in net unrealized appreciation/depreciation on
Futures contracts		(4,602,457	)		(8,337,913	)		(6,846,490	)		(19,916,290	)
Swap agreements		(28,373,775	)		7,739,772			(22,977,481	)		(25,724,623	)
Short-term U.S. government and agency obligations		12,429			4,716			26,286			3,624
Change in net unrealized appreciation/depreciation		(32,963,803	)		(593,425	)		(29,797,685	)		(45,637,289	)
Net realized and unrealized gain (loss)		17,321,489			86,025,955			(66,698,695	)		1,942,225
Net income (loss)	$	17,000,057		$	85,562,772		$	(67,769,583	)	$	118,792

See accompanying notes to financial statements.

24

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	95,897,894
Addition of 6,550,000 shares		809,760,982
Redemption of 4,900,002 shares		(648,311,713	)
Net addition (redemption) of 1,649,998 shares		161,449,269
Net investment income (loss)		(1,070,888	)
Net realized gain (loss)		(36,901,010	)
Change in net unrealized appreciation/depreciation		(29,797,685	)
Net income (loss)		(67,769,583	)
Shareholders’ equity, at September 30, 2016	$	189,577,580

See accompanying notes to financial statements.

25

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	(67,769,583	)	$	118,792
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		3,477,760			746,832
Decrease (Increase) in segregated cash balances with brokers for swap agreements		(1,128,000	)		—
Purchases of short-term U.S. government and agency obligations		(831,968,058	)		(1,101,916,734	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		768,766,626			1,102,210,375
Net amortization and accretion on short-term U.S government and agency obligations		(345,514	)		(45,693	)
Net realized gain (loss) on investments		4,796			(15,363	)
Change in unrealized appreciation/depreciation on investments		22,951,195			25,720,999
Decrease (Increase) in receivable on futures contracts		—			769,082
Increase (Decrease) in management fee payable		34,948			137,806
Increase (Decrease) in brokerage commissions and fees payable		(6,947	)		9,507
Increase (Decrease) in payable to counterparty		1,736,880			—
Increase (Decrease) in payable on futures contracts		(34,842	)		—
Net cash provided by (used in) operating activities		(104,280,739	)		27,735,603
Cash flow from financing activities
Proceeds from addition of shares		752,995,105			746,302,283
Payment on shares redeemed		(648,311,713	)		(773,336,673	)
Net cash provided by (used in) financing activities		104,683,392			(27,034,390	)
Net increase (decrease) in cash		402,653			701,213
Cash, beginning of period		598,645			994,268
Cash, end of period	$	1,001,298		$	1,695,481

See accompanying notes to financial statements.

26

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	365,889	$	1,099,140
Segregated cash balances with brokers for futures contracts		1,129,645		2,046,660
Short-term U.S. government and agency obligations (Note 3) (cost $4,698,167 and $8,114,653, respectively)		4,698,443		8,115,004
Receivable on open futures contracts		159,924		—
Total assets		6,353,901		11,260,804
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		785,170
Brokerage commissions and fees payable		409		1,908
Management fee payable		4,360		10,870
Total liabilities		4,769		797,948
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		6,349,132		10,462,856
Total liabilities and shareholders’ equity	$	6,353,901	$	11,260,804
Shares outstanding (Note 1)		174,832		224,856
Net asset value per share (Note 1)	$	36.32	$	46.53
Market value per share (Note1) (Note 2)	$	36.14	$	46.55

See accompanying notes to financial statements.

27

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (74% of shareholders’ equity)
U.S. Treasury Bills^^:
0.261% due 11/17/16	$	1,000,000	$	999,781
0.217% due 12/01/16		3,000,000		2,999,164
0.210% due 01/05/17		700,000		699,498
Total short-term U.S. government and agency obligations (cost $4,698,167)			$	4,698,443

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, November 2016		437	$	12,699,220	$	332,402

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

†† Cash collateral in the amount of $1,129,645 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

See accompanying notes to financial statements.

28

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	2,395		$	880		$	16,513		$	2,460
Expenses
Management fee		13,043			26,131			70,066			83,818
Brokerage commissions and fees		8,608			12,059			53,910			45,601
Total expenses		21,651			38,190			123,976			129,419
Net investment income (loss)		(19,256	)		(37,310	)		(107,463	)		(126,959	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(101,997	)		1,310,886			455,516			6,412,527
Short-term U.S. government and agency obligations		434			(246	)		3,438			343
Net realized gain (loss)		(101,563	)		1,310,640			458,954			6,412,870
Change in net unrealized appreciation/depreciation on
Futures contracts		712,984			2,386,865			2,803,566			(1,527,541	)
Short-term U.S. government and agency obligations		(161	)		878			(75	)		764
Change in net unrealized appreciation/depreciation		712,823			2,387,743			2,803,491			(1,526,777	)
Net realized and unrealized gain (loss)		611,260			3,698,383			3,262,445			4,886,093
Net income (loss)	$	592,004		$	3,661,073		$	3,154,982		$	4,759,134

See accompanying notes to financial statements.

29

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	10,462,856
Addition of 850,000 shares (Note 1)		37,311,510
Redemption of 900,024 shares (Note 1)		(44,580,216	)
Net addition (redemption) of (50,024) shares (Note 1)		(7,268,706	)
Net investment income (loss)		(107,463	)
Net realized gain (loss)		458,954
Change in net unrealized appreciation/depreciation		2,803,491
Net income (loss)		3,154,982
Shareholders’ equity, at September 30, 2016	$	6,349,132

See accompanying notes to financial statements.

30

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	3,154,982		$	4,759,134
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		917,015			2,289,430
Purchases of short-term U.S. government and agency obligations		(42,200,053	)		(44,546,196	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		45,636,490			44,052,763
Net amortization and accretion on short-term U.S government and agency obligations		(16,513	)		(2,460	)
Net realized gain (loss) on investments		(3,438	)		(343	)
Change in unrealized appreciation/depreciation on investments		75			(764	)
Decrease (Increase) in receivable on futures contracts		(159,924	)		513,399
Increase (Decrease) in management fee payable		(6,510	)		5,866
Increase (Decrease) in brokerage commissions and fees payable		(1,499	)		1,022
Increase (Decrease) in payable on futures contracts		(785,170	)		—
Net cash provided by (used in) operating activities		6,535,455			7,071,851
Cash flow from financing activities
Proceeds from addition of shares		37,311,510			29,451,129
Payment on shares redeemed		(44,580,216	)		(36,761,722	)
Net cash provided by (used in) financing activities		(7,268,706	)		(7,310,593	)
Net increase (decrease) in cash		(733,251	)		(238,742	)
Cash, beginning of period		1,099,140			696,743
Cash, end of period	$	365,889		$	458,001

See accompanying notes to financial statements.

31

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	145,106	$	151,638
Segregated cash balances with brokers for futures contracts		11,880		91,250
Segregated cash balances with brokers for forward agreements		7,835,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $66,845,181 and $72,981,653, respectively)		66,850,191		72,979,905
Unrealized appreciation on forward agreements		1,580,555		1,808,942
Receivable on open futures contracts		1,320		—
Total assets		76,424,052		75,031,735
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		80
Management fee payable		59,266		59,891
Total liabilities		59,266		59,971
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		76,364,786		74,971,764
Total liabilities and shareholders’ equity	$	76,424,052	$	75,031,735
Shares outstanding		1,096,978		646,978
Net asset value per share	$	69.61	$	115.88
Market value per share (Note 2)	$	70.19	$	115.83

See accompanying notes to financial statements.

32

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (88% of shareholders’ equity)
U.S. Treasury Bills^^:
0.186% due 10/06/16	$	3,922,000	$	3,921,964
0.303% due 10/13/16		20,000,000		19,999,056
0.306% due 10/20/16†		9,773,000		9,772,378
0.230% due 10/27/16†		3,439,000		3,438,553
0.251% due 11/03/16†		6,921,000		6,919,808
0.262% due 11/10/16†		5,229,000		5,227,951
0.261% due 11/17/16†		13,000,000		12,997,157
0.270% due 12/01/16†		3,000,000		2,999,164
0.180% due 12/22/16†		1,575,000		1,574,160
Total short-term U.S. government and agency obligations (cost $66,845,181)			$	66,850,191

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires December 2016		2	$	263,420	$	1,800

Forward Agreements^

	Rate Paid (Received)*			Settlement Date		Commitment to (Deliver)/Receive			Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Forward agreements with Citibank N.A. based on 0.995 Fine Troy Ounce Gold		(0.75	%)		10/06/16	$	(22,600	)	$	(29,893,472	)	$	231,859
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold		(1.05	)		10/06/16		(55,200	)		(73,018,560	)		861,403
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		(0.53	)		10/06/16		(16,398	)		(21,689,635	)		197,021
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		(0.45	)		10/06/16		(4,000	)		(5,290,840	)		59,817
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		(0.54	)		10/06/16		(17,050	)		(22,552,206	)		230,455
												$	1,580,555

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

†† Cash collateral in the amount of $11,880 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

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

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

* Reflects the floating financing rate, as of September 30, 2016, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

See accompanying notes to financial statements.

33

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	44,515		$	7,442		$	118,780		$	22,233
Expenses
Management fee		163,622			189,154			469,612			557,050
Brokerage commissions and fees		8			8			33			33
Total expenses		163,630			189,162			469,645			557,083
Net investment income (loss)		(119,115	)		(181,720	)		(350,865	)		(534,850	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(7,340	)		13,430			(45,820	)		1,430
Forward agreements		(10,289,193	)		5,615,480			(29,919,349	)		7,020,481
Short-term U.S. government and agency obligations		164			3,107			(779	)		2,683
Net realized gain (loss)		(10,296,369	)		5,632,017			(29,965,948	)		7,024,594
Change in net unrealized appreciation/depreciation on
Futures contracts		9,400			(1,730	)		(3,420	)		13,160
Forward agreements		9,761,395			365,084			(228,387	)		2,650,890
Short-term U.S. government and agency obligations		2,460			4,194			6,758			4,309
Change in net unrealized appreciation/depreciation		9,773,255			367,548			(225,049	)		2,668,359
Net realized and unrealized gain (loss)		(523,114	)		5,999,565			(30,190,997	)		9,692,953
Net income (loss)	$	(642,229	)	$	5,817,845		$	(30,541,862	)	$	9,158,103

See accompanying notes to financial statements.

34

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	74,971,764
Addition of 1,000,000 shares		79,236,729
Redemption of 550,000 shares		(47,301,845	)
Net addition (redemption) of 450,000 shares		31,934,884
Net investment income (loss)		(350,865	)
Net realized gain (loss)		(29,965,948	)
Change in net unrealized appreciation/depreciation		(225,049	)
Net income (loss)		(30,541,862	)
Shareholders’ equity, at September 30, 2016	$	76,364,786

See accompanying notes to financial statements.

35

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	(30,541,862	)	$	9,158,103
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		79,370			550
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(7,835,000	)		—
Purchases of short-term U.S. government and agency obligations		(205,754,520	)		(186,963,206	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		212,008,993			196,870,562
Net amortization and accretion on short-term U.S government and agency obligations		(118,780	)		(22,233	)
Net realized gain (loss) on investments		779			(2,683	)
Change in unrealized appreciation/depreciation on investments		221,629			(2,655,199	)
Decrease (Increase) in receivable on futures contracts		(1,320	)		940
Increase (Decrease) in management fee payable		(625	)		55,400
Increase (Decrease) in payable on futures contracts		(80	)		—
Net cash provided by (used in) operating activities		(31,941,416	)		16,442,234
Cash flow from financing activities
Proceeds from addition of shares		79,236,729			8,523,330
Payment on shares redeemed		(47,301,845	)		(24,974,815	)
Net cash provided by (used in) financing activities		31,934,884			(16,451,485	)
Net increase (decrease) in cash		(6,532	)		(9,251	)
Cash, beginning of period		151,638			162,434
Cash, end of period	$	145,106		$	153,183

See accompanying notes to financial statements.

36

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	166,127	$	514,784
Segregated cash balances with brokers for futures contracts		11,550		11,440
Segregated cash balances with brokers for forward agreements		1,544,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $38,775,817 and $50,730,044, respectively)		38,779,514		50,730,230
Unrealized appreciation on forward agreements		518,533		4,778,279
Receivable on open futures contracts		—		390
Total assets		41,019,724		56,035,123
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		1,396,791		—
Payable on open futures contracts		930		—
Management fee payable		32,655		47,185
Total liabilities		1,430,376		47,185
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		39,589,348		55,987,938
Total liabilities and shareholders’ equity	$	41,019,724	$	56,035,123
Shares outstanding		1,416,976		866,978
Net asset value per share	$	27.94	$	64.58
Market value per share (Note 2)	$	28.41	$	64.55

See accompanying notes to financial statements.

37

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (98% of shareholders’ equity)
U.S. Treasury Bills^^:
0.313% due 10/20/16†	$	5,000,000	$	4,999,681
0.251% due 11/03/16†		5,302,000		5,301,087
0.262% due 11/10/16†		16,702,000		16,698,650
0.306% due 11/25/16		5,000,000		4,998,822
0.270% due 12/01/16†		3,500,000		3,499,025
0.180% due 12/22/16†		3,284,000		3,282,249
Total short-term U.S. government and agency obligations (cost $38,775,817)			$	38,779,514

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires December 2016		2	$	192,140	$	(1,480	)

Forward Agreements^

	Rate Paid (Received)*			Settlement Date		Commitment to (Deliver)/Receive			Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Forward agreements with Citibank, N.A. based on 0.999 Fine Troy Ounce Silver		(0.85	%)		10/06/16	$	(619,000	)	$	(11,979,817	)	$	140,853
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver		(1.27	)		10/06/16		(2,146,000	)		(41,536,045	)		33,794
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		(0.70	)		10/06/16		(670,500	)		(12,976,522	)		171,031
Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver		(0.66	)		10/06/16		(156,000	)		(3,019,177	)		39,806
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		(0.65	)		10/06/16		(489,000	)		(9,463,862	)		133,049
												$	518,533

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

†† Cash collateral in the amount of $11,550 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

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

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

* Reflects the floating financing rate, as of September 30, 2016, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

See accompanying notes to financial statements.

38

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	22,794		$	3,685		$	71,536		$	13,863
Expenses
Management fee		86,864			132,942			281,605			391,994
Brokerage commissions and fees		8			8			33			33
Total expenses		86,872			132,950			281,638			392,027
Net investment income (loss)		(64,078	)		(129,265	)		(210,102	)		(378,164	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(15,410	)		5,300			(44,810	)		5,325
Forward agreements		(14,850,460	)		9,304,058			(26,610,382	)		7,373,182
Short-term U.S. government and agency obligations		65			(88	)		(2,307	)		546
Net realized gain (loss)		(14,865,805	)		9,309,270			(26,657,499	)		7,379,053
Change in net unrealized appreciation/depreciation on
Futures contracts		10,700			5,830			(7,450	)		7,160
Forward agreements		9,496,558			(3,077,931	)		(4,259,746	)		(1,118,472	)
Short-term U.S. government and agency obligations		2,046			5,187			3,511			4,207
Change in net unrealized appreciation/depreciation		9,509,304			(3,066,914	)		(4,263,685	)		(1,107,105	)
Net realized and unrealized gain (loss)		(5,356,501	)		6,242,356			(30,921,184	)		6,271,948
Net income (loss)	$	(5,420,579	)	$	6,113,091		$	(31,131,286	)	$	5,893,784

See accompanying notes to financial statements.

39

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	55,987,938
Addition of 1,600,000 shares		67,362,064
Redemption of 1,050,002 shares		(52,629,368	)
Net addition (redemption) of 549,998 shares		14,732,696
Net investment income (loss)		(210,102	)
Net realized gain (loss)		(26,657,499	)
Change in net unrealized appreciation/depreciation		(4,263,685	)
Net income (loss)		(31,131,286	)
Shareholders’ equity, at September 30, 2016	$	39,589,348

See accompanying notes to financial statements.

40

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	(31,131,286	)	$	5,893,784
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		(110	)		1,100
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(1,544,000	)		—
Purchases of short-term U.S. government and agency obligations		(126,343,449	)		(163,962,197	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		138,366,905			160,791,278
Net amortization and accretion on short-term U.S government and agency obligations		(71,536	)		(13,863	)
Net realized gain (loss) on investments		2,307			(546	)
Change in unrealized appreciation/depreciation on investments		4,256,235			1,114,265
Decrease (Increase) in receivable on futures contracts		390			6,570
Increase (Decrease) in management fee payable		(14,530	)		42,935
Increase (Decrease) in payable on futures contracts		930			—
Net cash provided by (used in) operating activities		(16,478,144	)		3,873,326
Cash flow from financing activities
Proceeds from addition of shares		67,362,064			55,572,069
Payment on shares redeemed		(51,232,577	)		(59,428,818	)
Net cash provided by (used in) financing activities		16,129,487			(3,856,749	)
Net increase (decrease) in cash		(348,657	)		16,577
Cash, beginning of period		514,784			207,506
Cash, end of period	$	166,127		$	224,083

See accompanying notes to financial statements.

41

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,740,888	$	1,783,802
Segregated cash balances with brokers for futures contracts		386,925		503,745
Short-term U.S. government and agency obligations (Note 3) (cost $12,690,657 and $15,153,202, respectively)		12,692,318		15,153,211
Receivable on open futures contracts		—		84,235
Total assets		14,820,131		17,524,993
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		32,813		—
Management fee payable		11,539		14,095
Total liabilities		44,352		14,095
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		14,775,779		17,510,898
Total liabilities and shareholders’ equity	$	14,820,131	$	17,524,993
Shares outstanding		350,000		400,005
Net asset value per share	$	42.22	$	43.78
Market value per share (Note 2)	$	42.22	$	43.74

See accompanying notes to financial statements.

42

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (86% of shareholders’ equity)
U.S. Treasury Bills^^:
0.251% due 11/03/16	$	7,696,000	$	7,694,675
0.306% due 11/25/16		3,000,000		2,999,293
0.355% due 01/19/17		2,000,000		1,998,350
Total short-term U.S. government and agency obligations (cost $12,690,657)			$	12,692,318

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Euro Fx Currency Futures - CME, expires December 2016		105	$	14,801,063	$	(27,006	)

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

†† Cash collateral in the amount of $386,925 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

See accompanying notes to financial statements.

43

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	8,177		$	989		$	22,846		$	3,652
Expenses
Management fee		36,752			47,369			116,244			132,555
Brokerage commissions and fees		580			1,232			2,009			2,951
Total expenses		37,332			48,601			118,253			135,506
Net investment income (loss)		(29,155	)		(47,612	)		(95,407	)		(131,854	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		327,212			45,301			(199,588	)		1,196,063
Short-term U.S. government and agency obligations		(2	)		48			31			48
Net realized gain (loss)		327,210			45,349			(199,557	)		1,196,111
Change in net unrealized appreciation/depreciation on
Futures contracts		(488,475	)		(77,413	)		(270,444	)		(224,456	)
Short-term U.S. government and agency obligations		1,265			16			1,652			26
Change in net unrealized appreciation/depreciation		(487,210	)		(77,397	)		(268,792	)		(224,430	)
Net realized and unrealized gain (loss)		(160,000	)		(32,048	)		(468,349	)		971,681
Net income (loss)	$	(189,155	)	$	(79,660	)	$	(563,756	)	$	839,827

See accompanying notes to financial statements.

44

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	17,510,898
Addition of 50,000 shares		2,109,382
Redemption of 100,005 shares		(4,280,745	)
Net addition (redemption) of (50,005) shares		(2,171,363	)
Net investment income (loss)		(95,407	)
Net realized gain (loss)		(199,557	)
Change in net unrealized appreciation/depreciation		(268,792	)
Net income (loss)		(563,756	)
Shareholders’ equity, at September 30, 2016	$	14,775,779

See accompanying notes to financial statements.

45

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	(563,756	)	$	839,827
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		116,820			(709,940	)
Purchases of short-term U.S. government and agency obligations		(42,155,511	)		(43,352,228	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		44,640,933			33,009,853
Net amortization and accretion on short-term U.S government and agency obligations		(22,846	)		(3,652	)
Net realized gain (loss) on investments		(31	)		(48	)
Change in unrealized appreciation/depreciation on investments		(1,652	)		(26	)
Decrease (Increase) in receivable on futures contracts		84,235			(136,126	)
Increase (Decrease) in management fee payable		(2,556	)		20,430
Increase (Decrease) in payable on futures contracts		32,813			—
Net cash provided by (used in) operating activities		2,128,449			(10,331,910	)
Cash flow from financing activities
Proceeds from addition of shares		2,109,382			21,427,163
Payment on shares redeemed		(4,280,745	)		(4,213,189	)
Net cash provided by (used in) financing activities		(2,171,363	)		17,213,974
Net increase (decrease) in cash		(42,914	)		6,882,064
Cash, beginning of period		1,783,802			1,640,225
Cash, end of period	$	1,740,888		$	8,522,289

See accompanying notes to financial statements.

46

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,580,726	$	1,958,996
Segregated cash balances with brokers for futures contracts		902,880		57,065
Short-term U.S. government and agency obligations (Note 3) (cost $14,997,526 and $18,409,449, respectively)		14,999,045		18,408,894
Receivable on open futures contracts		—		52,491
Total assets		17,482,651		20,477,446
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		79,209		—
Management fee payable		13,893		16,767
Total liabilities		93,102		16,767
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		17,389,549		20,460,679
Total liabilities and shareholders’ equity	$	17,482,651	$	20,477,446
Shares outstanding		350,000		350,005
Net asset value per share	$	49.68	$	58.46
Market value per share (Note 2)	$	49.67	$	58.15

See accompanying notes to financial statements.

47

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (86% of shareholders’ equity)
U.S. Treasury Bills^^:
0.313% due 10/20/16	$	15,000,000	$	14,999,045
Total short-term U.S. government and agency obligations (cost $14,997,526)			$	14,999,045

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Australian Dollar Fx Currency Futures - CME, expires December 2016		456	$	34,879,440	$	(915,970	)

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

†† Cash collateral in the amount of $902,880 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

See accompanying notes to financial statements.

48

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	12,198		$	1,058		$	32,241		$	2,914
Expenses
Management fee		42,820			51,046			136,306			149,028
Brokerage commissions and fees		3,267			4,427			11,011			12,027
Total expenses		46,087			55,473			147,317			161,055
Net investment income (loss)		(33,889	)		(54,415	)		(115,076	)		(158,141	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(318,842	)		3,397,069			(2,462,334	)		5,930,837
Short-term U.S. government and agency obligations		1			—			220			226
Net realized gain (loss)		(318,841	)		3,397,069			(2,462,114	)		5,931,063
Change in net unrealized appreciation/depreciation on
Futures contracts		(971,687	)		146,750			(495,700	)		(694,191	)
Short-term U.S. government and agency obligations		561			554			2,074			650
Change in net unrealized appreciation/depreciation		(971,126	)		147,304			(493,626	)		(693,541	)
Net realized and unrealized gain (loss)		(1,289,967	)		3,544,373			(2,955,740	)		5,237,522
Net income (loss)	$	(1,323,856	)	$	3,489,958		$	(3,070,816	)	$	5,079,381

See accompanying notes to financial statements.

49

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	20,460,679
Redemption of 5 shares		(314	)
Net addition (redemption) of (5) shares		(314	)
Net investment income (loss)		(115,076	)
Net realized gain (loss)		(2,462,114	)
Change in net unrealized appreciation/depreciation		(493,626	)
Net income (loss)		(3,070,816	)
Shareholders’ equity, at September 30, 2016	$	17,389,549

See accompanying notes to financial statements.

50

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	(3,070,816	)	$	5,079,381
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		(845,815	)		(360,973	)
Purchases of short-term U.S. government and agency obligations		(36,174,367	)		(44,858,928	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		39,618,751			46,232,422
Net amortization and accretion on short-term U.S government and agency obligations		(32,241	)		(2,914	)
Net realized gain (loss) on investments		(220	)		(226	)
Change in unrealized appreciation/depreciation on investments		(2,074	)		(650	)
Decrease (Increase) in receivable on futures contracts		52,491			62,534
Increase (Decrease) in management fee payable		(2,874	)		16,089
Increase (Decrease) in payable on futures contracts		79,209			195,769
Net cash provided by (used in) operating activities		(377,956	)		6,362,504
Cash flow from financing activities
Proceeds from addition of shares		—			2,764,167
Payment on shares redeemed		(314	)		(8,380,675	)
Net cash provided by (used in) financing activities		(314	)		(5,616,508	)
Net increase (decrease) in cash		(378,270	)		745,996
Cash, beginning of period		1,958,996			1,788,757
Cash, end of period	$	1,580,726		$	2,534,753

See accompanying notes to financial statements.

51

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	185,360	$	10,372,583
Segregated cash balances with brokers for foreign currency forward contracts		15,803,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $353,469,322 and $546,177,230, respectively)		353,492,314		546,166,776
Unrealized appreciation on foreign currency forward contracts		1,724,977		—
Total assets		371,205,651		556,539,359
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		5,108,230
Management fee payable		290,065		414,275
Unrealized depreciation on foreign currency forward contracts		—		28,710,336
Total liabilities		290,065		34,232,841
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		370,915,586		522,306,518
Total liabilities and shareholders’ equity	$	371,205,651	$	556,539,359
Shares outstanding		15,600,000		20,450,014
Net asset value per share	$	23.78	$	25.54
Market value per share (Note 2)	$	23.76	$	25.53

See accompanying notes to financial statements.

52

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (95% of shareholders’ equity)
U.S. Treasury Bills^^:
0.299% due 10/13/16†	$	112,734,000	$	112,728,679
0.313% due 10/20/16†		36,000,000		35,997,707
0.230% due 10/27/16†		34,337,000		34,332,536
0.280% due 11/25/16†		85,000,000		84,979,974
0.201% due 12/15/16†		38,000,000		37,985,746
0.181% due 12/22/16†		47,493,000		47,467,672
Total short-term U.S. government and agency obligations (cost $353,469,322)			$	353,492,314

Foreign Currency Forward Contracts^

	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		10/07/16		11,861,500		$	13,327,034		$	5,460
Euro with UBS AG		10/07/16		18,134,300			20,374,863			6,097
									$	11,557
Contracts to Sell
Euro with Goldman Sachs International		10/07/16		(344,672,125	)	$	(387,257,692	)	$	965,377
Euro with UBS AG		10/07/16		(345,543,400	)		(388,236,616	)		748,043
									$	1,713,420

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

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

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

See accompanying notes to financial statements.

53

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	248,831		$	41,312		$	765,698		$	163,405
Expenses
Management fee		906,488			1,393,074			2,894,802			4,000,943
Total expenses		906,488			1,393,074			2,894,802			4,000,943
Net investment income (loss)		(657,657	)		(1,351,762	)		(2,129,104	)		(3,837,538	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(5,537,097	)		(8,177,791	)		(60,591,547	)		69,763,997
Short-term U.S. government and agency obligations		1,655			7,012			37			22,878
Net realized gain (loss)		(5,535,442	)		(8,170,779	)		(60,591,510	)		69,786,875
Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(2,518,631	)		827,483			30,435,313			(11,459,427	)
Short-term U.S. government and agency obligations		2,404			35,266			33,446			27,437
Change in net unrealized appreciation/depreciation		(2,516,227	)		862,749			30,468,759			(11,431,990	)
Net realized and unrealized gain (loss)		(8,051,669	)		(7,308,030	)		(30,122,751	)		58,354,885
Net income (loss)	$	(8,709,326	)	$	(8,659,792	)	$	(32,251,855	)	$	54,517,347

See accompanying notes to financial statements.

54

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	522,306,518
Addition of 650,000 shares		15,418,329
Redemption of 5,500,014 shares		(134,557,406	)
Net addition (redemption) of (4,850,014) shares		(119,139,077	)
Net investment income (loss)		(2,129,104	)
Net realized gain (loss)		(60,591,510	)
Change in net unrealized appreciation/depreciation		30,468,759
Net income (loss)		(32,251,855	)
Shareholders’ equity, at September 30, 2016	$	370,915,586

See accompanying notes to financial statements.

55

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	(32,251,855	)	$	54,517,347
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts		(15,803,000	)		—
Purchases of short-term U.S. government and agency obligations		(1,046,594,054	)		(1,420,398,053	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		1,240,067,697			1,365,118,964
Net amortization and accretion on short-term U.S government and agency obligations		(765,698	)		(162,381	)
Net realized gain (loss) on investments		(37	)		(22,878	)
Change in unrealized appreciation/depreciation on investments		(30,468,759	)		11,431,990
Increase (Decrease) in management fee payable		(124,210	)		513,358
Net cash provided by (used in) operating activities		114,060,084			10,998,347
Cash flow from financing activities
Proceeds from addition of shares		15,418,329			323,411,326
Payment on shares redeemed		(139,665,636	)		(334,884,280	)
Net cash provided by (used in) financing activities		(124,247,307	)		(11,472,954	)
Net increase (decrease) in cash		(10,187,223	)		(474,607	)
Cash, beginning of period		10,372,583			746,454
Cash, end of period	$	185,360		$	271,847

See accompanying notes to financial statements.

56

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	771,577	$	276,968
Segregated cash balances with brokers for foreign currency forward contracts		1,274,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $261,918,816 and $260,014,650, respectively)		261,940,610		259,997,001
Unrealized appreciation on foreign currency forward contracts		380,225		933,727
Total assets		264,366,412		261,207,696
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		8,794,729
Management fee payable		197,959		210,888
Unrealized depreciation on foreign currency forward contracts		268,909		14,829,179
Total liabilities		466,868		23,834,796
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		263,899,544		237,372,900
Total liabilities and shareholders’ equity	$	264,366,412	$	261,207,696
Shares outstanding		4,349,290		2,699,294
Net asset value per share	$	60.68	$	87.94
Market value per share (Note 2)	$	60.64	$	87.89

See accompanying notes to financial statements.

57

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (99% of shareholders’ equity)
U.S. Treasury Bills^^:
0.265% due 10/06/16	$	6,000,000	$	5,999,945
0.303% due 10/13/16†		84,000,000		83,996,035
0.264% due 10/20/16		29,183,000		29,181,141
0.272% due 10/27/16†		24,737,000		24,733,784
0.251% due 11/03/16†		11,794,000		11,791,969
0.257% due 11/10/16†		36,195,000		36,187,739
0.292% due 11/25/16†		44,500,000		44,489,516
0.190% due 12/01/16		1,000,000		999,722
0.156% due 12/08/16		10,000,000		9,996,700
0.235% due 12/15/16†		10,271,000		10,267,147
0.210% due 01/05/17		4,300,000		4,296,912
Total short-term U.S. government and agency obligations (cost $261,918,816)			$	261,940,610

Foreign Currency Forward Contracts^

	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		10/07/16		812,107,700		$	8,009,961		$	25,969
Yen with UBS AG		10/07/16		4,484,904,300			44,235,400			(110,209	)
									$	(84,240	)
Contracts to Sell
Yen with Goldman Sachs International		10/07/16		(27,401,188,900	)	$	(270,262,747	)	$	(158,700	)
Yen with UBS AG		10/07/16		(31,384,937,700	)		(309,555,163	)		354,256
									$	195,556

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

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

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

See accompanying notes to financial statements.

58

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	155,603		$	28,980		$	328,442		$	113,947
Expenses
Management fee		563,817			894,286			1,462,231			3,069,183
Total expenses		563,817			894,286			1,462,231			3,069,183
Net investment income (loss)		(408,214	)		(865,306	)		(1,133,789	)		(2,955,236	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(33,476,385	)		(32,435,377	)		(86,173,771	)		(6,900,989	)
Short-term U.S. government and agency obligations		(44	)		107			(5,838	)		4,415
Net realized gain (loss)		(33,476,429	)		(32,435,270	)		(86,179,609	)		(6,896,574	)
Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		23,071,090			13,321,397			14,006,768			688,046
Short-term U.S. government and agency obligations		14,852			6,858			39,443			(1,053	)
Change in net unrealized appreciation/depreciation		23,085,942			13,328,255			14,046,211			686,993
Net realized and unrealized gain (loss)		(10,390,487	)		(19,107,015	)		(72,133,398	)		(6,209,581	)
Net income (loss)	$	(10,798,701	)	$	(19,972,321	)	$	(73,267,187	)	$	(9,164,817	)

See accompanying notes to financial statements.

59

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	237,372,900
Addition of 2,100,000 shares		136,071,321
Redemption of 450,004 shares		(36,277,490	)
Net addition (redemption) of 1,649,996 shares		99,793,831
Net investment income (loss)		(1,133,789	)
Net realized gain (loss)		(86,179,609	)
Change in net unrealized appreciation/depreciation		14,046,211
Net income (loss)		(73,267,187	)
Shareholders’ equity, at September 30, 2016	$	263,899,544

See accompanying notes to financial statements.

60

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	(73,267,187	)	$	(9,164,817	)
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		(627,277,970	)		(1,027,392,799	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		625,696,408			1,251,995,308
Net amortization and accretion on short-term U.S government and agency obligations		(328,442	)		(113,947	)
Net realized gain (loss) on investments		5,838			(4,415	)
Change in unrealized appreciation/depreciation on investments		(14,046,211	)		(686,993	)
Increase (Decrease) in management fee payable		(12,929	)		129,743
Net cash provided by (used in) operating activities		(90,504,493	)		214,762,080
Cash flow from financing activities
Proceeds from addition of shares		136,071,321			124,524,910
Payment on shares redeemed		(45,072,219	)		(339,511,356	)
Net cash provided by (used in) financing activities		90,999,102			(214,986,446	)
Net increase (decrease) in cash		494,609			(224,366	)
Cash, beginning of period		276,968			532,706
Cash, end of period	$	771,577		$	308,340

See accompanying notes to financial statements.

61

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	5,295,416	$	4,008,379
Segregated cash balances with brokers for futures contracts		26,620,550		47,571,810
Segregated cash balances with brokers for swap agreements		26,365,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $880,662,875 and $797,652,302, respectively)		880,695,307		797,650,543
Unrealized appreciation on swap agreements		70,822,188		—
Receivable from capital shares sold		—		4,894,509
Receivable on open futures contracts		3,153,394		5,150,763
Receivable from counterparty		17,625,333		—
Total assets		1,030,577,188		859,276,004
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		50,113,107		2,514,956
Brokerage commissions and fees payable		10,152		25,000
Management fee payable		696,423		636,984
Unrealized depreciation on swap agreements		—		72,176,589
Total liabilities		50,819,682		75,353,529
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		979,757,506		783,922,475
Total liabilities and shareholders’ equity	$	1,030,577,188	$	859,276,004
Shares outstanding		93,227,866		62,327,867
Net asset value per share	$	10.51	$	12.58
Market value per share (Note 2)	$	10.38	$	12.54

See accompanying notes to financial statements.

62

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (90% of shareholders’ equity)
U.S. Treasury Bills^^:
0.213% due 10/06/16†	$	69,039,000	$	69,038,365
0.269% due 10/13/16†		3,210,000		3,209,849
0.264% due 10/20/16†		46,860,000		46,857,015
0.253% due 11/03/16†		216,402,000		216,364,736
0.244% due 11/10/16†		148,000,000		147,970,311
0.261% due 11/17/16†		40,000,000		39,991,252
0.288% due 11/25/16†		6,900,000		6,898,374
0.172% due 12/01/16		25,000,000		24,993,035
0.156% due 12/08/16		10,000,000		9,996,700
0.124% due 12/15/16†		70,000,000		69,973,743
0.181% due 12/22/16†		127,065,000		126,997,236
0.237% due 01/05/17		38,500,000		38,472,353
0.350% due 01/12/17		5,000,000		4,996,353
0.343% due 01/19/17†		35,000,000		34,971,125
0.391% due 01/26/17†		40,000,000		39,964,860
Total short-term U.S. government and agency obligations (cost $880,662,875)			$	880,695,307

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil - NYMEX, expires November 2016		8,345	$	402,562,800	$	29,388,291

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	%		10/06/16	$	566,152,847	$	25,439,697
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25	%		10/06/16		454,062,414		19,367,023
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25	%		10/06/16		100,430,739		5,772,124
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25	%		10/06/16		436,225,560		20,243,344
								$	70,822,188

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

†† Cash collateral in the amount of $26,620,550 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

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

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

* Reflects the floating financing rate, as of September 30, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

** For swap agreements, a positive amount represents “long” exposure to the benchmark index. A negative amount represents “short” exposure to the benchmark index.

See accompanying notes to financial statements.

63

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	547,630		$	75,891		$	1,497,225		$	217,460
Expenses
Management fee		2,118,318			2,012,640			6,031,448			6,257,893
Brokerage commissions and fees		112,742			148,396			443,936			449,106
Total expenses		2,231,060			2,161,036			6,475,384			6,706,999
Net investment income (loss)		(1,683,430	)		(2,085,145	)		(4,978,159	)		(6,489,539	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(51,064,247	)		(197,981,324	)		(14,115,761	)		(195,748,120	)
Swap agreements		(195,154,381	)		(331,918,263	)		(118,756,695	)		(301,530,415	)
Short-term U.S. government and agency obligations		2,107			(3,934	)		(13,583	)		56,938
Net realized gain (loss)		(246,216,521	)		(529,903,521	)		(132,886,039	)		(497,221,597	)
Change in net unrealized appreciation/depreciation on
Futures contracts		41,481,937			4,743,818			47,317,605			42,513,527
Swap agreements		124,100,958			(63,442,803	)		142,998,777			30,866,052
Short-term U.S. government and agency obligations		8,186			64,175			34,191			64,564
Change in net unrealized appreciation/depreciation		165,591,081			(58,634,810	)		190,350,573			73,444,143
Net realized and unrealized gain (loss)		(80,625,440	)		(588,538,331	)		57,464,534			(423,777,454	)
Net income (loss)	$	(82,308,870	)	$	(590,623,476	)	$	52,486,375		$	(430,266,993	)

See accompanying notes to financial statements.

64

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	783,922,475
Addition of 100,950,000 shares		874,249,040
Redemption of 70,050,001 shares		(730,900,384	)
Net addition (redemption) of 30,899,999 shares		143,348,656
Net investment income (loss)		(4,978,159	)
Net realized gain (loss)		(132,886,039	)
Change in net unrealized appreciation/depreciation		190,350,573
Net income (loss)		52,486,375
Shareholders’ equity, at September 30, 2016	$	979,757,506

See accompanying notes to financial statements.

65

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	52,486,375		$	(430,266,993	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		20,951,260			12,585,001
Decrease (Increase) in segregated cash balances with brokers for swap agreements		(26,365,000	)		—
Purchases of short-term U.S. government and agency obligations		(2,817,353,950	)		(3,406,730,520	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		2,735,827,019			3,064,708,146
Net amortization and accretion on short-term U.S government and agency obligations		(1,497,225	)		(214,320	)
Net realized gain (loss) on investments		13,583			(56,938	)
Change in unrealized appreciation/depreciation on investments		(143,032,968	)		(30,930,616	)
Decrease (Increase) in receivable on futures contracts		1,997,369			—
Decrease (Increase) in receivable from counterparty		(17,625,333	)		—
Increase (Decrease) in management fee payable		59,439			952,458
Increase (Decrease) in brokerage commissions and fees payable		(14,848	)		29,166
Increase (Decrease) in payable on futures contracts		—			(4,208,225	)
Net cash provided by (used in) operating activities		(194,554,279	)		(794,132,841	)
Cash flow from financing activities
Proceeds from addition of shares		879,143,549			1,969,638,334
Payment on shares redeemed		(683,302,233	)		(1,173,946,419	)
Net cash provided by (used in) financing activities		195,841,316			795,691,915
Net increase (decrease) in cash		1,287,037			1,559,074
Cash, beginning of period		4,008,379			2,349,384
Cash, end of period	$	5,295,416		$	3,908,458

See accompanying notes to financial statements.

66

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,359,693	$	1,411,137
Segregated cash balances with brokers for futures contracts		5,648,224		7,595,280
Short-term U.S. government and agency obligations (Note 3) (cost $25,844,015 and $26,806,648, respectively)		25,847,011		26,807,731
Receivable on open futures contracts		—		3,065,769
Total assets		32,854,928		38,879,917
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		1,073,868		—
Brokerage commissions and fees payable		2,387		3,623
Management fee payable		28,466		25,110
Total liabilities		1,104,721		28,733
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		31,750,207		38,851,184
Total liabilities and shareholders’ equity	$	32,854,928	$	38,879,917
Shares outstanding		2,192,169		2,092,170
Net asset value per share	$	14.48	$	18.57
Market value per share (Note 2)	$	14.58	$	18.48

See accompanying notes to financial statements.

67

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (81% of shareholders’ equity)
U.S. Treasury Bills^^:
0.238% due 10/20/16	$	2,386,000	$	2,385,848
0.230% due 10/27/16		8,228,000		8,226,930
0.286% due 11/10/16		4,000,000		3,999,198
0.306% due 11/25/16		5,000,000		4,998,822
0.180% due 12/22/16		1,241,000		1,240,338
0.341% due 01/19/17		5,000,000		4,995,875
Total short-term U.S. government and agency obligations (cost $25,844,015)			$	25,847,011

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, November 2016		2,185	$	63,496,100	$	(1,439,814	)

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

†† Cash collateral in the amount of $5,648,224 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

See accompanying notes to financial statements.

68

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	18,114		$	3,636		$	45,257		$	15,020
Expenses
Management fee		85,894			147,696			229,760			479,185
Brokerage commissions and fees		25,652			46,406			98,016			156,022
Total expenses		111,546			194,102			327,776			635,207
Net investment income (loss)		(93,432	)		(190,466	)		(282,519	)		(620,187	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		1,964,411			(8,595,657	)		6,591,697			(58,404,100	)
Short-term U.S. government and agency obligations		264			(181	)		(405	)		4,630
Net realized gain (loss)		1,964,675			(8,595,838	)		6,591,292			(58,399,470	)
Change in net unrealized appreciation/depreciation on
Futures contracts		(8,409,834	)		(13,040,143	)		(7,752,693	)		20,999,849
Short-term U.S. government and agency obligations		2,064			2,650			1,913			2,109
Change in net unrealized appreciation/depreciation		(8,407,770	)		(13,037,493	)		(7,750,780	)		21,001,958
Net realized and unrealized gain (loss)		(6,443,095	)		(21,633,331	)		(1,159,488	)		(37,397,512	)
Net income (loss)	$	(6,536,527	)	$	(21,823,797	)	$	(1,442,007	)	$	(38,017,699	)

See accompanying notes to financial statements.

69

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	38,851,184
Addition of 2,200,000 shares		24,550,026
Redemption of 2,100,001 shares		(30,208,996	)
Net addition (redemption) of 99,999 shares		(5,658,970	)
Net investment income (loss)		(282,519	)
Net realized gain (loss)		6,591,292
Change in net unrealized appreciation/depreciation		(7,750,780	)
Net income (loss)		(1,442,007	)
Shareholders’ equity, at September 30, 2016	$	31,750,207

See accompanying notes to financial statements.

70

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	(1,442,007	)	$	(38,017,699	)
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		1,947,056			19,099,536
Purchases of short-term U.S. government and agency obligations		(89,354,690	)		(227,408,040	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		90,362,175			230,049,810
Net amortization and accretion on short-term U.S government and agency obligations		(45,257	)		(13,699	)
Net realized gain (loss) on investments		405			(4,630	)
Change in unrealized appreciation/depreciation on investments		(1,913	)		(2,109	)
Decrease (Increase) in receivable on futures contracts		3,065,769			—
Increase (Decrease) in management fee payable		3,356			30,976
Increase (Decrease) in brokerage commissions and fees payable		(1,236	)		4,750
Increase (Decrease) in payable on futures contracts		1,073,868			(7,135,277	)
Net cash provided by (used in) operating activities		5,607,526			(23,396,382	)
Cash flow from financing activities
Proceeds from addition of shares		24,550,026			78,797,856
Payment on shares redeemed		(30,208,996	)		(54,776,954	)
Net cash provided by (used in) financing activities		(5,658,970	)		24,020,902
Net increase (decrease) in cash		(51,444	)		624,520
Cash, beginning of period		1,411,137			1,653,582
Cash, end of period	$	1,359,693		$	2,278,102

See accompanying notes to financial statements.

71

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	108,039	$	251,524
Segregated cash balances with brokers for futures contracts		11,880		8,250
Segregated cash balances with brokers for forward agreements		394,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $101,973,369 and $71,908,280, respectively)		101,973,583		71,912,587
Receivable on open futures contracts		—		80
Total assets		102,487,502		72,172,441
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		1,780		—
Management fee payable		78,324		57,031
Unrealized depreciation on forward agreements		2,458,129		2,250,595
Total liabilities		2,538,233		2,307,626
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		99,949,269		69,864,815
Total liabilities and shareholders’ equity	$	102,487,502	$	72,172,441
Shares outstanding		2,250,000		2,350,014
Net asset value per share	$	44.42	$	29.73
Market value per share (Note 2)	$	44.01	$	29.73

See accompanying notes to financial statements.

72

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (102% of shareholders’ equity)
U.S. Treasury Bills^^:
0.276% due 10/06/16†	$	18,819,000	$	18,818,827
0.303% due 10/13/16†		25,000,000		24,998,820
0.313% due 10/20/16†		4,000,000		3,999,745
0.251% due 11/03/16†		14,579,000		14,576,489
0.261% due 11/17/16†		2,000,000		1,999,562
0.307% due 11/25/16†		4,000,000		3,999,058
0.181% due 12/22/16†		33,599,000		33,581,082
Total short-term U.S. government and agency obligations (cost $101,973,369)			$	101,973,583

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires December 2016		2	$	263,420	$	(1,800	)

Forward Agreements^

	Rate Paid (Received)*			Settlement Date		Commitment to (Deliver)/Receive		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Forward agreements with Citibank, N.A. based on 0.995 Fine Troy Ounce gold		1.25	%		10/06/16	$	42,200	$	55,818,784	$	(712,389	)
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold		1.65			10/06/16		32,100		42,461,880		(499,050	)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		1.38			10/06/16		36,520		48,305,004		(600,158	)
Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold		1.45			10/06/16		15,400		20,369,734		(244,025	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		1.34			10/06/16		24,700		32,670,937		(402,507	)
										$	(2,458,129	)

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

†† Cash collateral in the amount of $11,880 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

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

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

* Reflects the floating financing rate, as of September 30, 2016, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

See accompanying notes to financial statements.

73

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	72,710		$	5,853		$	178,730		$	27,485
Expenses
Management fee		245,192			195,929			665,265			657,667
Brokerage commissions and fees		8			8			33			33
Total expenses		245,200			195,937			665,298			657,700
Net investment income (loss)		(172,490	)		(190,084	)		(486,568	)		(630,215	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		7,280			(13,520	)		45,880			(1,660	)
Forward agreements		12,622,611			(8,307,389	)		33,658,090			(12,227,181	)
Short-term U.S. government and agency obligations		193			(3,445	)		296			(1,245	)
Net realized gain (loss)		12,630,084			(8,324,354	)		33,704,266			(12,230,086	)
Change in net unrealized appreciation/depreciation on
Futures contracts		(9,380	)		1,780			3,400			(13,220	)
Forward agreements		(13,407,534	)		(874,327	)		(207,534	)		(3,340,385	)
Short-term U.S. government and agency obligations		(6,051	)		6,644			(4,093	)		4,311
Change in net unrealized appreciation/depreciation		(13,422,965	)		(865,903	)		(208,227	)		(3,349,294	)
Net realized and unrealized gain (loss)		(792,881	)		(9,190,257	)		33,496,039			(15,579,380	)
Net income (loss)	$	(965,371	)	$	(9,380,341	)	$	33,009,471		$	(16,209,595	)

See accompanying notes to financial statements.

74

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	69,864,815
Addition of 150,000 shares		6,445,287
Redemption of 250,014 shares		(9,370,304	)
Net addition (redemption) of (100,014) shares		(2,925,017	)
Net investment income (loss)		(486,568	)
Net realized gain (loss)		33,704,266
Change in net unrealized appreciation/depreciation		(208,227	)
Net income (loss)		33,009,471
Shareholders’ equity, at September 30, 2016	$	99,949,269

See accompanying notes to financial statements.

75

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	33,009,471		$	(16,209,595	)
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		(3,630	)		550
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(394,000	)		—
Purchases of short-term U.S. government and agency obligations		(268,415,817	)		(194,601,532	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		238,529,754			216,766,479
Net amortization and accretion on short-term U.S government and agency obligations		(178,730	)		(27,485	)
Net realized gain (loss) on investments		(296	)		1,245
Change in unrealized appreciation/depreciation on investments		211,627			3,336,074
Decrease (Increase) in receivable on futures contracts		80			—
Increase (Decrease) in management fee payable		21,293			43,173
Increase (Decrease) in payable on futures contracts		1,780			(940	)
Net cash provided by (used in) operating activities		2,781,532			9,307,969
Cash flow from financing activities
Proceeds from addition of shares		6,445,287			3,851,383
Payment on shares redeemed		(9,370,304	)		(10,419,353	)
Net cash provided by (used in) financing activities		(2,925,017	)		(6,567,970	)
Net increase (decrease) in cash		(143,485	)		2,739,999
Cash, beginning of period		251,524			104,145
Cash, end of period	$	108,039		$	2,844,144

See accompanying notes to financial statements.

76

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	382,362	$	243,900
Segregated cash balances with brokers for futures contracts		11,550		17,160
Segregated cash balances with brokers for forward agreements		2,561,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $382,317,301 and $238,900,176, respectively)		382,334,562		238,899,626
Receivable on open futures contracts		260		—
Total assets		385,289,734		239,160,686
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		1,875
Management fee payable		293,411		181,068
Unrealized depreciation on forward agreements		12,745,195		22,561,101
Total liabilities		13,038,606		22,744,044
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		372,251,128		216,416,642
Total liabilities and shareholders’ equity	$	385,289,734	$	239,160,686
Shares outstanding		7,596,526		7,996,533
Net asset value per share	$	49.00	$	27.06
Market value per share (Note 2)	$	48.11	$	27.08

See accompanying notes to financial statements.

77

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (103% of shareholders’ equity)
U.S. Treasury Bills^^:
0.276% due 10/06/16†	$	173,874,000	$	173,872,400
0.303% due 10/13/16†		10,000,000		9,999,528
0.313% due 10/20/16†		10,000,000		9,999,363
0.251% due 11/03/16		27,223,000		27,218,312
0.240% due 11/10/16†		71,289,000		71,274,700
0.261% due 11/17/16†		37,000,000		36,991,908
0.306% due 11/25/16†		10,000,000		9,997,644
0.181% due 12/15/16†		23,000,000		22,991,373
0.181% due 12/22/16†		20,000,000		19,989,334
Total short-term U.S. government and agency obligations (cost $382,317,301)			$	382,334,562

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires December 2016		2	$	192,140	$	1,480

Forward Agreements^

	Rate Paid (Received)*			Settlement Date		Commitment to (Deliver)/Receive		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Forward agreements with Citibank, N.A. based on 0.999 Fine Troy Ounce Silver		1.35	%		10/06/16	$	11,202,000	$	216,797,907	$	(3,516,545	)
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver		1.87			10/06/16		5,720,800		110,726,656		(2,669,570	)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		1.55			10/06/16		9,746,800		188,634,694		(3,421,695	)
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		1.66			10/06/16		3,484,000		67,428,291		(934,524	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		1.55			10/06/16		8,303,000		160,692,111		(2,202,861	)
										$	(12,745,195	)

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

†† Cash collateral in the amount of $11,550 was pledged to cover margin requirements for open futures contracts as of September 30, 2016.

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

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

* Reflects the floating financing rate, as of September 30, 2016, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

See accompanying notes to financial statements.

78

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	277,478		$	35,179		$	587,744		$	109,726
Expenses
Management fee		978,671			631,618			2,300,935			2,085,125
Brokerage commissions and fees		9			15			36			42
Total expenses		978,680			631,633			2,300,971			2,085,167
Net investment income (loss)		(701,202	)		(596,454	)		(1,713,227	)		(1,975,441	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		15,260			(8,426	)		50,360			(8,725	)
Forward agreements		119,357,106			(56,502,419	)		174,820,159			(72,512,082	)
Short-term U.S. government and agency obligations		336			(8,981	)		2,562			(2,867	)
Net realized gain (loss)		119,372,702			(56,519,826	)		174,873,081			(72,523,674	)
Change in net unrealized appreciation/depreciation on
Futures contracts		(10,650	)		(4,385	)		10,510			(7,735	)
Forward agreements		(88,229,820	)		13,733,121			9,815,906			12,269,714
Short-term U.S. government and agency obligations		4,068			25,121			17,811			21,471
Change in net unrealized appreciation/depreciation		(88,236,402	)		13,753,857			9,844,227			12,283,450
Net realized and unrealized gain (loss)		31,136,300			(42,765,969	)		184,717,308			(60,240,224	)
Net income (loss)	$	30,435,098		$	(43,362,423	)	$	183,004,081		$	(62,215,665	)

See accompanying notes to financial statements.

79

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	216,416,642
Addition of 1,500,000 shares		55,483,218
Redemption of 1,900,007 shares		(82,652,813	)
Net addition (redemption) of (400,007) shares		(27,169,595	)
Net investment income (loss)		(1,713,227	)
Net realized gain (loss)		174,873,081
Change in net unrealized appreciation/depreciation		9,844,227
Net income (loss)		183,004,081
Shareholders’ equity, at September 30, 2016	$	372,251,128

See accompanying notes to financial statements.

80

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	183,004,081		$	(62,215,665	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		5,610			1,100
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(2,561,000	)		—
Purchases of short-term U.S. government and agency obligations		(980,153,795	)		(613,020,609	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		837,326,976			673,161,451
Net amortization and accretion on short-term U.S government and agency obligations		(587,744	)		(109,726	)
Net realized gain (loss) on investments		(2,562	)		2,867
Change in unrealized appreciation/depreciation on investments		(9,833,717	)		(12,291,185	)
Decrease (Increase) in receivable on futures contracts		(260	)		—
Increase (Decrease) in management fee payable		112,343			158,866
Increase (Decrease) in payable on futures contracts		(1,875	)		(6,220	)
Net cash provided by (used in) operating activities		27,308,057			(14,319,121	)
Cash flow from financing activities
Proceeds from addition of shares		55,483,218			75,984,034
Payment on shares redeemed		(82,652,813	)		(61,724,731	)
Net cash provided by (used in) financing activities		(27,169,595	)		14,259,303
Net increase (decrease) in cash		138,462			(59,818	)
Cash, beginning of period		243,900			305,004
Cash, end of period	$	382,362		$	245,186

See accompanying notes to financial statements.

81

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	198,644	$	227,310
Short-term U.S. government and agency obligations (Note 3) (cost $9,538,021 and $11,605,665, respectively)		9,537,166		11,605,262
Unrealized appreciation on foreign currency forward contracts		—		604,920
Total assets		9,735,810		12,437,492
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		1,569,718
Management fee payable		7,512		10,044
Unrealized depreciation on foreign currency forward contracts		49,584		—
Total liabilities		57,096		1,579,762
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		9,678,714		10,857,730
Total liabilities and shareholders’ equity	$	9,735,810	$	12,437,492
Shares outstanding		600,000		700,014
Net asset value per share	$	16.13	$	15.51
Market value per share (Note 2)	$	16.12	$	15.51

See accompanying notes to financial statements.

82

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (99% of shareholders’ equity)
U.S. Treasury Bills^^:
0.270% due 12/01/16†	$	1,000,000	$	999,721
0.181% due 12/22/16†		8,542,000		8,537,445
Total short-term U.S. government and agency obligations (cost $9,538,021)			$	9,537,166

Foreign Currency Forward Contracts^

	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		10/07/16		9,020,825		$	10,135,383		$	(25,417	)
Euro with UBS AG		10/07/16		8,385,200			9,421,224			(23,361	)
									$	(48,778	)
Contracts to Sell
Euro with UBS AG		10/07/16		(169,500	)	$	(190,442	)	$	(806	)
									$	(806	)

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

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

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

See accompanying notes to financial statements.

83

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	6,257		$	514		$	18,054		$	2,076
Expenses
Management fee		22,916			27,210			71,859			78,687
Total expenses		22,916			27,210			71,859			78,687
Net investment income (loss)		(16,659	)		(26,696	)		(53,805	)		(76,611	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		46,252			68,814			1,155,961			(559,487	)
Short-term U.S. government and agency obligations		6			(27	)		153			33
Net realized gain (loss)		46,258			68,787			1,156,114			(559,454	)
Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		118,030			(8,853	)		(654,504	)		(38,964	)
Short-term U.S. government and agency obligations		(1,819	)		(486	)		(452	)		(344	)
Change in net unrealized appreciation/depreciation		116,211			(9,339	)		(654,956	)		(39,308	)
Net realized and unrealized gain (loss)		162,469			59,448			501,158			(598,762	)
Net income (loss)	$	145,810		$	32,752		$	447,353		$	(675,373	)

See accompanying notes to financial statements.

84

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	10,857,730
Addition of 50,000 shares		831,691
Redemption of 150,014 shares		(2,458,060	)
Net addition (redemption) of (100,014) shares		(1,626,369	)
Net investment income (loss)		(53,805	)
Net realized gain (loss)		1,156,114
Change in net unrealized appreciation/depreciation		(654,956	)
Net income (loss)		447,353
Shareholders’ equity, at September 30, 2016	$	9,678,714

See accompanying notes to financial statements.

85

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	447,353		$	(675,373	)
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		(36,177,928	)		(36,614,695	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		38,263,779			28,336,621
Net amortization and accretion on short-term U.S government and agency obligations		(18,054	)		(2,076	)
Net realized gain (loss) on investments		(153	)		(33	)
Change in unrealized appreciation/depreciation on investments		654,956			39,308
Increase (Decrease) in management fee payable		(2,532	)		15,657
Net cash provided by (used in) operating activities		3,167,421			(8,900,591	)
Cash flow from financing activities
Proceeds from addition of shares		831,691			13,540,570
Payment on shares redeemed		(4,027,778	)		(5,092,141	)
Net cash provided by (used in) financing activities		(3,196,087	)		8,448,429
Net increase (decrease) in cash		(28,666	)		(452,162	)
Cash, beginning of period		227,310			671,117
Cash, end of period	$	198,644		$	218,955

See accompanying notes to financial statements.

86

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	357,933	$	147,371
Short-term U.S. government and agency obligations (Note 3) (cost $7,097,504 and $5,069,206, respectively)		7,098,505		5,069,491
Unrealized appreciation on foreign currency forward contracts		364		267,014
Total assets		7,456,802		5,483,876
Liabilities and shareholders’ equity
Liabilities
Management fee payable		5,730		4,325
Unrealized depreciation on foreign currency forward contracts		7,343		5,703
Total liabilities		13,073		10,028
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		7,443,729		5,473,848
Total liabilities and shareholders’ equity	$	7,456,802	$	5,483,876
Shares outstanding		99,970		99,974
Net asset value per share	$	74.46	$	54.75
Market value per share (Note 2)	$	74.48	$	54.70

See accompanying notes to financial statements.

87

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2016

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations (95% of shareholders’ equity)
U.S. Treasury Bills^^:
0.313% due 10/20/16†	$	3,000,000	$	2,999,809
0.310% due 11/25/16		3,400,000		3,399,199
0.210% due 01/05/17		700,000		699,497
Total short-term U.S. government and agency obligations (cost $7,097,504)			$	7,098,505

Foreign Currency Forward Contracts^

	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		10/07/16		1,029,857,000		$	10,157,661		$	(1,558	)
Yen with UBS AG		10/07/16		524,705,100			5,175,259			(4,142	)
									$	(5,700	)
Contracts to Sell
Yen with Goldman Sachs International		10/07/16		(34,119,100	)	$	(336,523	)	$	(1,643	)
Yen with UBS AG		10/07/16		(11,065,500	)		(109,141	)		364
									$	(1,279	)

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

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

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

See accompanying notes to financial statements.

88

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016			Three months ended September 30, 2015			Nine months ended September 30, 2016			Nine months ended September 30, 2015
Investment Income
Interest	$	4,659		$	1,069		$	11,808		$	1,819
Expenses
Management fee		17,545			12,814			47,356			35,135
Total expenses		17,545			12,814			47,356			35,135
Net investment income (loss)		(12,886	)		(11,745	)		(35,548	)		(33,316	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		955,047			344,294			2,273,130			(174,883	)
Short-term U.S. government and agency obligations		72			—			72			8
Net realized gain (loss)		955,119			344,294			2,273,202			(174,875	)
Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(764,447	)		(148,766	)		(268,290	)		26,397
Short-term U.S. government and agency obligations		679			1,709			716			1,823
Change in net unrealized appreciation/depreciation		(763,768	)		(147,057	)		(267,574	)		28,220
Net realized and unrealized gain (loss)		191,351			197,237			2,005,628			(146,655	)
Net income (loss)	$	178,465		$	185,492		$	1,970,080		$	(179,971	)

See accompanying notes to financial statements.

89

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016

(unaudited)

Shareholders’ equity, at December 31, 2015	$	5,473,848
Redemption of 4 shares		(199	)
Net addition (redemption) of (4) shares		(199	)
Net investment income (loss)		(35,548	)
Net realized gain (loss)		2,273,202
Change in net unrealized appreciation/depreciation		(267,574	)
Net income (loss)		1,970,080
Shareholders’ equity, at September 30, 2016	$	7,443,729

See accompanying notes to financial statements.

90

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016			Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	1,970,080		$	(179,971	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(19,949,134	)		(11,027,181	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		17,932,716			7,302,962
Net amortization and accretion on short-term U.S government and agency obligations		(11,808	)		(1,819	)
Net realized gain (loss) on investments		(72	)		(8	)
Change in unrealized appreciation/depreciation on investments		267,574			(28,220	)
Increase (Decrease) in management fee payable		1,405			7,051
Net cash provided by (used in) operating activities		210,761			(3,927,186	)
Cash flow from financing activities
Proceeds from addition of shares		—			4,285,016
Payment on shares redeemed		(199	)		(688,682	)
Net cash provided by (used in) financing activities		(199	)		3,596,334
Net increase (decrease) in cash		210,562			(330,852	)
Cash, beginning of period		147,371			846,919
Cash, end of period	$	357,933		$	516,067

See accompanying notes to financial statements.

91

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

	September 30, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	37,339,367	$	48,049,225
Segregated cash balances with brokers for futures contracts		146,999,919		261,083,712
Segregated cash balances with brokers for swap agreements		27,493,000		—
Segregated cash balances with brokers for forward agreements		12,334,000		—
Segregated cash balances with brokers for foreign currency forward contracts		17,077,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $3,675,124,534 and $3,313,585,456, respectively)		3,675,410,177		3,313,591,600
Unrealized appreciation on swap agreements		70,822,188		6,669,519
Unrealized appreciation on forward agreements		2,099,088		6,587,221
Unrealized appreciation on foreign currency forward contracts		2,105,566		1,805,661
Receivable from capital shares sold		128,993,932		48,046,138
Receivable on open futures contracts		8,044,820		27,655,327
Receivable from counterparty		17,625,333		—
Total assets		4,146,344,390		3,713,488,403
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		66,001,323		60,119,975
Payable on open futures contracts		33,679,867		3,078,269
Brokerage commissions and fees payable		14,454		39,148
Management fee payable		2,863,530		2,839,305
Unrealized depreciation on swap agreements		16,564,825		72,446,044
Unrealized depreciation on forward agreements		15,203,324		24,811,696
Unrealized depreciation on foreign currency forward contracts		325,836		43,545,218
Payable to counterparty		1,736,880		—
Total liabilities		136,390,039		206,879,655
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		4,009,954,351		3,506,608,748
Total liabilities and shareholders’ equity	$	4,146,344,390	$	3,713,488,403
Shares outstanding		191,604,054		121,357,508

See accompanying notes to financial statements.

92

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Three months ended September 30, 2016**			Three months ended September 30, 2015			Nine months ended September 30, 2016*			Nine months ended September 30, 2015***
Investment Income
Interest	$	2,361,927		$	283,914		$	6,523,319		$	946,945
Expenses
Management fee		8,874,154			8,276,639			26,210,756			26,470,056
Brokerage commissions and fees		1,837,843			1,458,671			5,741,230			4,632,414
Offering costs		—			16,581			—			49,203
Limitation by Sponsor		—			—			—			(1,539	)
Reduction in Limitation by Sponsor		—			485			—			—
Total expenses		10,711,997			9,752,376			31,951,986			31,150,134
Net investment income (loss)		(8,350,070	)		(9,468,462	)		(25,428,667	)		(30,203,189	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(616,625,175	)		81,634,309			(1,157,016,680	)		(469,190,037	)
Swap agreements		(152,532,535	)		(291,982,643	)		(154,872,473	)		(279,256,847	)
Forward agreements		106,840,064			(49,890,271	)		151,948,518			(70,345,600	)
Foreign currency forward contracts		(38,012,183	)		(40,200,062	)		(143,336,227	)		62,128,638
Short-term U.S. government and agency obligations		16,487			(1,053	)		(24,164	)		161,365
Net realized gain (loss)		(700,313,342	)		(300,439,720	)		(1,303,301,026	)		(756,502,481	)
Change in net unrealized appreciation/depreciation on
Futures contracts		120,520,628			(131,925,029	)		(10,191,565	)		(20,936,275	)
Swap agreements		95,697,940			(55,411,844	)		120,033,888			5,055,280
Forward agreements		(82,379,401	)		10,145,947			5,120,239			10,461,747
Foreign currency forward contracts		19,906,042			13,991,261			43,519,287			(10,783,948	)
Short-term U.S. government and agency obligations		136,969			214,467			279,499			199,969
Change in net unrealized appreciation/depreciation		153,882,178			(162,985,198	)		158,761,348			(16,003,227	)
Net realized and unrealized gain (loss)		(546,431,164	)		(463,424,918	)		(1,144,539,678	)		(772,505,708	)
Net income (loss)	$	(554,781,234	)	$	(472,893,380	)	$	(1,169,968,345	)	$	(802,708,897	)

* The operations include the activity of: ProShares Managed Futures Strategy through March 30, 2016, ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity through September 1, 2016, the date of liquidation, respectively. See Note 1.

** The operations include the activity of ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity through September 1, 2016, the date of liquidation. See Note 1.

*** The operations include the activity of ProShares Ultra Australian Dollar through June 29, 2015, the date of liquidation. See Note 1.

See accompanying notes to financial statements.

93

PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016*

(unaudited)

Shareholders’ equity, at December 31, 2015	$	3,506,608,748
Addition of 249,980,000 shares		8,527,215,920
Redemption of 179,733,454 shares		(6,853,901,972	)
Net addition (redemption) of 70,246,546 shares		1,673,313,948
Net investment income (loss)		(25,428,667	)
Net realized gain (loss)		(1,303,301,026	)
Change in net unrealized appreciation/depreciation		158,761,348
Net income (loss)		(1,169,968,345	)
Shareholders’ equity, at September 30, 2016	$	4,009,954,351

* The operations include the activity of: ProShares Managed Futures Strategy through March 30, 2016, ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity through September 1, 2016, the date of liquidation, respectively. See Note 1.

See accompanying notes to financial statements.

94

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2016 AND 2015

(unaudited)

	Nine months ended September 30, 2016*			Nine months ended September 30, 2015**
Cash flow from operating activities
Net income (loss)	$	(1,169,968,345	)	$	(802,708,897	)
Decrease (Increase) in segregated cash balances with brokers for futures contracts		114,083,793			81,972,900
Decrease (Increase) in segregated cash balances with brokers for swap agreements		(27,493,000	)		(906,000	)
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(12,334,000	)		—
Decrease (Increase) in segregated cash balances with brokers for foreign currency forward contracts		(17,077,000	)		—
Purchases of short-term U.S. government and agency obligations		(14,039,604,848	)		(13,306,525,393	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		13,684,559,003			13,031,571,704
Net amortization and accretion on short-term U.S government and agency obligations		(6,517,397	)		(940,846	)
Net realized gain (loss) on investments		24,164			(161,365	)
Change in unrealized appreciation/depreciation on investments		(168,952,913	)		(4,933,048	)
Decrease (Increase) in receivable on futures contracts		19,610,507			39,839,924
Decrease (Increase) in receivable from counterparty		(17,625,333	)		—
Decrease (Increase) in Limitation by Sponsor		—			(1,539	)
Change in offering cost		—			49,203
Increase (Decrease) in management fee payable		24,225			2,794,483
Increase (Decrease) in brokerage commissions and fees payable		(24,694	)		44,642
Increase (Decrease) in payable to counterparty		1,736,880			—
Increase (Decrease) in payable on futures contracts		30,601,598			(10,623,798	)
Net cash provided by (used in) operating activities		(1,608,957,360	)		(970,528,030	)
Cash flow from financing activities
Proceeds from addition of shares		8,446,268,126			7,162,561,141
Payment on shares redeemed		(6,848,020,624	)		(6,179,119,238	)
Net cash provided by (used in) financing activities		1,598,247,502			983,441,903
Net increase (decrease) in cash		(10,709,858	)		12,913,873
Cash, beginning of period		48,049,225			35,899,231
Cash, end of period	$	37,339,367		$	48,813,104

* The operations include the activity of: ProShares Managed Futures Strategy through March 30, 2016, ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity through September 1, 2016, the date of liquidation, respectively. See Note 1.

** The operations include the activity of ProShares Ultra Australian Dollar through June 29, 2015, the date of liquidation. See Note 1.

See accompanying notes to financial statements.

95

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 30, 2016

(unaudited)

NOTE 1 – ORGANIZATION

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2016, the following eighteen 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 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 Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

On February 18, 2016, the Trust announced plans to liquidate ProShares Managed Futures Strategy (ticker symbol: FUTS). ProShares Managed Futures Strategy was closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on March 18, 2016. Beginning March 21, 2016, no secondary market for ProShares Managed Futures Strategy’s Shares remained. Proceeds of the liquidation were distributed to shareholders on March 30, 2016. Any shareholders remaining in the Fund on March 30, 2016 automatically had their shares redeemed for cash at ProShares Managed Futures Strategy’s net asset value per Share as of March 21, 2016. On March 31, 2016, the NYSE Arca filed a Form 25 removing the listing of ProShares Managed Futures Strategy on the NYSE Arca. On April 11, 2016 a Form 15 was filed with the SEC terminating the registration of ProShares Managed Futures Strategy.

On July 25, 2016, the Trust announced plans to liquidate ProShares Ultra Bloomberg Commodity (ticker symbol: UCD) and ProShares UltraShort Bloomberg Commodity (ticker symbol: CMD). ProShares Ultra Bloomberg Commodity and UltraShort Bloomberg Commodity were closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on August 25, 2016. Beginning August 26, 2016, no secondary market for ProShares Ultra Bloomberg Commodity’s and ProShares UltraShort Bloomberg Commodity’s Shares remained. Proceeds of the liquidation were distributed to shareholders on September 1, 2016. Any shareholders remaining in each liquidating Fund on September 1, 2016 automatically had their shares redeemed for cash at each liquidating Fund’s net asset value per Share as of August 26, 2016. On September 2, 2016, the NYSE Arca filed a Form 25 removing the listing of ProShares Ultra Bloomberg Commodity and UltraShort Bloomberg Commodity on the NYSE Arca. On September 27, 2016, a Form 15 was filed with the SEC terminating the registration of ProShares Ultra Bloomberg Commodity and ProShares UltraShort Bloomberg Commodity.

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.

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.

96

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.

The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time.

Each of the Funds generally invests in Financial Instruments (i.e., instruments whose value is derived from the value of an underlying asset, rate or index, including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to its applicable underlying commodity futures index, commodity, currency exchange rate or equity volatility index. Financial Instruments also are used to produce economically “inverse,” “inverse leveraged” or “leveraged” investment results for the Geared Funds.

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the year ended December 31, 2015 and the nine months ended September 30, 2016. The ticker symbols for these Funds did not change, and each Fund continues to trade on the NYSE Arca.

Fund	Execution Date (Prior to Opening of Trading)	Type of Split	Date Trading Resumed at Post- Split Price
ProShares Ultra VIX Short-Term Futures ETF	May 20, 2015	1-for-5 reverse Share split	May 20, 2015
ProShares Ultra Bloomberg Crude Oil	May 20, 2015	1-for-5 reverse Share split	May 20, 2015
ProShares Ultra Bloomberg Natural Gas	May 20, 2015	1-for-4 reverse Share split	May 20, 2015
ProShares Ultra Yen	May 20, 2015	1-for-4 reverse Share split	May 20, 2015
ProShares UltraShort Silver	November 13, 2015	2-for-1 Share split	November 13, 2015
ProShares UltraShort Bloomberg Natural Gas	July 25, 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

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.

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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, 2015, as filed with the SEC on February 29, 2016.

Use of Estimates & Indemnifications

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts and disclosures in these financial statements. Actual results could differ from those estimates.

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

Basis of Presentation

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

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated September 30, 2016, and represents non-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2016 were as follows. All times are Eastern Standard Time:

	Create/ Redeem Cut-off*		NAV Calculation Time		NAV Calculation Date
UltraShort Silver, Ultra Silver		6:30 a.m.		7:00 a.m.		September 30
UltraShort Gold, Ultra Gold		9:30 a.m.		10:00 a.m.		September 30
UltraShort Bloomberg Crude Oil, Ultra Bloomberg Crude Oil		2:00 p.m.		2:30 p.m.		September 30
UltraShort Bloomberg Natural Gas, Ultra Bloomberg Natural Gas		2:00 p.m.		2:30 p.m.		September 30
UltraShort Australian Dollar		3:00 p.m.		4:00 p.m.		September 30
Short Euro,
UltraShort Euro,		3:00 p.m.		4:00 p.m.		September 30
Ultra Euro

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UltraShort Yen, Ultra Yen	3:00 p.m.	4:00 p.m.	September 30
VIX Short-Term Futures ETF, Ultra VIX Short-Term Futures ETF, Short VIX Short-Term Futures ETF	2:00 p.m.	4:15 p.m.	September 30
VIX Mid-Term Futures ETF	2:00 p.m.	4:15 p.m.	September 30

* Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the nine months ended September 30, 2016.

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 three and nine months ended September 30, 2016.

Investment Valuation

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

Derivatives (e.g., futures contracts, swap agreements, forward agreements and foreign currency forward contracts) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at the last settled price. Futures contracts valuations are typically categorized as Level I in the fair value hierarchy. Swap agreements, forward agreements and foreign currency forward contracts valuations are typically categorized as Level II in the fair value hierarchy. If there was no sale on that day, and for non-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would generally be determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with industry standards. When market closing prices are not available, the Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards. Depending on the source and relevant significance of valuation inputs, these instruments may be classified as Level II or Level III in the fair value hierarchy.

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

99

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.

The following table summarizes the valuation of investments at September 30, 2016 using the fair value hierarchy:

	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts		Swap Agreements			Total
VIX Short-Term Futures ETF	$	216,340,487	$	(9,553,983	)	$	—		$	—	$	—		$	206,786,504
VIX Mid-Term Futures ETF		54,269,416		(2,262,150	)		—			—		—			52,007,266
Short VIX Short-Term Futures ETF		446,877,389		27,409,842			—			—		—			474,287,231
Ultra VIX Short-Term Futures ETF		653,723,238		(39,269,083	)		—			—		—			614,454,155
UltraShort Bloomberg Crude Oil		143,261,078		(4,381,977	)		—			—		(16,564,825	)		122,314,276
UltraShort Bloomberg Natural Gas		4,698,443		332,402			—			—		—			5,030,845
UltraShort Gold		66,850,191		1,800			1,580,555			—		—			68,432,546
UltraShort Silver		38,779,514		(1,480	)		518,533			—		—			39,296,567
Short Euro		12,692,318		(27,006	)		—			—		—			12,665,312
UltraShort Australian Dollar		14,999,045		(915,970	)		—			—		—			14,083,075
UltraShort Euro		353,492,314		—			—			1,724,977		—			355,217,291
UltraShort Yen		261,940,610		—			—			111,316		—			262,051,926
Ultra Bloomberg Crude Oil		880,695,307		29,388,291			—			—		70,822,188			980,905,786
Ultra Bloomberg Natural Gas		25,847,011		(1,439,814	)		—			—		—			24,407,197
Ultra Gold		101,973,583		(1,800	)		(2,458,129	)		—		—			99,513,654
Ultra Silver		382,334,562		1,480			(12,745,195	)		—		—			369,590,847

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	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements		Total
Ultra Euro		9,537,166		—			—			(49,584	)		—		9,487,582
Ultra Yen		7,098,505		—			—			(6,979	)		—		7,091,526
Total Trust	$	3,675,410,177	$	(719,448	)	$	(13,104,236	)	$	1,779,730		$	54,257,363	$	3,717,623,586

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

At September 30, 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 September 30, 2016, there were no significant transfers in or out of Level I and Level II fair value measurements.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

The following table summarizes the valuation of investments at December 31, 2015 using the fair value hierarchy:

	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
VIX Short-Term Futures ETF	$	96,073,659	$	(1,078,625	)	$	—		$	—		$	—		$	94,995,034
VIX Mid-Term Futures ETF		25,976,287		(344,360	)		—			—			—			25,631,927
Short VIX Short-Term Futures ETF		535,392,718		10,746,415			—			—			—			546,139,133
Ultra VIX Short-Term Futures ETF		438,357,849		11,894,466			—			—			—			450,252,315
UltraShort Bloomberg Crude Oil		79,692,642		2,464,513			—			—			6,412,656			88,569,811
UltraShort Bloomberg Natural Gas		8,115,004		(2,471,164	)		—			—			—			5,643,840
UltraShort Gold		72,979,905		5,220			1,808,942			—			—			74,794,067
UltraShort Silver		50,730,230		5,970			4,778,279			—			—			55,514,479
Short Euro		15,153,211		243,438			—			—			—			15,396,649
UltraShort Australian Dollar		18,408,894		(420,270	)		—			—			—			17,988,624
UltraShort Euro		546,166,776		—			—			(28,710,336	)		—			517,456,440
UltraShort Yen		259,997,001		—			—			(13,895,452	)		—			246,101,549
Ultra Bloomberg Crude Oil		797,650,543		(17,929,314	)		—			—			(72,176,589	)		707,544,640
Ultra Bloomberg Natural Gas		26,807,731		6,312,879			—			—			—			33,120,610
Ultra Gold		71,912,587		(5,200	)		(2,250,595	)		—			—			69,656,792
Ultra Silver		238,899,626		(9,030	)		(22,561,101	)		—			—			216,329,495

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	Level I - Quoted Prices				Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*		Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
Ultra Euro		11,605,262		—		—			604,920			—			12,210,182
Ultra Yen		5,069,491		—		—			261,311			—			5,330,802
Total Trust	$	3,298,989,416	$	9,414,938	$	(18,224,475	)	$	(41,739,933	)	$	(65,763,933	)	$	3,182,676,389

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

At December 31, 2015, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

The Funds’ policy is to recognize transfers between valuation levels at the end of the reporting period.

At December 31, 2015, there were no significant transfers in or out of Level I and Level II fair value measurements.

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities

Investment Transactions and Related Income

Investment transactions are recorded on the trade date. All such transactions are recorded on the identified cost basis and marked to market daily. Unrealized appreciation/depreciation on open contracts are reflected in the Statements of Financial Condition and changes in the unrealized appreciation/depreciation between periods are reflected in the Statements of Operations. Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Brokerage Commissions and Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income or similar securities would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). Through July 30, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

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.

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Management of the Funds has reviewed all open tax years and major jurisdictions (i.e., the last four tax year ends and the interim tax period since then, as applicable) and concluded that there is no tax liability resulting from unrecognized tax benefits relating to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds are also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. On an ongoing basis, management will monitor its tax positions taken under the interpretation to determine if adjustments to conclusions are necessary based on factors including, but not limited to, on-going analysis of tax law, regulation, and interpretations thereof.

NOTE 3 – INVESTMENTS

Short-Term Investments

The Funds may purchase U.S. Treasury Bills, agency securities, and other high-credit quality short-term fixed income or similar securities with original maturities of one year or less. A portion of these investments may be posted as collateral in connection with swap agreements and/or used as collateral for a Fund’s trading in futures and forward contracts.

Accounting for Derivative Instruments

In seeking to achieve each Fund’s investment objective, the Sponsor uses a mathematical approach to investing. Using this approach, the Sponsor determines the type, quantity and mix of investment positions, including derivative positions, which the Sponsor believes in combination, should produce returns consistent with a Fund’s objective.

All open derivative positions at period end are reflected on each respective Fund’s Schedule of Investments. Certain Funds utilized a varying level of derivative instruments in conjunction with investment securities in seeking to meet their investment objective during the period. While the volume of open positions may vary on a daily basis as each Fund transacts derivatives contracts in order to achieve the appropriate exposure to meet its investment objective, the volume of these open positions relative to the net assets of each respective Fund at the date of this report is generally representative of open positions throughout the reporting period.

Following is a description of the derivative instruments used by the Funds during the reporting period, including the primary underlying risk exposures related to each instrument type.

Futures Contracts

The Funds enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept) the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.

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

103

particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

Swap Agreements

Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying index, currency or commodity, or to create an economic hedge against a position. Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap transactions on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. In a standard swap transaction, two parties agree to exchange the returns earned or realized on a particular predetermined investment, instrument or index in exchange for a fixed or floating rate of return in respect of a predetermined notional amount. Transaction or commission costs are reflected in the benchmark level at which the transaction is entered into. The gross returns to be exchanged are calculated with respect to a notional amount and the benchmark returns to which the swap is linked. Swap agreements do not involve the delivery of underlying instruments.

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

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

104

Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2016 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.

The Funds, as applicable, collateralize swap agreements by segregating or designating cash and/or certain securities as indicated on the Statements of Financial Condition or Schedules of Investments. As noted above, collateral posted in connection with uncleared derivative transactions is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with uncleared swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2016, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

The counterparty/credit risk for cleared derivative transactions is generally lower than for uncleared OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing organization for performance of financial obligations. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries.

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.

105

The Funds may collateralize uncleared forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2016, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

Participants in trading foreign exchange forward contracts often do not require margin deposits, but rely upon internal credit limitations and their judgments regarding the creditworthiness of their counterparties. In recent years, however, many OTC market participants in foreign exchange trading have begun to require their counterparties to post margin.

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

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.

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.

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Fair Value of Derivative Instruments

as of September 30, 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 Short VIX Short-Term Futures ETF	$	27,409,842	*	Payable on open futures contracts	ProShares VIX Short-Term Futures ETF	$	9,553,983	*
							ProShares VIX Mid-Term Futures ETF		2,262,150	*
							ProShares Ultra VIX Short-Term Futures ETF		39,269,083	*
Commodities Contracts	Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements	ProShares Ultra Bloomberg Crude Oil		100,210,479	*	Payable on open futures contract, unrealized depreciation on swaps and/or forward agreements	ProShares Ultra Bloomberg Natural Gas		1,439,814	*
		ProShares Ultra Silver		1,480	*		ProShares Ultra Gold		2,459,929	*
		ProShares UltraShort Bloomberg Natural Gas		332,402	*		ProShares Ultra Silver		12,745,195
		ProShares UltraShort Gold		1,582,355	*		ProShares UltraShort Bloomberg Crude Oil		20,946,802	*
		ProShares UltraShort Silver		518,533			ProShares UltraShort Silver		1,480	*
Foreign Exchange Contracts	Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts	ProShares Ultra Yen		364		Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts	ProShares Short Euro		27,006	*
		ProShares UltraShort Euro		1,724,977			ProShares Ultra Euro		49,584
		ProShares UltraShort Yen		380,225			ProShares Ultra Yen		7,343
							ProShares UltraShort Australian Dollar		915,970	*
							ProShares UltraShort Yen		268,909
		Total Trust	$	132,160,657	*		Total Trust	$	89,947,248	*

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

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Fair Value of Derivative Instruments

as of December 31, 2015

	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 an open futures contracts	ProShares VIX Mid-Term Futures ETF	$	10,005	*	Payable on open futures contracts	ProShares VIX Short-Term Futures ETF	$	1,078,625	*
		ProShares Short VIX Short-Term Futures ETF		10,805,245	*		ProShares VIX Mid-Term Futures ETF		354,365	*
		ProShares Ultra VIX Short-Term Futures ETF		11,894,466	*		ProShares Short VIX Short-Term Futures ETF		58,830	*
Commodities Contracts	Receivables an open futures contracts, unrealized appreciation on swaps and/or forward agreements	ProShares UltraShort Bloomberg Crude Oil		8,877,169	*	Payable on open futures contracts unrealized depreciation on swaps and/or forward agreements	ProShares UltraShort Bloomberg Natural Gas		2,471,164	*
		ProShares Ultra Bloomberg Natural Gas		6,312,879	*		ProShares Ultra Bloomberg Crude Oil		90,105,903	*
		ProShares UltraShort Gold		1,814,162	*		ProShares Ultra Gold		2,255,795	*
		ProShares UltraShort Silver		4,784,249	*		ProShares Ultra Silver		22,570,131	*
Foreign Exchange Contracts	Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts	ProShares Short Euro		243,438	*	Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts	ProShares UltraShort Australian Dollar		420,270	*
		ProShares UltraShort Yen		933,727			ProShares UltraShort Euro		28,710,336
		ProShares Ultra Euro		604,920			ProShares UltraShort Yen		14,829,179
		ProShares Ultra Yen		267,014			ProShares Ultra Yen		5,703
		Total Trust	$	46,547,274	*		Total Trust	$	162,860,301	*

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

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 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	$	(101,785,229	)	$	6,786,934
		ProShares VIX Mid-Term Futures ETF		(4,899,530	)		(1,149,750	)
		ProShares Short VIX Short-Term Futures ETF		277,246,086			(51,813,012	)
		ProShares Ultra VIX Short-Term Futures ETF		(745,101,700	)		138,973,918
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Crude Oil		50,281,494			(32,976,232	)
		ProShares UltraShort Bloomberg Natural Gas		(101,997	)		712,984
		ProShares UltraShort Gold		(10,296,533	)		9,770,795
		ProShares UltraShort Silver		(14,865,870	)		9,507,258
		ProShares Ultra Bloomberg Crude Oil		(246,218,628	)		165,582,895
		ProShares Ultra Bloomberg Natural Gas		1,964,411			(8,409,834	)
		ProShares Ultra Gold		12,629,891			(13,416,914	)
		ProShares Ultra Silver		119,372,366			(88,240,470	)
Foreign Exchange Contracts	Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts	ProShares Short Euro		327,212			(488,475	)
		ProShares UltraShort Australian Dollar		(318,842	)		(971,687	)
		ProShares UltraShort Euro		(5,537,097	)		(2,518,631	)
		ProShares UltraShort Yen		(33,476,385	)		23,071,090
		ProShares Ultra Euro		46,252			118,030
		ProShares Ultra Yen		955,047			(764,447	)
		Total Trust	$	(699,779,052	)	$	153,774,452

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2015

Derivatives not accounted for as hedging instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts, changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF	$	63,980,150		$	(12,755,774	)
		ProShares VIX Mid-Term Futures ETF		631,983			3,760,350
		ProShares Short VIX Short-Term Futures ETF		(74,068,147	)		(45,302,831	)
		ProShares Ultra VIX Short-Term Futures ETF		245,646,935			(63,658,535	)
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		86,619,507			(598,141	)
		ProShares UltraShort Bloomberg Natural Gas		1,310,886			2,386,865
		ProShares UltraShort Gold		5,628,910			363,354
		ProShares UltraShort Silver		9,309,358			(3,072,101	)
		ProShares Ultra Bloomberg Crude Oil		(529,899,587	)		(58,698,985	)
		ProShares Ultra Bloomberg Natural Gas		(8,595,657	)		(13,040,143	)
		ProShares Ultra Gold		(8,320,909	)		(872,547	)
		ProShares Ultra Silver		(56,510,845			13,728,736
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		45,301			(77,413	)
		ProShares UltraShort Australian Dollar		3,397,069			146,750
		ProShares UltraShort Euro		(8,177,791	)		827,483
		ProShares UltraShort Yen		(32,435,377	)		13,321,397
		ProShares Ultra Euro		68,814			(8,853	)
		ProShares Ultra Yen		344,294			(148,766	)
		Total Trust	$	(301,025,106	)	$	(163,699,154	)

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The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 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	$	(134,345,928	)	$	(8,475,358	)
		ProShares VIX Mid-Term Futures ETF		(5,248,725	)		(1,917,790	)
		ProShares Short VIX Short-Term Futures ETF		263,024,643			16,663,427
		ProShares Ultra VIX Short-Term Futures ETF		(1,269,233,467	)		(51,163,549	)
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Crude Oil		(36,896,214	)		(29,823,971	)
		ProShares UltraShort Bloomberg Natural Gas		455,516			2,803,566
		ProShares UltraShort Gold		(29,965,169	)		(231,807	)
		ProShares UltraShort Silver		(26,655,192	)		(4,267,196	)
		ProShares Ultra Bloomberg Crude Oil		(132,872,456	)		190,316,382
		ProShares Ultra Bloomberg Natural Gas		6,591,697			(7,752,693	)
		ProShares Ultra Gold		33,703,970			(204,134	)
		ProShares Ultra Silver		174,870,519			9,826,416
Foreign Exchange Contracts	Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts	ProShares Short Euro		(199,588	)		(270,444	)
		ProShares UltraShort Australian Dollar		(2,462,334	)		(495,700	)
		ProShares UltraShort Euro		(60,591,547	)		30,435,313
		ProShares UltraShort Yen		(86,173,771	)		14,006,768
		ProShares Ultra Euro		1,155,961			(654,504	)
		ProShares Ultra Yen		2,273,130			(268,290	)
		Total Trust	$	(1,302,568,955	)	$	158,526,436

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The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2015

Derivatives not accounted for as hedging instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts, changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF	$	3,412,234		$	(5,109,937	)
		ProShares VIX Mid-Term Futures ETF		(2,291,385	)		3,199,340
		ProShares Short VIX Short-Term Futures ETF		35,780,248			(45,530,343	)
		ProShares Ultra VIX Short-Term Futures ETF		(291,236,149	)		(14,741,278	)
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		47,564,151			(45,640,913	)
		ProShares UltraShort Bloomberg Natural Gas		6,412,527			(1,527,541	)
		ProShares UltraShort Gold		7,021,911			2,664,050
		ProShares UltraShort Silver		7,378,507			(1,111,312	)
		ProShares Ultra Bloomberg Crude Oil		(497,278,535	)		73,379,579
		ProShares Ultra Bloomberg Natural Gas		(58,404,100	)		20,999,849
		ProShares Ultra Gold		(12,228,841	)		(3,353,605	)
		ProShares Ultra Silver		(72,520,807	)		12,261,979
Foreign Exchange Contracts	Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts	ProShares Short Euro		1,196,063			(224,456	)
		ProShares UltraShort Australian Dollar		5,930,837			(694,191	)
		ProShares UltraShort Euro		69,763,997			(11,459,427	)
		ProShares UltraShort Yen		(6,900,989	)		688,046
		ProShares Ultra Euro		(559,487	)		(38,964	)
		ProShares Ultra Yen		(174,883	)		26,397
		Total Trust	$	(757,134,701	)	$	(16,212,727	)

Offsetting Assets and Liabilities

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

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2016:

112

Fair Values of Derivative Instruments as of September 30, 2016
	Assets						Liabilities
	Gross						Gross
	Amounts of						Amounts of
	Recognized		Gross		Net Amounts of		Recognized			Gross		Net Amounts of
	Assets		Amounts		Assets		Liabilities			Amounts		Liabilities
	presented in		Offset in the		presented in		presented in			Offset in the		presented in
	the Statements		Statements		the Statements		the Statements			Statements		the Statements
	of Financial		of Financial		of Financial		of Financial			of Financial		of Financial
	Condition		Condition		Condition		Condition			Condition		Condition
ProShares UltraShort Bloomberg Crude Oil
Swap agreements	$	—	$	—	$	—	$	(16,564,825	)	$	—	$	(16,564,825	)
ProShares UltraShort Gold
Forward agreements		1,580,555		—		1,580,555		—			—		—
ProShares UltraShort Silver
Forward agreements		518,533		—		518,533		—			—		—
ProShares UltraShort Euro
Foreign currency forward contracts		1,724,977		—		1,724,977		—			—		—
ProShares UltraShort Yen
Foreign currency forward contracts		380,225		—		380,225		(268,909	)		—		(268,909	)
ProShares Ultra Bloomberg Crude Oil
Swap agreements		70,822,188		—		70,822,188		—			—		—
ProShares Ultra Gold
Forward agreements		—		—		—		(2,458,129	)		—		(2,458,129	)
ProShares Ultra Silver
Forward agreements		—		—		—		(12,745,195	)		—		(12,745,195	)
ProShares Ultra Euro
Foreign currency forward contracts		—		—		—		(49,584	)		—		(49,584	)
ProShares Ultra Yen
Foreign currency forward contracts		364		—		364		(7,343	)		—		(7,343	)

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2016. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

113

Gross Amounts Not Offset in the Statement of Financial Condition as of September 30, 2016
	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares UltraShort Bloomberg Crude Oil
Citibank N.A.	$	(7,594,390	)	$	7,594,390		$	—		$	—
Goldman Sachs International		(4,078,619	)		4,078,619			—			—
Societe Generale S.A.		(478,359	)		478,359			—			—
UBS AG		(4,413,457	)		3,806,457			607,000			—
ProShares UltraShort Gold
Citibank N.A.		231,859			—			—			231,859
Deutsche Bank AG		861,403			—			(861,403	)		—
Goldman Sachs International		197,021			(197,021	)		—			—
Societe Generale S.A.		59,817			(59,817	)		—			—
UBS AG		230,455			—			(230,455	)		—
ProShares UltraShort Silver
Citibank N.A.		140,853			—			—			140,853
Deutsche Bank AG		33,794			—			(33,794	)		—
Goldman Sachs International		171,031			(171,031	)		—			—
Societe Generale S.A.		39,806			(39,806	)		—			—
UBS AG		133,049			—			(133,049	)		—
ProShares UltraShort Euro
Goldman Sachs International		970,837			(970,837	)		—			—
UBS AG		754,140			—			(754,140	)		—
ProShares UltraShort Yen
Goldman Sachs International		(132,731	)		—			132,731			—
UBS AG		244,047			—			—			244,047
ProShares Ultra Bloomberg Crude Oil
Citibank N.A.		25,439,697			—			—			25,439,697
Goldman Sachs International		19,367,023			(16,297,649	)		—			3,069,374
Societe Generale S.A.		5,772,124			(5,772,124	)		—			—
UBS AG		20,243,344			—			(11,710,000	)		8,533,344
ProShares Ultra Gold
Citibank N.A.		(712,389	)		712,389			—			—
Deutsche Bank AG		(499,050	)		105,050			394,000			—
Goldman Sachs International		(600,158	)		600,158			—			—
Societe Generale S.A.		(244,025	)		244,025			—			—
UBS AG		(402,507	)		402,507			—			—
ProShares Ultra Silver
Citibank N.A.		(3,516,545	)		3,267,545			249,000			—
Deutsche Bank AG		(2,669,570	)		357,570			2,312,000			—
Goldman Sachs International		(3,421,695	)		3,421,695			—			—
Societe Generale S.A.		(934,524	)		934,524			—			—
UBS AG		(2,202,861	)		2,202,861			—			—
ProShares Ultra Euro
Goldman Sachs International		(25,417	)		25,417			—			—
UBS AG		(24,167	)		24,167			—			—
ProShares Ultra Yen
Goldman Sachs International		(3,201	)		3,201			—			—
UBS AG		(3,778	)		3,778			—			—

114

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of December 31, 2015:

Fair Values of Derivative Instruments as of December 31, 2015
	Assets						Liabilities
	Gross						Gross
	Amounts of						Amounts of
	Recognized		Gross		Net Amounts of		Recognized		Gross		Net Amounts of
	Assets		Amounts		Assets		Liabilities		Amounts		Liabilities
	presented in		Offset in the		presented in		presented in		Offset in the		presented in
	the Statements		Statements		the Statements		the Statements		Statements		the Statements
	of Financial		of Financial		of Financial		of Financial		of Financial		of Financial
	Condition		Condition		Condition		Condition		Condition		Condition
ProShares UltraShort Bloomberg Crude Oil
Swap agreements	$	6,412,656	$	—	$	6,412,656	$	—	$	—	$	—
ProShares UltraShort Gold
Forward agreements		1,808,942		—		1,808,942		—		—		—
ProShares UltraShort Silver
Forward agreements		4,778,279		—		4,778,279		—		—		—
ProShares UltraShort Euro
Foreign currency forward contracts		—		—		—		28,710,336		—		28,710,336
ProShares UltraShort Yen
Foreign currency forward contracts		933,727		—		933,727		14,829,179		—		14,829,179
ProShares Ultra Bloomberg Crude Oil
Swap agreements		—		—		—		72,176,589		—		72,176,589
ProShares Ultra Gold
Forward agreements		—		—		—		2,250,595		—		2,250,595
ProShares Ultra Silver
Forward agreements		—		—		—		22,561,101		—		22,561,101
ProShares Ultra Euro
Foreign currency forward contracts		604,920		—		604,920		—		—		—
ProShares Ultra Yen
Foreign currency forward contracts		267,014		—		267,014		5,703		—		5,703

115

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2015. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

Gross Amounts Not Offset in the Statement of Financial Condition as of December 31, 2015
	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares UltraShort Bloomberg Crude Oil
Citibank N.A.	$	1,098,278		$	—		$	—		$	1,098,278
Deutsche Bank AG		1,722,894			—			(1,722,894	)		—
Goldman Sachs International		1,595,552			(1,595,552	)		—			—
Societe Generale S.A.		521,142			(521,142	)		—			—
UBS AG		1,474,790			(1,474,790	)		—			—
ProShares UltraShort Gold
Citibank N.A.		3,915			—			—			3,915
Deutsche Bank AG		1,046,664			—			(1,046,664	)		—
Goldman Sachs International		158,827			—			—			158,827
Societe Generale S.A.		212,680			(212,680	)		—			—
UBS AG		386,856			(386,856	)		—			—
ProShares UltraShort Silver
Deutsche Bank AG		2,500,263			—			(2,500,000	)		263
Goldman Sachs International		1,044,986			(858,460	)		—			186,526
Societe Generale S.A.		438,975			(438,975	)		—			—
UBS AG		794,055			(582,692	)		—			211,363
ProShares UltraShort Euro
Goldman Sachs International		(14,992,024	)		14,992,024			—			—
UBS AG		(13,718,312	)		13,718,312			—			—
ProShares UltraShort Yen
Goldman Sachs International		(6,470,405	)		6,470,405			—			—
UBS AG		(7,425,047	)		7,425,047			—			—
ProShares Ultra Bloomberg Crude Oil
Citibank N.A.		(2,509,989	)		2,509,989			—			—
Deutsche Bank AG		(20,221,872	)		20,221,872			—			—
Goldman Sachs International		(20,806,119	)		20,806,119			—			—
Societe Generale S.A.		(6,357,459	)		6,357,459			—			—
UBS AG		(22,281,150	)		22,281,150			—			—
ProShares Ultra Gold
Citibank N.A.		(4,614	)		—			—			(4,614	)
Deutsche Bank AG		(1,049,383	)		1,049,383			—			—
Goldman Sachs International		(520,730	)		520,730			—			—
Societe Generale S.A.		(244,992	)		244,992			—			—
UBS AG		(430,876	)		430,876			—			—
ProShares Ultra Silver
Deutsche Bank AG		(9,355,945	)		9,355,945			—			—
Goldman Sachs International		(5,106,853	)		5,106,853			—			—
Societe Generale S.A.		(2,704,459	)		2,704,459			—			—
UBS AG		(5,393,844	)		5,393,844			—			—
ProShares Ultra Euro
Goldman Sachs International		315,354			(315,354	)		—			—
UBS AG		289,566			(289,566	)		—			—
ProShares Ultra Yen
Goldman Sachs International		169,787			—			—			169,787
UBS AG		91,524			—			—			91,524

116

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. The Sponsor did not and will not charge the Management Fee in the first year of operation of each Fund in an amount equal to the offering costs. The Sponsor reimbursed each Fund, to the extent that its offering costs exceed the Management Fee, for the first year of operations.

The Management Fee is paid in consideration of the Sponsor’s services as commodity pool operator, and for managing the business and affairs of the Funds. From the Management Fee, the Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund, generally as determined by the Sponsor, including but not limited to the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent, accounting and auditing fees and expenses, any index licensors for the Funds, and the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations, including, but not limited to, expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses.

Non-Recurring Fees and Expenses

Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses which are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds. Such fees and expenses are those that are non-recurring, unexpected or unusual in nature.

The Administrator

The Sponsor and the Trust, for itself and on behalf of each Fund, has appointed Brown Brothers Harriman & Co. (“BBH&Co.”) as the Administrator of the Funds, and the Sponsor, and the Trust, on its own behalf and on behalf of each Fund, and BBH&Co. have entered into an Administrative Agency Agreement (the “Administration Agreement”) in connection therewith. Pursuant to the terms of the Administration Agreement and under the supervision and direction of the Sponsor and the Trust, BBH&Co. prepares and files certain regulatory filings on behalf of the Funds. BBH&Co. may also perform other services for the Funds pursuant to the Administration Agreement as mutually agreed upon by the Sponsor, the Trust and BBH&Co. from time to time. Pursuant to the terms of the Administration Agreement, BBH&Co. also serves as the Transfer Agent of the Funds. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.

The Custodian

BBH&Co. serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BBH&Co. have entered into a Custodian Agreement in connection therewith. Pursuant to the terms of the Custodian Agreement, BBH&Co. is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BBH&Co. by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.

117

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.

Transaction fees for the three and nine months ended September 30, 2016, which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

Fund	Three Months Ended September 30, 2016		Nine Months Ended September 30, 2016
VIX Short-Term Futures ETF	$	57,030	$	196,858
VIX Mid-Term Futures ETF		8,302		17,446
Short VIX Short-Term Futures ETF		199,890		586,778

118

Fund	Three Months Ended September 30, 2016		Nine Months Ended September 30, 2016
Ultra VIX Short-Term Futures ETF		374,603		1,437,839
UltraShort Bloomberg Crude Oil		56,096		319,298
UltraShort Bloomberg Natural Gas		2,604		8,261
UltraShort Gold		4,599		21,119
UltraShort Silver		—		16,729
Short Euro		—		—
UltraShort Australian Dollar		—		—
UltraShort Euro		—		—
UltraShort Yen		—		—
Ultra Bloomberg Crude Oil		113,762		360,648
Ultra Bloomberg Natural Gas		2,505		5,490
Ultra Gold		1,007		3,456
Ultra Silver		13,544		30,557
Ultra Euro		—		—
Ultra Yen		—		—
Total Trust	$	833,942	$	3,004,479

119

NOTE 7 – FINANCIAL HIGHLIGHTS

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

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

Per Share Operating Performance	VIX Short-Term Futures ETF			VIX Mid-Term Futures ETF			Short VIX Short-Term Futures ETF			Ultra VIX Short-Term Futures ETF			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas
Net asset value, at June 30, 2016	$	45.1437		$	51.9753		$	49.8342		$	45.6300		$	81.9354		$	34.0892
Net investment income (loss)		(0.0602	)		(0.0850	)		(0.1870	)		(0.0819	)		(0.1752	)		(0.1290	)
Net realized and unrealized gain (loss)#		(16.5506	)		(6.1433	)		22.9857			(28.6460	)		(1.7677	)		2.3554
Change in net asset value from operations		(16.6108	)		(6.2283	)		22.7987			(28.7279	)		(1.9429	)		2.2264
Net asset value, at September 30, 2016	$	28.5329		$	45.7470		$	72.6329		$	16.9021		$	79.9925		$	36.3156
Market value per share, at June 30, 2016†	$	45.80		$	52.53		$	49.06		$	47.15		$	81.62		$	34.06
Market value per share, at September 30, 2016†	$	28.33		$	45.69		$	73.21		$	16.65		$	80.90		$	36.14
Total Return, at net asset value^		(36.8	)%		(12.0	)%		45.7	%		(63.0	)%		(2.4	)%		6.5	%
Total Return, at market value^		(38.1	)%		(13.0	)%		49.2	%		(64.7	)%		(0.9	)%		6.1	%
Ratios to Average Net Assets**
Expense ratio		0.99	%		0.94	%		1.42	%		1.59	%		1.01	%		1.58	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.73	)%		(0.70	)%		(1.17	)%		(1.36	)%		(0.75	)%		(1.40	)%

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

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

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

** Percentages are annualized.

120

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

Per Share Operating Performance	UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen
Net asset value, at June 30, 2016	$	70.3120		$	33.1624		$	42.8141		$	53.4669		$	24.3183		$	63.5335
Net investment income (loss)		(0.1193	)		(0.0498	)		(0.0805	)		(0.0968	)		(0.0417	)		(0.1072	)
Net realized and unrealized gain (loss)#		(0.5789	)		(5.1733	)		(0.5171	)		(3.6857	)		(0.5000	)		(2.7498	)
Change in net asset value from operations		(0.6982	)		(5.2231	)		(0.5976	)		(3.7825	)		(0.5417	)		(2.8570	)
Net asset value, at September 30, 2016	$	69.6138		$	27.9393		$	42.2165		$	49.6844		$	23.7766		$	60.6765
Market value per share, at June 30, 2016†	$	70.00		$	31.65		$	42.81		$	53.47		$	24.32		$	63.53
Market value per share, at September 30, 2016†	$	70.19		$	28.41		$	42.22		$	49.67		$	23.76		$	60.64
Total Return, at net asset value^		(1.0	)%		(15.8	)%		(1.4	)%		(7.1	)%		(2.2	)%		(4.5	)%
Total Return, at market value^		0.3	%		(10.2	)%		(1.4	)%		(7.1	)%		(2.3	)%		(4.5	)%
Ratios to Average Net Assets**
Expense ratio		0.95	%		0.95	%		0.96	%		1.02	%		0.95	%		0.95	%
Expense ratio, excluding brokerage commissions		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.69	)%		(0.70	)%		(0.75	)%		(0.75	)%		(0.69	)%		(0.69	)%

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

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

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

** Percentages are annualized.

121

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

Per Share Operating Performance	Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen
Net asset value, at June 30, 2016	$	12.1628		$	17.7531		$	44.7955		$	45.5290		$	15.8882		$	72.6744
Net investment income (loss)		(0.0187	)		(0.0398	)		(0.0764	)		(0.0870	)		(0.0278	)		(0.1289	)
Net realized and unrealized gain (loss)#		(1.6348	)		(3.2298	)		(0.2972	)		3.5608			0.2708			1.9141
Change in net asset value from operations		(1.6535	)		(3.2696	)		(0.3736	)		3.4738			0.2430			1.7852
Net asset value, at September 30, 2016	$	10.5093		$	14.4835		$	44.4219		$	49.0028		$	16.1312		$	74.4596
Market value per share, at June 30, 2016†	$	12.22		$	17.65		$	45.03		$	47.67		$	15.86		$	72.71
Market value per share, at September 30, 2016†	$	10.38		$	14.58		$	44.01		$	48.11		$	16.12		$	74.48
Total Return, at net asset value^		(13.6	)%		(18.4	)%		(0.8	)%		7.6	%		1.5	%		2.5	%
Total Return, at market value^		(15.1	)%		(17.4	)%		(2.3	)%		0.9	%		1.6	%		2.4	%
Ratios to Average Net Assets**
Expense ratio		1.00	%		1.23	%		0.95	%		0.95	%		0.95	%		0.95	%
Expense ratio, excluding brokerage commissions		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.75	)%		(1.03	)%		(0.67	)%		(0.68	)%		(0.69	)%		(0.70	)%

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

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

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

** Percentages are annualized.

122

Selected data for a Share outstanding throughout the three months ended September 30, 2015:

For the Three Months Ended September 30, 2015 (unaudited)

Per Share Operating Performance	VIX Short-Term Futures ETF*			VIX Mid-Term Futures ETF			Short VIX Short-Term Futures ETF			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas*
Net asset value, at June 30, 2015	$	67.5927		$	54.9398		$	78.8529		$	222.5841		$	56.8124		$	24.9323
Net investment income (loss)		(0.1610	)		(0.1221	)		(0.2058	)		(0.8291	)		(0.2323	)		(0.0898	)
Net realized and unrealized gain (loss)#		18.9104			9.0130			(31.4722	)		64.3506			30.9380			7.5355
Change in net asset value from operations		18.7494			8.8909			(31.6780	)		63.5215			30.7057			7.4457
Net asset value, at September 30, 2015	$	86.3421		$	63.8307		$	47.1749		$	286.1056		$	87.5181		$	32.3780
Market value per share, at June 30, 2015†	$	67.10		$	54.31		$	79.06		$	219.80		$	57.12		$	25.07
Market value per share, at September 30, 2015†	$	85.40		$	63.44		$	47.64		$	279.80		$	86.17		$	32.28
Total Return, at net asset value^		27.7	%		16.2	%		(40.2	)%		28.5	%		54.0	%		29.9	%
Total Return, at market value^		27.3	%		16.8	%		(39.7	)%		27.3	%		50.9	%		28.8	%
Ratios to Average Net Assets**
Expense ratio		1.00	%		0.87	%		1.43	%		1.73	%		1.10	%		1.39	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.97	)%		(0.86	)%		(1.39	)%		(1.70	)%		(1.07	)%		(1.36	)%

* See Note 1 of these Notes for Financial Statements.

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

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

^ Percentages are not annualized for the period ended September 30, 2015.

** Percentages are annualized.

123

For the Three Months Ended September 30, 2015 (unaudited)

Per Share Operating Performance	UltraShort Gold			UltraShort Silver*			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen
Net asset value, at June 30, 2015	$	99.0011		$	54.7157		$	43.0220		$	54.5527		$	24.7394		$	92.1775
Net investment income (loss)		(0.2445	)		(0.1375	)		(0.1036	)		(0.1555	)		(0.0575	)		(0.2127	)
Net realized and unrealized gain (loss)#		8.2315			5.4504			(0.1537	)		10.1266			(0.3042	)		(4.1411	)
Change in net asset value from operations		7.9870			5.3129			(0.2573	)		9.9711			(0.3617	)		(4.3538	)
Net asset value, at September 30, 2015	$	106.9881		$	60.0286		$	42.7647		$	64.5238		$	24.3777		$	87.8237
Market value per share, at June 30, 2015†	$	98.82		$	54.27		$	43.05		$	55.09		$	24.75		$	92.19
Market value per share, at September 30, 2015†	$	106.63		$	61.08		$	42.78		$	64.53		$	24.36		$	87.82
Total Return, at net asset value^		8.1	%		9.7	%		(0.6	)%		18.3	%		(1.5	)%		(4.7	)%
Total Return, at market value^		7.9	%		12.5	%		(0.6	)%		17.1	%		(1.6	)%		(4.7	)%
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)		(0.91	)%		(0.92	)%		(0.95	)%		(1.01	)%		(0.92	)%		(0.92	)%

* See Note 1 of these Notes to Financial Statements.

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

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

^ Percentages are not annualized for the period ended September 30, 2015.

** Percentages are annualized.

124

For the Three Months Ended September 30, 2015 (unaudited)

Per Share Operating Performance	Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen
Net asset value, at June 30, 2015	$	45.4988		$	45.4247		$	37.0199		$	36.4482		$	16.5907		$	53.5029
Net investment income (loss)		(0.0649	)		(0.1265	)		(0.0791	)		(0.0739	)		(0.0386	)		(0.1175	)
Net realized and unrealized gain (loss)#		(23.0862	)		(13.2778	)		(3.7877	)		(5.3251	)		(0.0071	)		1.9729
Change in net asset value from operations		(23.1511	)		(13.4043	)		(3.8668	)		(5.3990	)		(0.0457	)		1.8554
Net asset value, at September 30, 2015	$	22.3477		$	32.0204		$	33.1531		$	31.0492		$	16.5450		$	55.3583
Market value per share, at June 30, 2015†	$	45.20		$	45.20		$	37.04		$	36.63		$	16.59		$	53.61
Market value per share, at September 30, 2015†	$	22.68		$	32.19		$	33.23		$	30.53		$	16.53		$	55.38
Total Return, at net asset value^		(50.9	)%		(29.5	)%		(10.4	)%		(14.8	)%		(0.3	)%		3.5	%
Total Return, at market value^		(49.8	)%		(28.8	)%		(10.3	)%		(16.7	)%		(0.4	)%		3.3	%
Ratios to Average Net Assets**
Expense ratio		1.02	%		1.25	%		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)		(0.98	)%		(1.23	)%		(0.92	)%		(0.90	)%		(0.93	)%		(0.87	)%

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

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

^ Percentages are not annualized for the period ended September 30, 2015.

** Percentages are annualized.

125

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

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

Per Share Operating Performance	VIX Short-Term Futures ETF*			VIX Mid-Term Futures ETF			Short VIX Short-Term Futures ETF			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas*
Net asset value, at December 31, 2015	$	66.2109		$	53.9626		$	50.8150		$	140.4205		$	133.2019		$	46.5314
Net investment income (loss)		(0.2581	)		(0.2787	)		(0.4134	)		(0.4698	)		(0.6162	)		(0.5684	)
Net realized and unrealized gain (loss)#		(37.4199	)		(7.9369	)		22.2313			(123.0486	)		(52.5932	)		(9.6474	)
Change in net asset value from operations		(37.6780	)		(8.2156	)		21.8179			(123.5184	)		(53.2094	)		(10.2158	)
Net asset value, at September 30, 2016	$	28.5329		$	45.7470		$	72.6329		$	16.9021		$	79.9925		$	36.3156
Market value per share, at December 31, 2015†	$	66.65		$	53.99		$	50.45		$	141.75		$	133.64		$	46.55
Market value per share, at September 30, 2016†	$	28.33		$	45.69		$	73.21		$	16.65		$	80.90		$	36.14
Total Return, at net asset value^		(56.9	)%		(15.2	)%		42.9	%		(88.0	)%		(39.9	)%		(22.0	)%
Total Return, at market value^		(57.5	)%		(15.4	)%		45.1	%		(88.3	)%		(39.5	)%		(22.4	)%
Ratios to Average Net Assets**
Expense ratio		1.01	%		0.93	%		1.36	%		1.56	%		1.04	%		1.68	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.78	)%		(0.71	)%		(1.13	)%		(1.33	)%		(0.79	)%		(1.46	)%

* See Note 1 of these Notes to Financial Statements.

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

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

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

** Percentages are annualized.

126

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

Per Share Operating Performance	UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen
Net asset value, at December 31, 2015	$	115.8799		$	64.5783		$	43.7767		$	58.4582		$	25.5406		$	87.9389
Net investment income (loss)		(0.4166	)		(0.2072	)		(0.2484	)		(0.3288	)		(0.1263	)		(0.3834	)
Net realized and unrealized gain (loss)#		(45.8495	)		(36.4318	)		(1.3118	)		(8.4450	)		(1.6377	)		(26.8790	)
Change in net asset value from operations		(46.2661	)		(36.6390	)		(1.5602	)		(8.7738	)		(1.7640	)		(27.2624	)
Net asset value, at September 30, 2016	$	69.6138		$	27.9393		$	42.2165		$	49.6844		$	23.7766		$	60.6765
Market value per share, at December 31, 2015†	$	115.83		$	64.55		$	43.74		$	58.15		$	25.53		$	87.89
Market value per share, at September 30, 2016†	$	70.19		$	28.41		$	42.22		$	49.67		$	23.76		$	60.64
Total Return, at net asset value^		(39.9	)%		(56.7	)%		(3.6	)%		(15.0	)%		(6.9	)%		(31.0	)%
Total Return, at market value^		(39.4	)%		(56.0	)%		(3.5	)%		(14.6	)%		(6.9	)%		(31.0	)%
Ratios to Average Net Assets**
Expense ratio		0.95	%		0.95	%		0.97	%		1.03	%		0.95	%		0.95	%
Expense ratio, excluding brokerage commissions		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.71	)%		(0.71	)%		(0.78	)%		(0.80	)%		(0.70	)%		(0.74	)%

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

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

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

** Percentages are annualized.

127

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

Per Share Operating Performance	Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen
Net asset value, at December 31, 2015	$	12.5774		$	18.5698		$	29.7295		$	27.0638		$	15.5107		$	54.7527
Net investment income (loss)		(0.0583	)		(0.1184	)		(0.2134	)		(0.2125	)		(0.0835	)		(0.3556	)
Net realized and unrealized gain (loss)#		(2.0098	)		(3.9679	)		14.9058			22.1515			0.7040			20.0625
Change in net asset value from operations		(2.0681	)		(4.0863	)		14.6924			21.9390			0.6205			19.7069
Net asset value, at September 30, 2016	$	10.5093		$	14.4835		$	44.4219		$	49.0028		$	16.1312		$	74.4596
Market value per share, at December 31, 2015†	$	12.54		$	18.48		$	29.73		$	27.08		$	15.51		$	54.70
Market value per share, at September 30, 2016†	$	10.38		$	14.58		$	44.01		$	48.11		$	16.12		$	74.48
Total Return, at net asset value^		(16.4	)%		(22.0	)%		49.4	%		81.1	%		4.0	%		36.0	%
Total Return, at market value^		(17.2	)%		(21.1	)%		48.0	%		77.7	%		3.9	%		36.2	%
Ratios to Average Net Assets**
Expense ratio		1.02	%		1.36	%		0.95	%		0.95	%		0.95	%		0.95	%
Expense ratio, excluding brokerage commissions		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.78	)%		(1.17	)%		(0.69	)%		(0.71	)%		(0.71	)%		(0.71	)%

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

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

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

** Percentages are annualized.

128

Selected data for a Share outstanding throughout the nine months ended September 30, 2015:

For the Nine Months Ended September 30, 2015 (unaudited)

Per Share Operating Performance	VIX Short-Term Futures ETF*			VIX Mid-Term Futures ETF			Short VIX Short-Term Futures ETF			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas*
Net asset value, at December 31, 2014	$	104.6604		$	63.6020		$	61.4004		$	627.2957		$	77.9790		$	27.9859
Net investment income (loss)		(0.5148	)		(0.3887	)		(0.6553	)		(3.3152	)		(0.5599	)		(0.2862	)
Net realized and unrealized gain (loss)#		(17.8035	)		0.6174			(13.5702	)		(337.8749	)		10.0990			4.6783
Change in net asset value from operations		(18.3183	)		0.2287			(14.2255	)		(341.1901	)		9.5391			4.3921
Net asset value, at September 30, 2015	$	86.3421		$	63.8307		$	47.1749		$	286.1056		$	87.5181		$	32.3780
Market value per share, at December 31, 2014†	$	104.95		$	63.89		$	61.16		$	628.75		$	76.52		$	27.34
Market value per share, at September 30, 2015†	$	85.40		$	63.44		$	47.64		$	279.80		$	86.17		$	32.28
Total Return, at net asset value^		(17.5	)%		0.4	%		(23.2	)%		(54.4	)%		12.2	%		15.7	%
Total Return, at market value^		(18.6	)%		(0.7	)%		(22.1	)%		(55.5	)%		12.6	%		18.1	%
Ratios to Average Net Assets**
Expense ratio		0.97	%		0.92	%		1.43	%		1.65	%		1.06	%		1.47	%
Expense ratio, excluding brokerage commissions		0.85	%		0.85	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.94	)%		(0.89	)%		(1.40	)%		(1.63	)%		(1.03	)%		(1.44	)%

* See Note 1 of these Notes to the Financial Statements.

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

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

^ Percentages are not annualized for the period ended September 30, 2015.

** Percentages are annualized.

129

For the Nine Months Ended September 30, 2015 (unaudited)

Per Share Operating Performance	UltraShort Gold			UltraShort Silver*			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen
Net asset value, at December 31, 2014	$	96.6516		$	57.8071		$	40.0617		$	51.3790		$	21.5946		$	89.3336
Net investment income (loss)		(0.6723	)		(0.3677	)		(0.3052	)		(0.4262	)		(0.1699	)		(0.6161	)
Net realized and unrealized gain (loss)#		11.0088			2.5892			3.0082			13.5710			2.9530			(0.8938	)
Change in net asset value from operations		10.3365			2.2215			2.7030			13.1448			2.7831			(1.5099	)
Net asset value, at September 30, 2015	$	106.9881		$	60.0286		$	42.7647		$	64.5238		$	24.3777		$	87.8237
Market value per share, at December 31, 2014†	$	100.22		$	59.70		$	40.03		$	51.37		$	21.61		$	89.30
Market value per share, at September 30, 2015†	$	106.63		$	61.08		$	42.78		$	64.53		$	24.36		$	87.82
Total Return, at net asset value^		10.7	%		3.8	%		6.7	%		25.6	%		12.9	%		(1.7	)%
Total Return, at market value^		6.4	%		2.3	%		6.9	%		25.6	%		12.7	%		(1.7	)%
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)		(0.91	)%		(0.92	)%		(0.94	)%		(1.01	)%		(0.91	)%		(0.91	)%

* See Note 1 of these Notes to Financial Statements.

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

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

^ Percentages are not annualized for the period ended September 30, 2015.

** Percentages are annualized.

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For the Nine Months Ended September 30, 2015 (unaudited)

Per Share Operating Performance	Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen*
Net asset value, at December 31, 2014	$	50.7400		$	61.6491		$	40.0011		$	39.3657		$	19.8744		$	56.4747
Net investment income (loss)		(0.2606	)		(0.4322	)		(0.2573	)		(0.2571	)		(0.1138	)		(0.3686	)
Net realized and unrealized gain (loss)#		(28.1317	)		(29.1965	)		(6.5907	)		(8.0594	)		(3.2156	)		(0.7478	)
Change in net asset value from operations		(28.3923	)		(29.6287	)		(6.8480	)		(8.3165	)		(3.3294	)		(1.1164	)
Net asset value, at September 30, 2015	$	22.3477		$	32.0204		$	33.1531		$	31.0492		$	16.5450		$	55.3583
Market value per share, at December 31, 2014†	$	51.85		$	63.12		$	38.41		$	38.05		$	19.80		$	56.48
Market value per share, at September 30, 2015†	$	22.68		$	32.19		$	33.23		$	30.53		$	16.53		$	55.38
Total Return, at net asset value^		(56.0	)%		(48.1	)%		(17.1	)%		(21.1	)%		(16.8	)%		(2.0	)%
Total Return, at market value^		(56.3	)%		(49.0	)%		(13.5	)%		(19.8	)%		(16.5	)%		(1.9	)%
Ratios to Average Net Assets**
Expense ratio		1.02	%		1.26	%		0.95	%		0.95	%		0.95	%		0.95	%
Expense ratio, excluding brokerage commissions		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%		0.95	%
Net investment income (loss)		(0.99	)%		(1.23	)%		(0.91	)%		(0.90	)%		(0.92	)%		(0.90	)%

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

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

^ Percentages are not annualized for the period ended September 30, 2015.

** 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 2015 may specify a January 2016 expiration. As that contract nears expiration, it may be replaced by selling the January 2016 contract and purchasing the contract expiring in March 2016. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2016 contract would take place at a price that is higher than the price at which the March 2016 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the applicable VIX Futures Index. Losses from exchanging a 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.

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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.

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

This information should be read in conjunction with the financial statements and notes to the financial statements included with this Quarterly Report on Form 10-Q. The discussion and analysis that follows may contain statements that relate to future events or future performance. In some cases, such forward-looking statements can be identified by terminology such as “will,” “may,” “should,” “expect,” “plan,” “anticipate,” “believe,” “estimate,” “predict,” “potential” or the negative of these terms or other comparable terminology. None of the Trust, the Sponsor or the Trustee (as each term is defined below) assumes responsibility for the accuracy or completeness of any forward-looking statements. Except as expressly required by federal securities laws, none of the Trust, the Sponsor or the Trustee is under a duty to update any of the forward-looking statements to conform such statements to actual results or to a change in expectations or predictions.

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2016, the following eighteen 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 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 Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q.

On February 18, 2016, the Trust announced plans to liquidate ProShares Managed Futures Strategy (ticker symbol: FUTS). ProShares Managed Futures Strategy was closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on March 18, 2016. Beginning March 21, 2016, no secondary market for ProShares Managed Futures Strategy’s Shares remained. Proceeds of the liquidation were distributed to shareholders on March 30, 2016. Any shareholders remaining in the Fund on March 30, 2016 automatically had their shares redeemed for cash at ProShares Managed Futures Strategy’s net asset value per Share as of March 21, 2016. On March 31, 2016, the NYSE Arca filed a Form 25 removing the listing of ProShares Managed Futures Strategy on the NYSE Arca. On April 11, 2016 a Form 15 was filed with the SEC terminating the registration of ProShares Managed Futures Strategy.

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On July 25, 2016, the Trust announced plans to liquidate ProShares Ultra Bloomberg Commodity (ticker symbol: UCD) and ProShares UltraShort Bloomberg Commodity (ticker symbol: CMD). ProShares Ultra Bloomberg Commodity and UltraShort Bloomberg Commodity were closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on August 25, 2016. Beginning August 26, 2016, no secondary market for ProShares Ultra Bloomberg Commodity’s and ProShares UltraShort Bloomberg Commodity’s Shares remained. Proceeds of the liquidation were distributed to shareholders on September 1, 2016. Any shareholders remaining in each liquidating Fund on September 1, 2016 automatically had their shares redeemed for cash at each liquidating Fund’s net asset value per Share as of August 26, 2016. On September 2, 2016, the NYSE Arca filed a Form 25 removing the listing of ProShares Ultra Bloomberg Commodity and UltraShort Bloomberg Commodity on the NYSE Arca.

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 “Short” Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results (before fees and expenses), both over a single day and over time, that match the performance of its corresponding benchmark. Daily performance is measured from the calculation of one NAV to the next.

Each Geared Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share (“NAV”) to the time of the Fund’s next NAV calculation. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ from -1x, -2x or 2x of the return of the index to which such Fund is benchmarked for that period. In periods of higher market volatility, the volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds are riskier than similarly benchmarked exchange-

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traded funds that are not geared. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. The Geared VIX Funds do not seek to achieve their stated objective over a period greater than a single day. Each Matching VIX Fund seeks results (before fees and expenses), both over a single day and over time, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results (before fees and expenses) that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”).

ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil and ProShares Ultra Bloomberg Natural Gas each have a benchmark that is an index designed to track the performance of commodity futures contracts, as applicable. The daily performance of these indexes and the corresponding Funds will likely be very different from the daily performance of the price of the related physical commodities.

Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on the NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the net assets of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements and each Fund’s trading in futures and forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2016 and 2015 each of the Funds earned interest income as follows:

Fund	Interest Income Three Months Ended September 30, 2016		Interest Income Three Months Ended September 30, 2015		Interest Income Nine Months Ended September 30, 2016		Interest Income Nine Months Ended September 30, 2015
ProShares VIX Short-Term Futures ETF	$	144,244	$	9,963	$	324,819	$	31,098
ProShares VIX Mid-Term Futures ETF		29,706		1,084		63,804		5,960
ProShares Short VIX Short-Term Futures ETF		248,974		34,056		848,132		78,709
ProShares Ultra VIX Short-Term Futures ETF		400,731		22,679		1,227,394		87,173
ProShares UltraShort Bloomberg Crude Oil		112,015		9,198		345,514		45,693
ProShares UltraShort Bloomberg Natural Gas		2,395		880		16,513		2,460
ProShares UltraShort Gold		44,515		7,442		118,780		22,233
ProShares UltraShort Silver		22,794		3,685		71,536		13,863

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Fund	Interest Income Three Months Ended September 30, 2016		Interest Income Three Months Ended September 30, 2015		Interest Income Nine Months Ended September 30, 2016		Interest Income Nine Months Ended September 30, 2015
ProShares Short Euro		8,177		989		22,846		3,652
ProShares UltraShort Australian Dollar		12,198		1,058		32,241		2,914
ProShares UltraShort Euro		248,831		41,312		765,698		163,405
ProShares UltraShort Yen		155,603		28,980		328,442		113,947
ProShares Ultra Bloomberg Crude Oil		547,630		75,891		1,497,225		217,460
ProShares Ultra Bloomberg Natural Gas		18,114		3,636		45,257		15,020
ProShares Ultra Gold		72,710		5,853		178,730		27,485
ProShares Ultra Silver		277,478		35,179		587,744		109,726
ProShares Ultra Euro		6,257		514		18,054		2,076
ProShares Ultra Yen		4,659		1,069		11,808		1,819

Each Fund’s underlying swaps, futures, forward contracts and foreign currency forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).

Market Risk

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

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

Credit Risk

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

138

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.

Off-Balance Sheet Arrangements and Contractual Obligations

As of November 2, 2016, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

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

139

Critical Accounting Policies

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

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 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 (“daily NAV”) for the three and nine months ended September 30, 2016.

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.

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. For daily NAV purposes, 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.

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).

140

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 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.

141

Results of Operations for the Three Months Ended September 30, 2016 Compared to the Three Months Ended September 30, 2015

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	190,955,944		$	169,655,175
NAV end of period	$	227,819,218		$	110,946,378
Percentage change in NAV		19.3	%		(34.6	)%
Shares outstanding beginning of period		4,229,962			2,509,962
Shares outstanding end of period		7,984,451			1,284,962
Percentage change in shares outstanding		88.8	%		(48.8	)%
Shares created		4,605,000			375,000
Shares redeemed		850,511			1,600,000
Per share NAV beginning of period	$	45.14		$	67.59
Per share NAV end of period	$	28.53		$	86.34
Percentage change in per share NAV		(36.8	)%		27.7	%
Percentage change in benchmark		(36.8	)%		27.9	%
Benchmark annualized volatility		55.1	%		101.9	%

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 4,229,962 outstanding Shares at June 30, 2016 to 7,984,451 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 2,509,962 outstanding Shares at June 30, 2015 to 1,284,962 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 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 36.8% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 27.7% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $44.95 per Share and reached its low for the period on September 28, 2016 at $27.72 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 1, 2015 at $101.25 per Share and reached its low for the period on August 10, 2015 at $51.75 per Share.

The benchmark’s decline of 36.8% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 27.9% for the three months ended September 30, 2015, can be attributed to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2016.

142

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(407,697	)	$	(318,561	)
Management fee		474,982			279,410
Brokerage commissions		76,959			49,114
Net realized gain (loss)		(101,781,283	)		63,978,915
Change in net unrealized appreciation/depreciation		6,811,763			(12,752,970	)
Net income (loss)	$	(95,377,217	)	$	50,907,384

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2016.

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares VIX Short-Term Futures ETF.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	42,224,892		$	26,777,867
NAV end of period	$	58,894,811		$	31,111,315
Percentage change in NAV		39.5	%		16.2	%
Shares outstanding beginning of period		812,403			487,404
Shares outstanding end of period		1,287,403			487,404
Percentage change in shares outstanding		58.5	%		0.0	%
Shares created		525,000			—
Shares redeemed		50,000			—
Per share NAV beginning of period	$	51.98		$	54.94
Per share NAV end of period	$	45.75		$	63.83
Percentage change in per share NAV		(12.0	)%		16.2	%
Percentage change in benchmark		(11.7	)%		16.5	%
Benchmark annualized volatility		20.2	%		47.2	%

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 812,403 outstanding Shares at June 30, 2016 to 1,287,403 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended September 30, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. There was no net change in the Fund’s outstanding Shares from June 30, 2015 to September 30, 2015.

For the three months ended September 30, 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 12.0% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 16.2% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

143

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $52.33 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 1, 2015 at $69.30 per Share and reached its low for the period on August 10, 2015 at $49.68 per Share.

The benchmark’s decline of 11.7% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 16.5% for the three months ended September 30, 2015, can be attributed to a decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(89,667	)	$	(59,501	)
Management fee		108,438			58,899
Brokerage commissions		10,935			1,686
Net realized gain (loss)		(4,899,386	)		632,005
Change in net unrealized appreciation/depreciation		(1,141,385	)		3,760,944
Net income (loss)	$	(6,130,438	)	$	4,333,448

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended September 30, 2016.

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	687,712,265		$	189,250,124
NAV end of period	$	504,798,665		$	629,787,391
Percentage change in NAV		(26.6	)%		232.8	%
Shares outstanding beginning of period		13,800,000			2,400,040
Shares outstanding end of period		6,950,000			13,350,040
Percentage change in shares outstanding		(49.6	)%		456.2	%
Shares created		9,250,000			14,150,000
Shares redeemed		16,100,000			3,200,000
Per share NAV beginning of period	$	49.83		$	78.85
Per share NAV end of period	$	72.63		$	47.17
Percentage change in per share NAV		45.8	%		(40.2	)%
Percentage change in benchmark		(36.8	)%		27.9	%
Benchmark annualized volatility		55.1	%		101.9	%

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 13,800,000 outstanding Shares at June 30, 2016 to 6,950,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2015, the increase in the Fund’s NAV resulted from an increase from 2,400,040 outstanding Shares at June 30, 2015 to 13,350,040 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

144

For the three months ended September 30, 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 45.8% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 40.2% for the three months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $79.16 per Share and reached its low for the period on July 5, 2016 at $50.03 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 10, 2015 at $96.70 per Share and reached its low for the period on September 1, 2015 at $43.58 per Share.

The benchmark’s decline of 36.8% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 27.9% for the three months ended September 30, 2015, can be attributed to a decline in the prices of the near-term futures contracts on the VIX Futures curve during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(1,171,428	)	$	(1,375,292	)
Management fee		951,001			939,029
Brokerage commissions		469,401			470,319
Net realized gain (loss)		277,233,576			(74,076,312	)
Change in net unrealized appreciation/depreciation		(51,779,349	)		(45,248,790	)
Net income (loss)	$	224,282,799		$	(120,700,394	)

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2016.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	839,613,853		$	431,922,188
NAV end of period	$	738,749,800		$	334,883,798
Percentage change in NAV		(12.0	)%		(22.5	)%
Shares outstanding beginning of period		18,400,490			1,940,490

145

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Shares outstanding end of period		43,707,651			1,170,490
Percentage change in shares outstanding		137.5	%		(39.7	)%
Shares created		47,130,000			4,260,000
Shares redeemed		21,822,839			5,030,000
Per share NAV beginning of period	$	45.63		$	222.58
Per share NAV end of period	$	16.90		$	286.11
Percentage change in per share NAV		(63.0	)%		28.5	%
Percentage change in benchmark		(36.8	)%		27.9	%
Benchmark annualized volatility		55.1	%		101.9	%

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 18,400,490 outstanding Shares at June 30, 2016 to 43,707,651 outstanding Shares at September 30, 2016. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by a decrease from 1,940,490 outstanding Shares at June 30, 2015 to 1,170,490 outstanding Shares at September 30, 2015.

For the three months ended September 30, 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 63.0% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 28.5% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $45.24 per Share and reached its low for the period on September 28, 2016 at $15.98 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 1, 2015 at $428.10 per Share and reached its low for the period on August 10, 2015 at $122.30 per Share.

The benchmark’s decline of 36.8% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 27.9% for the three months ended September 30, 2015, can be attributed to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(2,326,627	)	$	(1,444,542	)
Management fee		1,625,260			807,006
Brokerage commissions		1,102,098			660,215
Net realized gain (loss)		(745,085,668	)		245,662,014
Change in net unrealized appreciation/depreciation		139,001,218			(63,659,145	)
Net income (loss)	$	(608,411,077	)	$	180,558,327

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2016.

146

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share splits for the ProShares Ultra VIX Short-Term Futures ETF.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	165,504,746		$	180,092,283
NAV end of period	$	189,577,580		$	141,774,453
Percentage change in NAV		14.5	%		(21.3	)%
Shares outstanding beginning of period		2,019,942			3,169,944
Shares outstanding end of period		2,369,942			1,619,944
Percentage change in shares outstanding		17.3	%		(48.9	)%
Shares created		1,550,000			1,050,000
Shares redeemed		1,200,000			2,600,000
Per share NAV beginning of period	$	81.94		$	56.81
Per share NAV end of period	$	79.99		$	87.52
Percentage change in per share NAV		(2.4	)%		54.1	%
Percentage change in benchmark		(5.0	)%		(27.4	)%
Benchmark annualized volatility		40.5	%		51.4	%

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,019,942 outstanding Shares at June 30, 2016 to 2,369,942 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV also resulted from by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,169,944 outstanding Shares at June 30, 2015 to 1,619,944 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the three months ended September 30, 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 2.4% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 54.1% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $120.84 per Share and reached its low for the period on July 1, 2016 at $79.79 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 24, 2015 at $134.50 per Share and reached its low for the period on July 1, 2015 at $61.48 per Share.

The benchmark’s decline of 5.0% for the three months ended September 30, 2016, as compared to the decline of 27.4 % for the three months ended September 30, 2015, can be attributed to a lesser decrease in the price of WTI Crude Oil during the three months ended September 30, 2016.

147

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(321,432	)	$	(463,183	)
Management fee		405,879			409,809
Brokerage commissions		27,568			62,572
Net realized gain (loss)		50,285,292			86,619,380
Change in net unrealized appreciation/depreciation		(32,963,803	)		(593,425	)
Net income (loss)	$	17,000,057		$	85,562,772

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a lesser decline in the price of WTI Crude Oil during the three months ended September 30, 2016.

ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	2,550,965		$	13,085,851
NAV end of period	$	6,349,132		$	12,137,105
Percentage change in NAV		148.9	%		(7.3	)%
Shares outstanding beginning of period		74,832			524,856
Shares outstanding end of period		174,832			374,856
Percentage change in shares outstanding		133.6	%		(28.6	)%
Shares created		400,000			300,000
Shares redeemed		300,000			450,000
Per share NAV beginning of period	$	34.09		$	24.93
Per share NAV end of period	$	36.32		$	32.38
Percentage change in per share NAV		6.5	%		29.9	%
Percentage change in benchmark		(8.0	)%		(15.0	)%
Benchmark annualized volatility		36.5	%		28.3	%

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 74,832 outstanding Shares at June 30, 2016 to 174,832 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV also resulted 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 three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 524,856 outstanding Shares at June 30, 2015 to 374,856 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.5% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 29.9% for the three months ended September 30, 2015, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $41.18 per Share and reached its low for the period on September 21, 2016 at $31.43 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 30, 2015 at $32.38 per Share and reached its low for the period on August 12, 2015 at $22.88 per Share.

148

The benchmark’s decline of 8.0% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 15.0% for the three months ended September 30, 2015, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(19,256	)	$	(37,310	)
Management fee		13,043			26,131
Brokerage commissions		8,608			12,059
Net realized gain (loss)		(101,563	)		1,310,640
Change in net unrealized appreciation/depreciation		712,823			2,387,743
Net income (loss)	$	592,004		$	3,661,073

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2016.

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares UltraShort Bloomberg Natural Gas.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	56,037,110		$	73,951,674
NAV end of period	$	76,364,786		$	74,568,380
Percentage change in NAV		36.3	%		0.8	%
Shares outstanding beginning of period		796,978			746,978
Shares outstanding end of period		1,096,978			696,978
Percentage change in shares outstanding		37.6	%		(6.7	)%
Shares created		300,000			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	70.31		$	99.00
Per share NAV end of period	$	69.61		$	106.99
Percentage change in per share NAV		(1.0	)%		8.1	%
Percentage change in benchmark		0.1	%		(4.9	)%
Benchmark annualized volatility		10.8	%		15.5	%

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 796,978 outstanding Shares at June 30, 2016 to 1,096,978 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the three months ended September 30, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of 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 746,978 outstanding Shares at June 30, 2015 to 696,978 outstanding Shares at September 30, 2015.

149

For the three months ended September 30, 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 1.0% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 8.1% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 31, 2016 at $71.19 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 24, 2015 at $115.60 per Share and reached its low for the period on August 24, 2015 at $98.67 per Share.

The benchmark’s rise of 0.1% for the three months ended September 30, 2016, as compared to the decline of 4.9% for the three months ended September 30, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(119,115	)	$	(181,720	)
Management fee		163,622			189,154
Brokerage commissions		8			8
Net realized gain (loss)		(10,296,369	)		5,632,017
Change in net unrealized appreciation/depreciation		9,773,255			367,548
Net income (loss)	$	(642,229	)	$	5,817,845

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2016.

ProShares UltraShort Silver*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	32,067,220		$	61,116,236
NAV end of period	$	39,589,348		$	55,044,902
Percentage change in NAV		23.5	%		(9.9	)%
Shares outstanding beginning of period		966,976			1,116,978
Shares outstanding end of period		1,416,976			916,978
Percentage change in shares outstanding		46.5	%		(17.9	)%

150

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Shares created		600,000			100,000
Shares redeemed		150,000			300,000
Per share NAV beginning of period	$	33.16		$	54.72
Per share NAV end of period	$	27.94		$	60.03
Percentage change in per share NAV		(15.7	)%		9.7	%
Percentage change in benchmark		5.4	%		(6.7	)%
Benchmark annualized volatility		30.1	%		24.2	%

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 966,976 outstanding Shares at June 30, 2016 to 1,416,976 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 1,116,978 outstanding Shares at June 30, 2015 to 916,978 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended September 30, 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 15.7% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 9.7% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 25, 2016 at $31.18 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 27, 2015 at $63.99 per Share and reached its low for the period on August 20, 2015 at $54.60 per Share.

The benchmark’s rise of 5.4% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 6.7% for the three months ended September 30, 2015, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(64,078	)	$	(129,265	)
Management fee		86,864			132,942
Brokerage commissions		8			8
Net realized gain (loss)		(14,865,805	)		9,309,270
Change in net unrealized appreciation/depreciation		9,509,304			(3,066,914	)
Net income (loss)	$	(5,420,579	)	$	6,113,091

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to an increase in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2016.

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares UltraShort Silver.

151

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	17,125,648		$	19,360,122
NAV end of period	$	14,775,779		$	34,211,934
Percentage change in NAV		(13.7	)%		76.7	%
Shares outstanding beginning of period		400,000			450,005
Shares outstanding end of period		350,000			800,005
Percentage change in shares outstanding		(12.5	)%		77.8	%
Shares created		—			450,000
Shares redeemed		50,000			100,000
Per share NAV beginning of period	$	42.81		$	43.02
Per share NAV end of period	$	42.22		$	42.76
Percentage change in per share NAV		(1.4	)%		(0.6	)%
Percentage change in benchmark		1.2	%		0.2	%
Benchmark annualized volatility		5.9	%		11.2	%

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,000 outstanding Shares at June 30, 2016 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 450,005 outstanding Shares at June 30, 2015 to 800,005 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 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 1.4% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 0.6% for the three months ended September 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $43.21 per Share and reached its low for the period on August 18, 2016 at $41.73 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 20, 2015 at $44.22 per Share and reached its low for the period on August 24, 2015 at $41.24 per Share.

The benchmark’s rise of 1.2% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 0.2% for the three months ended September 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2016.

152

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(29,155	)	$	(47,612	)
Management fee		36,752			47,369
Brokerage commissions		580			1,232
Net realized gain (loss)		327,210			45,349
Change in net unrealized appreciation/depreciation		(487,210	)		(77,397	)
Net income (loss)	$	(189,155	)	$	(79,660	)

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2016.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	18,713,405		$	19,093,705
NAV end of period	$	17,389,549		$	22,583,663
Percentage change in NAV		(7.1	)%		18.3	%
Shares outstanding beginning of period		350,000			350,005
Shares outstanding end of period		350,000			350,005
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	53.47		$	54.55
Per share NAV end of period	$	49.68		$	64.52
Percentage change in per share NAV		(7.1	)%		18.3	%
Percentage change in benchmark		2.7	%		(9.0	)%
Benchmark annualized volatility		9.7	%		11.4	%

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016. By comparison, during the three months ended September 30, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2015 to September 30, 2015.

For the three months ended September 30, 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 7.1% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 18.3% for the three months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 5, 2016 at $53.31 per Share and reached its low for the period on September 28, 2016 at $49.42 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 4, 2015 at $66.75 per Share and reached its low for the period on July 1, 2015 at $55.50 per Share.

153

The benchmark’s rise of 2.7% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 9.0% for the three months ended September 30, 2015, can be attributed to a rise in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(33,889	)	$	(54,415	)
Management fee		42,820			51,046
Brokerage commissions		3,267			4,427
Net realized gain (loss)		(318,841	)		3,397,069
Change in net unrealized appreciation/depreciation		(971,126	)		147,304
Net income (loss)	$	(1,323,856	)	$	3,489,958

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a rise in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2016.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	386,660,905		$	629,617,014
NAV end of period	$	370,915,586		$	547,279,138
Percentage change in NAV		(4.1	)%		(13.1	)%
Shares outstanding beginning of period		15,900,000			25,450,014
Shares outstanding end of period		15,600,000			22,450,014
Percentage change in shares outstanding		(1.9	)%		(11.8	)%
Shares created		200,000			—
Shares redeemed		500,000			3,000,000
Per share NAV beginning of period	$	24.32		$	24.74
Per share NAV end of period	$	23.78		$	24.38
Percentage change in per share NAV		(2.2	)%		(1.5	)%
Percentage change in benchmark		1.2	%		0.2	%
Benchmark annualized volatility		5.9	%		11.2	%

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 15,900,000 outstanding Shares at June 30, 2016 to 15,600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 25,450,014 outstanding Shares at June 30, 2015 to 22,450,014 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

154

For the three months ended September 30, 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 2.2% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 1.5% for the three months ended September 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 22, 2016 at $24.88 per Share and reached its low for the period on August 18, 2016 at $23.21 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 20, 2015 at $26.15 per Share and reached its low for the period on August 24, 2015 at $22.71 per Share.

The benchmark’s rise of 1.2% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 0.2% for the three months ended September 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(657,657	)	$	(1,351,762	)
Management fee		906,488			1,393,074
Net realized gain (loss)		(5,535,442	)		(8,170,779	)
Change in net unrealized appreciation/depreciation		(2,516,227	)		862,749
Net income (loss)	$	(8,709,326	)	$	(8,659,792	)

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2016.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	193,732,080		$	405,516,052
NAV end of period	$	263,899,544		$	302,929,598
Percentage change in NAV		36.2	%		(25.3	)%
Shares outstanding beginning of period		3,049,290			4,399,294
Shares outstanding end of period		4,349,290			3,449,294
Percentage change in shares outstanding		42.6	%		(21.6	)%
Shares created		1,300,000			300,000
Shares redeemed		—			1,250,000
Per share NAV beginning of period	$	63.53		$	92.18
Per share NAV end of period	$	60.68		$	87.82
Percentage change in per share NAV		(4.5	)%		(4.7	)%
Percentage change in benchmark		1.8	%		2.0	%
Benchmark annualized volatility		13.4	%		9.8	%

155

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 3,049,290 outstanding Shares at June 30, 2016 to 4,349,290 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,399,294 outstanding Shares at June 30, 2015 to 3,449,294 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.5% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 4.7% for the three months ended September 30, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 20, 2016 at $67.95 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 11, 2015 at $96.04 per Share and reached its low for the period on August 24, 2015 at $85.92 per Share.

The benchmark’s rise of 1.8% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 2.0% for the three months ended September 30, 2015, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(408,214	)	$	(865,306	)
Management fee		563,817			894,286
Net realized gain (loss)		(33,476,429	)		(32,435,270	)
Change in net unrealized appreciation/depreciation		23,085,942			13,328,255
Net income (loss)	$	(10,798,701	)	$	(19,972,321	)

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2016.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	898,563,742		$	995,416,921
NAV end of period	$	979,757,506		$	787,261,737
Percentage change in NAV		9.0	%		(20.9	)%
Shares outstanding beginning of period		73,877,866			21,877,867
Shares outstanding end of period		93,227,866			35,227,867

156

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Percentage change in shares outstanding		26.2	%		61.0	%
Shares created		35,600,000			17,850,000
Shares redeemed		16,250,000			4,500,000
Per share NAV beginning of period	$	12.16		$	45.50
Per share NAV end of period	$	10.51		$	22.35
Percentage change in per share NAV		(13.6	)%		(50.9	)%
Percentage change in benchmark		(5.0	)%		(27.4	)%
Benchmark annualized volatility		40.5	%		51.4	%

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 73,877,866 outstanding Shares at June 30, 2016 to 93,227,866 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 21,877,867 outstanding Shares at June 30, 2015 to 35,227,867 outstanding Shares at September 30, 2015.

For the three months ended September 30, 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 13.6% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 50.9% for the three months ended September 30, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $12.48 per Share and reached its low for the period on August 2, 2016 at $7.78 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 1, 2015 at $41.76 per Share and reached its low for the period on August 24, 2015 at $17.38 per Share.

The benchmark’s decline of 5.0% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 27.4% for the three months ended September 30, 2015, can be attributed to a lesser decrease in the price of WTI Crude Oil during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(1,683,430	)	$	(2,085,145	)
Management fee		2,118,318			2,012,640
Brokerage commissions		112,742			148,396
Net realized gain (loss)		(246,216,521	)		(529,903,521	)
Change in net unrealized appreciation/depreciation		165,591,081			(58,634,810	)
Net income (loss)	$	(82,308,870	)	$	(590,623,476	)

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a lesser decrease in the price of WTI Crude Oil during the three months ended September 30, 2016.

157

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	43,355,961		$	63,238,942
NAV end of period	$	31,750,207		$	52,582,988
Percentage change in NAV		(26.8	)%		(16.9	)%
Shares outstanding beginning of period		2,442,169			1,392,170
Shares outstanding end of period		2,192,169			1,642,170
Percentage change in shares outstanding		(10.2	)%		18.0	%
Shares created		700,000			700,000
Shares redeemed		950,000			450,000
Per share NAV beginning of period	$	17.75		$	45.42
Per share NAV end of period	$	14.48		$	32.02
Percentage change in per share NAV		(18.4	)%		(29.5	)%
Percentage change in benchmark		(8.0	)%		(15.0	)%
Benchmark annualized volatility		36.5	%		28.3	%

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,442,169 outstanding Shares at June 30, 2016 to 2,192,169 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 1,392,170 outstanding Shares at June 30, 2015 to 1,642,170 outstanding Shares at September 30, 2015.

For the three months ended September 30, 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 18.4% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 29.5 % for the three months ended September 30, 2015, was due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 1, 2016 at $18.52 per Share and reached its low for the period on August 19, 2016 at $13.41 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 12, 2015 at $47.49 per Share and reached its low for the period on September 30, 2015 at $32.02 per Share.

The benchmark’s decline of 8.0% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 15.0% for the three months ended September 30, 2015, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2016.

158

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(93,432	)	$	(190,466	)
Management fee		85,894			147,696
Brokerage commissions		25,652			46,406
Net realized gain (loss)		1,964,675			(8,595,838	)
Change in net unrealized appreciation/depreciation		(8,407,770	)		(13,037,493	)
Net income (loss)	$	(6,536,527	)	$	(21,823,797	)

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a lesser decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2016.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	100,789,893		$	88,848,218
NAV end of period	$	99,949,269		$	81,225,498
Percentage change in NAV		(0.8	)%		(8.6	)%
Shares outstanding beginning of period		2,250,000			2,400,014
Shares outstanding end of period		2,250,000			2,450,014
Percentage change in shares outstanding		0.0	%		2.1	%
Shares created		50,000			50,000
Shares redeemed		50,000			—
Per share NAV beginning of period	$	44.80		$	37.02
Per share NAV end of period	$	44.42		$	33.15
Percentage change in per share NAV		(0.8	)%		(10.5	)%
Percentage change in benchmark		0.1	%		(4.9	)%
Benchmark annualized volatility		10.8	%		15.5	%

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of 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 2,400,014 outstanding Shares at June 30, 2015 to 2,450,014 outstanding Shares at September 30, 2015.

For the three months ended September 30, 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 0.8% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 10.5% for the three months ended September 30, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on September 16, 2016 at $43.55 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 1, 2015 at $36.83 per Share and reached its low for the period on July 24, 2015 at $31.44 per Share.

159

The benchmark’s rise of 0.1% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 4.9% for the three months ended September 30, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(172,490	)	$	(190,084	)
Management fee		245,192			195,929
Brokerage commissions		8			8
Net realized gain (loss)		12,630,084			(8,324,354	)
Change in net unrealized appreciation/depreciation		(13,422,965	)		(865,903	)
Net income (loss)	$	(965,371	)	$	(9,380,341	)

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2016.

† On March 19, 2015, the company that ran the London U.S. dollar gold fixing ceased calculating the price of gold for the LBMA. The LBMA selected ICE Benchmark Administration to calculate the price, which was renamed the LBMA Gold Price, and is based on an electronic, physically settled auction-based methodology, beginning on March 20, 2015.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	386,838,399		$	285,991,688
NAV end of period	$	372,251,128		$	245,181,213
Percentage change in NAV		(3.8	)%		(14.3	)%
Shares outstanding beginning of period		8,496,526			7,846,533
Shares outstanding end of period		7,596,526			7,896,533
Percentage change in shares outstanding		(10.6	)%		0.6	%
Shares created		150,000			500,000
Shares redeemed		1,050,000			450,000
Per share NAV beginning of period	$	45.53		$	36.45
Per share NAV end of period	$	49.00		$	31.05
Percentage change in per share NAV		7.6	%		(14.8	)%
Percentage change in benchmark		5.4	%		(6.7	)%
Benchmark annualized volatility		30.1	%		24.2	%

160

During the three months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,496,526 outstanding Shares at June 30, 2016 to 7,596,526 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 7,846,533 outstanding Shares at June 30, 2015 to 7,896,533 outstanding Shares at September 30, 2015.

For the three months ended September 30, 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 7.6% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 14.8% for the three months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on August 25, 2016 at $45.25 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 1, 2015 at $36.12 per Share and reached its low for the period on August 27, 2015 at $29.64 per Share.

The benchmark’s rise of 5.4% for the three months ended September 30, 2016, as compared to the benchmark’s decline of 6.7% for the three months ended September 30, 2015, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(701,202	)	$	(596,454	)
Management fee		978,671			631,618
Brokerage commissions		9			15
Net realized gain (loss)		119,372,702			(56,519,826	)
Change in net unrealized appreciation/depreciation		(88,236,402	)		13,753,857
Net income (loss)	$	30,435,098		$	(43,362,423	)

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to an increase in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2016.

161

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	9,532,904		$	13,272,820
NAV end of period	$	9,678,714		$	10,754,497
Percentage change in NAV		1.5	%		(19.0	)%
Shares outstanding beginning of period		600,000			800,014
Shares outstanding end of period		600,000			650,014
Percentage change in shares outstanding		0.0	%		(18.7	)%
Shares created		—			—
Shares redeemed		—			150,000
Per share NAV beginning of period	$	15.89		$	16.59
Per share NAV end of period	$	16.13		$	16.55
Percentage change in per share NAV		1.5	%		(0.2	)%
Percentage change in benchmark		1.2	%		0.2	%
Benchmark annualized volatility		5.9	%		11.2	%

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016. By comparison, during the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 800,014 outstanding Shares at June 30, 2015 to 650,014 outstanding Shares at September 30, 2015. The decrease of the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 1.5% for the three months ended September 30, 2016, as compared to Fund’s per Share NAV decrease of 0.2% for the three months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $16.58 per Share and reached its low for the period on July 22, 2016 at $15.50 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 24, 2015 at $17.88 per Share and reached its low for the period on July 20, 2015 at $15.65 per Share.

The benchmark’s rise of 1.2% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 0.2% for the three months ended September 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(16,659	)	$	(26,696	)
Management fee		22,916			27,210
Net realized gain (loss)		46,258			68,787
Change in net unrealized appreciation/depreciation		116,211			(9,339	)
Net income (loss)	$	145,810		$	32,752

The Fund’s net income increased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2016.

162

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
NAV beginning of period	$	7,265,264		$	5,348,899
NAV end of period	$	7,443,729		$	5,534,391
Percentage change in NAV		2.5	%		3.5	%
Shares outstanding beginning of period		99,970			99,974
Shares outstanding end of period		99,970			99,974
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	72.67		$	53.50
Per share NAV end of period	$	74.46		$	55.36
Percentage change in per share NAV		2.5	%		3.5	%
Percentage change in benchmark		1.8	%		2.0	%
Benchmark annualized volatility		13.4	%		9.8	%

During the three months ended September 30, 2016, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2016 to September 30, 2016. By comparison, during the three months ended September 30, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2015 to September 30, 2015.

For the three months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.5% for the three months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 3.5% for the three months ended September 30, 2015, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2016.

During the three months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on July 20, 2016 at $67.53 per Share. By comparison, during the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 24, 2015 at $56.82 per Share and reached its low for the period on August 11, 2015 at $51.11 per Share.

The benchmark’s rise of 1.8% for the three months ended September 30, 2016, as compared to the benchmark’s rise of 2.0% for the three months ended September 30, 2015, can be attributed to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2016.

163

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2016 and 2015:

	Three Months Ended September 30, 2016			Three Months Ended September 30, 2015
Net investment income (loss)	$	(12,886	)	$	(11,745	)
Management fee		17,545			12,814
Net realized gain (loss)		955,119			344,294
Change in net unrealized appreciation/depreciation		(763,768	)		(147,057	)
Net income (loss)	$	178,465		$	185,492

The Fund’s net income decreased for the three months ended September 30, 2016, as compared to the three months ended September 30, 2015, primarily due to a lesser rise in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2016.

164

Results of Operations for the Nine Months Ended September 30, 2016 Compared to the Nine Months Ended September 30, 2015

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	105,272,823		$	111,459,325
NAV end of period	$	227,819,218		$	110,946,378
Percentage change in NAV		116.4	%		(0.5	)%
Shares outstanding beginning of period		1,589,962			1,064,962
Shares outstanding end of period		7,984,451			1,284,962
Percentage change in shares outstanding		402.2	%		20.7	%
Shares created		9,990,000			2,110,000
Shares redeemed		3,595,511			1,890,000
Per share NAV beginning of period	$	66.21		$	104.66
Per share NAV end of period	$	28.53		$	86.34
Percentage change in per share NAV		(56.9	)%		(17.5	)%
Percentage change in benchmark		(56.7	)%		(17.1	)%
Benchmark annualized volatility		78.7	%		76.6	%

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 1,589,962 outstanding Shares at December 31, 2015 to 7,984,451 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,064,962 outstanding Shares at December 31, 2014 to 1,284,962 outstanding Shares at September 30, 2015.

For the nine months ended September 30, 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 56.9% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 17.5% for the nine months ended September 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $97.97 per Share and reached its low for the period on September 28, 2016 at $27.72 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $120.75 per Share and reached its low for the period on August 10, 2015 at $51.75 per Share.

The benchmark’s decline of 56.7% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 17.1% for the nine months ended September 30, 2015, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2016.

165

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(1,116,018	)	$	(924,620	)
Management fee		1,210,844			839,732
Brokerage commission		229,993			115,986
Net realized gain (loss)		(134,339,691	)		3,414,162
Change in net unrealized appreciation/depreciation		(8,439,809	)		(5,106,633	)
Net income (loss)	$	(143,895,518	)	$	(2,617,091	)

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2016.

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares VIX Short-Term Futures ETF.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	27,650,638		$	21,459,575
NAV end of period	$	58,894,811		$	31,111,315
Percentage change in NAV		113.0	%		45.0	%
Shares outstanding beginning of period		512,404			337,404
Shares outstanding end of period		1,287,403			487,404
Percentage change in shares outstanding		151.2	%		44.5	%
Shares created		950,000			300,000
Shares redeemed		175,001			150,000
Per share NAV beginning of period	$	53.96		$	63.60
Per share NAV end of period	$	45.75		$	63.83
Percentage change in per share NAV		(15.2	)%		0.4	%
Percentage change in benchmark		(14.5	)%		1.2	%
Benchmark annualized volatility		36.6	%		36.0	%

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 1,287,403 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 337,404 outstanding Shares at December 31, 2014 to 487,404 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the nine months ended September 30, 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 the decrease of 15.2% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 0.4% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

166

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $66.85 per Share and reached its low for the period on September 28, 2016 at $45.62 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 1, 2015 at $69.30 per Share and reached its low for the period on August 10, 2015 at $49.68 per Share.

The benchmark’s decline of 14.5% for the nine months ended September 30, 2016, as compared to the benchmark’s rise of 1.2% for the nine months ended September 30, 2015, can be attributed to a decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(210,903	)	$	(180,854	)
Management fee		251,163			173,165
Brokerage commission		23,544			13,649
Net realized gain (loss)		(5,248,593	)		(2,290,055	)
Change in net unrealized appreciation/depreciation		(1,908,048	)		3,198,975
Net income (loss)	$	(7,367,544	)	$	728,066

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the nine months ended September 30, 2016.

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	642,811,361		$	506,556,124
NAV end of period	$	504,798,665		$	629,787,391
Percentage change in NAV		(21.5	)%		24.3	%
Shares outstanding beginning of period		12,650,040			8,250,040
Shares outstanding end of period		6,950,000			13,350,040
Percentage change in shares outstanding		(45.1	)%		61.8	%
Shares created		44,050,000			18,700,000
Shares redeemed		49,750,040			13,600,000
Per share NAV beginning of period	$	50.81		$	61.40
Per share NAV end of period	$	72.63		$	47.17
Percentage change in per share NAV		42.9	%		(23.2	)%
Percentage change in benchmark		(56.7	)%		(17.1	)%
Benchmark annualized volatility		78.7	%		76.6	%

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 12,650,040 outstanding Shares at December 31, 2015 to 6,950,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 8,250,040 outstanding Shares at December 31, 2014 to 13,350,040 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

167

For the nine months ended September 30, 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 42.9% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 23.2% for the nine months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on September 7, 2016 at $79.16 per Share and reached its low for the period on February 11, 2016 at $31.50 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on June 23, 2015 at $97.71 per Share and reached its low for the period on September 1, 2015 at $43.58 per Share.

The benchmark’s decline of 56.7% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 17.1% for the nine months ended September 30, 2015, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX Futures curve during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(4,236,471	)	$	(3,707,872	)
Management fee		3,561,744			2,522,692
Brokerage commission		1,522,859			1,263,889
Net realized gain (loss)		262,990,607			35,802,720
Change in net unrealized appreciation/depreciation		16,725,819			(45,477,591	)
Net income (loss)	$	275,479,955		$	(13,382,743	)

The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2016.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	547,708,740		$	351,789,953
NAV end of period	$	738,749,800		$	334,883,798
Percentage change in NAV		34.9	%		(4.8	)%
Shares outstanding beginning of period		3,900,490			560,804
Shares outstanding end of period		43,707,651			1,170,490
Percentage change in shares outstanding		1,020.6	%		108.7	%
Shares created		77,140,000			8,956,000
Shares redeemed		37,332,839			8,346,314

168

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Per share NAV beginning of period	$	140.42		$	627.30
Per share NAV end of period	$	16.90		$	286.11
Percentage change in per share NAV		(88.0	)%		(54.4	)%
Percentage change in benchmark		(56.7	)%		(17.1	)%
Benchmark annualized volatility		78.7	%		76.6	%

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 3,900,490 outstanding Shares at December 31, 2015 to 43,707,651 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 560,804 outstanding Shares at December 31, 2014 to 1,170,490 outstanding Shares at September 30, 2015.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 88.0% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 54.4% for the nine months ended September 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $285.77 per Share and reached its low for the period on September 28, 2016 at $15.98 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $821.39 per Share and reached its low for the period on August 10, 2015 at $122.30 per Share.

The benchmark’s decline of 56.7% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 17.1% for the nine months ended September 30, 2015, can be attributed to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended June 31, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(7,007,927	)	$	(5,497,266	)
Management fee		5,006,558			3,205,706
Brokerage commission		3,228,763			2,378,733
Net realized gain (loss)		(1,269,208,841	)		(291,204,571	)
Change in net unrealized appreciation/depreciation		(51,154,812	)		(14,730,937	)
Net income (loss)	$	(1,327,371,580	)	$	(311,432,774	)

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a greater decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2016.

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share splits for the ProShares Ultra VIX Short-Term Futures ETF.

169

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	95,897,894		$	169,210,110
NAV end of period	$	189,577,580		$	141,774,453
Percentage change in NAV		97.7	%		(16.2	)%
Shares outstanding beginning of period		719,944			2,169,944
Shares outstanding end of period		2,369,942			1,619,944
Percentage change in shares outstanding		229.2	%		(25.3	)%
Shares created		6,550,000			10,200,000
Shares redeemed		4,900,002			10,750,000
Per share NAV beginning of period	$	133.20		$	77.98
Per share NAV end of period	$	79.99		$	87.52
Percentage change in per share NAV		(39.9	)%		12.2	%
Percentage change in benchmark		(0.3	)%		(27.3	)%
Benchmark annualized volatility		47.3	%		47.8	%

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 719,944 outstanding Shares at December 31, 2015 to 2,369,942 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 2,169,944 outstanding Shares at December 31, 2014 to 1,619,944 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the nine months ended September 30, 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 39.9% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 12.2% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $232.22 per Share and reached its low for the period on June 8, 2016 at $74.44 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 24, 2015 at $134.50 per Share and reached its low for the period on June 10, 2015 at $52.91 per Share.

The benchmark’s decline of 0.3% for the nine months ended September 30, 2016, as compared to the decline of 27.3% for the nine months ended September 30, 2015, can be attributed to a lesser decrease in the price of WTI Crude Oil during the nine months ended September 30, 2016.

170

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(1,070,888	)	$	(1,823,433	)
Management fee		1,291,075			1,681,411
Brokerage commission		125,327			187,715
Net realized gain (loss)		(36,901,010	)		47,579,514
Change in net unrealized appreciation/depreciation		(29,797,685	)		(45,637,289	)
Net income (loss)	$	(67,769,583	)	$	118,792

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a lesser decrease in the price of WTI Crude Oil during the nine months ended September 30, 2016.

ProShares UltraShort Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	10,462,856		$	14,688,564
NAV end of period	$	6,349,132		$	12,137,105
Percentage change in NAV		(39.3	)%		(17.4	)%
Shares outstanding beginning of period		224,856			524,856
Shares outstanding end of period		174,832			374,856
Percentage change in shares outstanding		(22.2	)%		(28.6	)%
Shares created		850,000			1,200,000
Shares redeemed		900,024			1,350,000
Per share NAV beginning of period	$	46.53		$	27.99
Per share NAV end of period	$	36.32		$	32.38
Percentage change in per share NAV		(21.9	)%		15.7	%
Percentage change in benchmark		(5.9	)%		(23.0	)%
Benchmark annualized volatility		39.6	%		40.2	%

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,856 outstanding Shares at December 31, 2015 to 174,832 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV 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 nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 524,856 outstanding Shares at December 31, 2014 to 374,856 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the nine months ended September 30, 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 21.9% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 15.7% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on March 3, 2016, at $84.20 per Share and reached its low for the period on September 21, 2016, at $31.43 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on April 27, 2015 at $32.39 per Share and reached its low for the period on January 14, 2015 at $21.53 per Share.

171

The benchmark’s decline of 5.9% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 23.0% for the nine months ended September 30, 2015, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(107,463	)	$	(126,959	)
Management fee		70,066			83,818
Brokerage commission		53,910			45,601
Net realized gain (loss)		458,954			6,412,870
Change in net unrealized appreciation/depreciation		2,803,491			(1,526,777	)
Net income (loss)	$	3,154,982		$	4,759,134

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a lesser decrease in the price of Henry Hub Natural Gas and significantly lower Net Asset Value during the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015.

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares UltraShort Bloomberg Natural Gas.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	74,971,764		$	81,861,762
NAV end of period	$	76,364,786		$	74,568,380
Percentage change in NAV		1.9	%		(8.9	)%
Shares outstanding beginning of period		646,978			846,978
Shares outstanding end of period		1,096,978			696,978
Percentage change in shares outstanding		69.6	%		(17.7	)%
Shares created		1,000,000			100,000
Shares redeemed		550,000			250,000
Per share NAV beginning of period	$	115.88		$	96.65
Per share NAV end of period	$	69.61		$	106.99
Percentage change in per share NAV		(39.9	)%		10.7	%
Percentage change in benchmark		24.8	%		(7.6	)%
Benchmark annualized volatility		17.0	%		14.3	%

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 646,978 outstanding Shares at December 31, 2015 to 1,096,978 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 846,978 outstanding Shares at December 31, 2014 to 696,978 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price†.

172

For the nine months ended September 30, 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 39.9% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $112.07 per Share and reached its low for the period on July 6, 2016 at $65.63 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 24, 2015 at $115.60 per Share and reached its low for the period on January 22, 2015 at $83.07 per Share.

The benchmark’s rise of 24.8% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 7.6% for the nine months ended September 30, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(350,865	)	$	(534,850	)
Management fee		469,612			557,050
Brokerage commission		33			33
Net realized gain (loss)		(29,965,948	)		7,024,594
Change in net unrealized appreciation/depreciation		(225,049	)		2,668,359
Net income (loss)	$	(30,541,862	)	$	9,158,103

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2016.

† On March 19, 2015, the company that ran the London U.S. dollar gold fixing ceased calculating the price of gold for the LBMA. The LBMA selected ICE Benchmark Administration to calculate the price, which was renamed the LBMA Gold Price, and is based on an electronic, physically settled auction-based methodology, beginning on March 20, 2015.

173

ProShares UltraShort Silver*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	55,987,938		$	53,007,867
NAV end of period	$	39,589,348		$	55,044,902
Percentage change in NAV		(29.3	)%		3.8	%
Shares outstanding beginning of period		866,978			916,978
Shares outstanding end of period		1,416,976			916,978
Percentage change in shares outstanding		63.4	%		0.0	%
Shares created		1,600,000			1,100,000
Shares redeemed		1,050,002			1,100,000
Per share NAV beginning of period	$	64.58		$	57.81
Per share NAV end of period	$	27.94		$	60.03
Percentage change in per share NAV		(56.7	)%		3.8	%
Percentage change in benchmark		40.0	%		(8.3	)%
Benchmark annualized volatility		27.1	%		24.3	%

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 866,978 outstanding Shares at December 31, 2015 to 1,416,976 outstanding Shares at September 30, 2016. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. There was no net change in the Fund’s outstanding Shares from December 31, 2014 to September 30, 2015.

For the nine months ended September 30, 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 56.7% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 3.8% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 28, 2016 at $66.01 per Share and reached its low for the period on August 2, 2016 at $25.21 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 27, 2015 at $63.99 per Share and reached its low for the period on January 23, 2015 at $43.40 per Share.

The benchmark’s rise of 40.0% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 8.3% for the nine months ended September 30, 2015, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(210,102	)	$	(378,164	)
Management fee		281,605			391,994
Brokerage commission		33			33
Net realized gain (loss)		(26,657,499	)		7,379,053
Change in net unrealized appreciation/depreciation		(4,263,685	)		(1,107,105	)
Net income (loss)	$	(31,131,286	)	$	5,893,784

174

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to an increase in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2016.

* See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares UltraShort Silver.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	17,510,898		$	14,021,804
NAV end of period	$	14,775,779		$	34,211,934
Percentage change in NAV		(15.6	)%		144.0	%
Shares outstanding beginning of period		400,005			350,005
Shares outstanding end of period		350,000			800,005
Percentage change in shares outstanding		(12.5	)%		128.6	%
Shares created		50,000			550,000
Shares redeemed		100,005			100,000
Per share NAV beginning of period	$	43.78		$	40.06
Per share NAV end of period	$	42.22		$	42.76
Percentage change in per share NAV		(3.6	)%		6.7	%
Percentage change in benchmark		3.4	%		(7.7	)%
Benchmark annualized volatility		8.3	%		12.5	%

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 350,005 outstanding Shares at December 31, 2014 to 800,005 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.6% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 6.7% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $44.25 per Share and reached its low for the period on May 2, 2016 at $41.22 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $46.07 per Share and reached its low for the period on January 2, 2015 at $40.37 per Share.

The benchmark’s rise of 3.4% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 7.7% for the nine months ended September 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2016.

175

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(95,407	)	$	(131,854	)
Management fee		116,244			132,555
Brokerage commission		2,009			2,951
Net realized gain (loss)		(199,557	)		1,196,111
Change in net unrealized appreciation/depreciation		(268,792	)		(224,430	)
Net income (loss)	$	(563,756	)	$	839,827

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2016.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	20,460,679		$	23,120,790
NAV end of period	$	17,389,549		$	22,583,663
Percentage change in NAV		(15.0	)%		(2.3	)%
Shares outstanding beginning of period		350,005			450,005
Shares outstanding end of period		350,000			350,005
Percentage change in shares outstanding		0.0	%^		(22.2	)%
Shares created		—			50,000
Shares redeemed		5			150,000
Per share NAV beginning of period	$	58.46		$	51.38
Per share NAV end of period	$	49.68		$	64.52
Percentage change in per share NAV		(15.0	)%		25.6	%
Percentage change in benchmark		5.1	%		(14.0	)%
Benchmark annualized volatility		12.1	%		12.3	%

^ Amount represents less than 0.05%

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. The decrease in the Fund’s NAV also resulted from a decrease from 350,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at September 30, 2016. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 450,005 outstanding Shares at December 31, 2014 to 350,005 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the nine months ended September 30, 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 15.0% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 25.6% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

176

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 15, 2016 at $65.74 per Share and reached its low for the period on April 19, 2016 at $49.39 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on September 4, 2015 at $66.75 per Share and reached its low for the period on May 13, 2015 at $50.07 per Share.

The benchmark’s rise of 5.1% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 14.0% for the nine months ended September 30, 2015, can be attributed to a rise in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(115,076	)	$	(158,141	)
Management fee		136,306			149,028
Brokerage commission		11,011			12,027
Net realized gain (loss)		(2,462,114	)		5,931,063
Change in net unrealized appreciation/depreciation		(493,626	)		(693,541	)
Net income (loss)	$	(3,070,816	)	$	5,079,381

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a rise in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2016.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	522,306,518		$	517,191,349
NAV end of period	$	370,915,586		$	547,279,138
Percentage change in NAV		(29.0	)%		5.8	%
Shares outstanding beginning of period		20,450,014			23,950,014
Shares outstanding end of period		15,600,000			22,450,014
Percentage change in shares outstanding		(23.7	)%		(6.3	)%
Shares created		650,000			11,900,000
Shares redeemed		5,500,014			13,400,000
Per share NAV beginning of period	$	25.54		$	21.59
Per share NAV end of period	$	23.78		$	24.38
Percentage change in per share NAV		(6.9	)%		12.9	%
Percentage change in benchmark		3.4	%		(7.7	)%
Benchmark annualized volatility		8.3	%		12.5	%

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,450,014 outstanding Shares at December 31, 2015 to 15,600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 23,950,014 outstanding Shares at December 31, 2014 to 22,450,014 outstanding Shares at September 30, 2015.

177

For the nine months ended September 30, 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 nine months ended September 30, 2016, as compared to the Fund’s per Share NAV increase of 12.9% for the nine months ended September 30, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $26.09 per Share and reached its low for the period on May 2, 2016 at $22.63 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $28.50 per Share and reached its low for the period on January 2, 2015 at $21.94 per Share.

The benchmark’s rise of 3.4% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 7.7% for the nine months ended September 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(2,129,104	)	$	(3,837,538	)
Management fee		2,894,802			4,000,943
Net realized gain (loss)		(60,591,510	)		69,786,875
Change in net unrealized appreciation/depreciation		30,468,759			(11,431,990	)
Net income (loss)	$	(32,251,855	)	$	54,517,347

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2016.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	237,372,900		$	531,471,873
NAV end of period	$	263,899,544		$	302,929,598
Percentage change in NAV		11.2	%		(43.0	)%
Shares outstanding beginning of period		2,699,294			5,949,294
Shares outstanding end of period		4,349,290			3,449,294
Percentage change in shares outstanding		61.1	%		(42.0	)%
Shares created		2,100,000			1,350,000
Shares redeemed		450,004			3,850,000
Per share NAV beginning of period	$	87.94		$	89.33
Per share NAV end of period	$	60.68		$	87.82
Percentage change in per share NAV		(31.0	)%		(1.7	)%
Percentage change in benchmark		18.5	%		(0.2	)%
Benchmark annualized volatility		13.0	%		8.7	%

178

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 2,699,294 outstanding Shares at December 31, 2015 to 4,349,290 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,949,294 outstanding Shares at December 31, 2014 to 3,449,294 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 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 31.0% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 1.7% for the nine months ended September 30, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 29, 2016 at $88.99 per Share and reached its low for the period on August 18, 2016 at $59.02 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on June 5, 2015 at $97.30 per Share and reached its low for the period on January 15, 2015 at $84.11 per Share.

The benchmark’s rise of 18.5% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 0.2% for the nine months ended September 30, 2015, can be attributed to a rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(1,133,789	)	$	(2,955,236	)
Management fee		1,462,231			3,069,183
Net realized gain (loss)		(86,179,609	)		(6,896,574	)
Change in net unrealized appreciation/depreciation		14,046,211			686,993
Net income (loss)	$	(73,267,187	)	$	(9,164,817	)

The Fund’s net income decreased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2016.

179

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	783,922,475		$	450,562,988
NAV end of period	$	979,757,506		$	787,261,737
Percentage change in NAV		25.0	%		74.7	%
Shares outstanding beginning of period		62,327,867			8,879,834
Shares outstanding end of period		93,227,866			35,227,867
Percentage change in shares outstanding		49.6	%		296.7	%
Shares created		100,950,000			54,530,000
Shares redeemed		70,050,001			28,181,967
Per share NAV beginning of period	$	12.58		$	50.74
Per share NAV end of period	$	10.51		$	22.35
Percentage change in per share NAV		(16.5	)%		(56.0	)%
Percentage change in benchmark		(0.3	)%		(27.3	)%
Benchmark annualized volatility		47.3	%		47.8	%

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from an increase from 62,327,867 outstanding Shares at December 31, 2015 to 93,227,866 outstanding Shares at September 30, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted from an increase from 8,879,834 outstanding Shares at December 31, 2014 to 35,227,867 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the nine months ended September 30, 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 16.5% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 56.0% for the nine months ended September 30, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on June 8, 2016 at $14.08 per Share and reached its low for the period on February 11, 2016 at $6.01 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on May 6, 2015 at $50.96 per Share and reached its low for the period on August 24, 2015 at $17.38 per Share.

The benchmark’s decline of 0.3% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 27.3% for the nine months ended September 30, 2015, can be attributed to a lesser decrease in the price of WTI Crude Oil during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(4,978,159	)	$	(6,489,539	)
Management fee		6,031,448			6,257,893
Brokerage commission		443,936			449,106
Net realized gain (loss)		(132,886,039	)		(497,221,597	)
Change in net unrealized appreciation/depreciation		190,350,573			73,444,143
Net income (loss)	$	52,486,375		$	(430,266,993	)

180

The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a lesser decrease in the price of WTI Crude Oil during the nine months ended September 30, 2016.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	38,851,184		$	70,433,207
NAV end of period	$	31,750,207		$	52,582,988
Percentage change in NAV		(18.3	)%		(25.3	)%
Shares outstanding beginning of period		2,092,170			1,142,485
Shares outstanding end of period		2,192,169			1,642,170
Percentage change in shares outstanding		4.8	%		43.7	%
Shares created		2,200,000			1,687,500
Shares redeemed		2,100,001			1,187,815
Per share NAV beginning of period	$	18.57		$	61.65
Per share NAV end of period	$	14.48		$	32.02
Percentage change in per share NAV		(22.0	)%		(48.1	)%
Percentage change in benchmark		(5.9	)%		(23.0	)%
Benchmark annualized volatility		39.6	%		40.2	%

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,192,169 outstanding Shares at September 30, 2016. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 1,142,485 outstanding Shares at December 31, 2014 to 1,642,170 outstanding Shares at September 30, 2015.

For the nine months ended September 30, 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 22.0% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 48.1% for the nine months ended September 30, 2015, was due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on January 8, 2016 at $20.23 per Share and reached its low for the period on March 3, 2016 at $8.89 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 14, 2015 at $74.33 per Share and reached its low for the period on September 30, 2015 at $32.02 per Share.

The benchmark’s decline of 5.9% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 23.0% for the nine months ended September 30, 2015, can be attributed to a lesser decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2016.

181

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(282,519	)	$	(620,187	)
Management fee		229,760			479,185
Brokerage commission		98,016			156,022
Net realized gain (loss)		6,591,292			(58,399,470	)
Change in net unrealized appreciation/depreciation		(7,750,780	)		21,001,958
Net income (loss)	$	(1,442,007	)	$	(38,017,699	)

The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a lesser decrease in the price of Henry Hub Natural Gas and significantly lower Net Asset Value during the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	69,864,815		$	102,003,345
NAV end of period	$	99,949,269		$	81,225,498
Percentage change in NAV		43.1	%		(20.4	)%
Shares outstanding beginning of period		2,350,014			2,550,014
Shares outstanding end of period		2,250,000			2,450,014
Percentage change in shares outstanding		(4.3	)%		(3.9	)%
Shares created		150,000			100,000
Shares redeemed		250,014			200,000
Per share NAV beginning of period	$	29.73		$	40.00
Per share NAV end of period	$	44.42		$	33.15
Percentage change in per share NAV		49.4	%		(17.1	)%
Percentage change in benchmark		24.8	%		(7.6	)%
Benchmark annualized volatility		17.0	%		14.3	%

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,014 outstanding Shares at December 31, 2015 to 2,250,000 outstanding Shares at September 30, 2016. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,550,014 outstanding Shares at December 31, 2014 to 2,450,014 outstanding Shares at September 30, 2015. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price†.

For the nine months ended September 30, 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 49.4% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 17.1% for the nine months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on July 6, 2016 at $47.89 per Share and reached its low for the period on January 5, 2016 at $30.67 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 22, 2015 at $46.03 per Share and reached its low for the period on July 24, 2015 at $31.44 per Share.

182

The benchmark’s rise of 24.8% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 7.6% for the nine months ended September 30, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(486,568	)	$	(630,215	)
Management fee		665,265			657,667
Brokerage commission		33			33
Net realized gain (loss)		33,704,266			(12,230,086	)
Change in net unrealized appreciation/depreciation		(208,227	)		(3,349,294	)
Net income (loss)	$	33,009,471		$	(16,209,595	)

The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2016.

† On March 19, 2015, the company that ran the London U.S. dollar gold fixing ceased calculating the price of gold for the LBMA. The LBMA selected ICE Benchmark Administration to calculate the price, which was renamed the LBMA Gold Price, and is based on an electronic, physically settled auction-based methodology, beginning on March 20, 2015.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	216,416,642		$	291,169,743
NAV end of period	$	372,251,128		$	245,181,213
Percentage change in NAV		72.0	%		(15.8	)%
Shares outstanding beginning of period		7,996,533			7,396,533
Shares outstanding end of period		7,596,526			7,896,533
Percentage change in shares outstanding		(5.0	)%		6.8	%
Shares created		1,500,000			2,000,000
Shares redeemed		1,900,007			1,500,000
Per share NAV beginning of period	$	27.06		$	39.37
Per share NAV end of period	$	49.00		$	31.05
Percentage change in per share NAV		81.1	%		(21.1	)%
Percentage change in benchmark		40.0	%		(8.3	)%
Benchmark annualized volatility		27.1	%		24.3	%

183

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. The increase in the Fund’s NAV was offset by a decrease from 7,996,533 outstanding Shares at December 31, 2015 to 7,596,526 outstanding Shares at September 30, 2016. By comparison, during the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 7,396,533 outstanding Shares at December 31, 2014 to 7,896,533 outstanding Shares at September 30, 2015.

For the nine months ended September 30, 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 81.1% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 21.1% for the nine months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 2, 2016 at $57.12 per Share and reached its low for the period on January 28, 2016 at $25.96 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 23, 2015 at $50.86 per Share and reached its low for the period on August 27, 2015 at $29.64 per Share.

The benchmark’s rise of 40.0% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 8.3% for the nine months ended September 30, 2015, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(1,713,227	)	$	(1,975,441	)
Management fee		2,300,935			2,085,125
Brokerage commission		36			42
Net realized gain (loss)		174,873,081			(72,523,674	)
Change in net unrealized appreciation/depreciation		9,844,227			12,283,450
Net income (loss)	$	183,004,081		$	(62,215,665	)

The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to an increase in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2016.

184

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	10,857,730		$	2,981,441
NAV end of period	$	9,678,714		$	10,754,497
Percentage change in NAV		(10.9	)%		260.7	%
Shares outstanding beginning of period		700,014			150,014
Shares outstanding end of period		600,000			650,014
Percentage change in shares outstanding		(14.3	)%		333.3	%
Shares created		50,000			800,000
Shares redeemed		150,014			300,000
Per share NAV beginning of period	$	15.51		$	19.87
Per share NAV end of period	$	16.13		$	16.55
Percentage change in per share NAV		4.0	%		(16.7	)%
Percentage change in benchmark		3.4	%		(7.7	)%
Benchmark annualized volatility		8.3	%		12.5	%

During the nine months ended September 30, 2016, the decrease in the Fund’s NAV resulted from a decrease from 700,014 outstanding Shares at December 31, 2015 to 600,000 outstanding Shares at September 30, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted from an increase from 150,014 outstanding Shares at December 31, 2014 to 650,014 outstanding Shares at September 30, 2015. The increase of the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2016, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.0% for the nine months ended September 30, 2016, as compared to Fund’s per Share NAV decrease of 16.7% for the nine months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on April 1, 2016 at $16.89 per Share and reached its low for the period on April 14, 2016 at $13.95 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 2, 2015 at $19.55 per Share and reached its low for the period on March 13, 2015 at $14.80 per Share.

The benchmark’s rise of 3.4% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 7.7% for the nine months ended September 30, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2016.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(53,805	)	$	(76,611	)
Management fee		71,859			78,687
Net realized gain (loss)		1,156,114			(559,454	)
Change in net unrealized appreciation/depreciation		(654,956	)		(39,308	)
Net income (loss)	$	447,353		$	(675,373	)

185

The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2016.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
NAV beginning of period	$	5,473,848		$	2,118,028
NAV end of period	$	7,443,729		$	5,534,391
Percentage change in NAV		36.0	%		161.3	%
Shares outstanding beginning of period		99,974			37,504
Shares outstanding end of period		99,970			99,974
Percentage change in shares outstanding		0.0	%^		166.6	%
Shares created		—			75,000
Shares redeemed		4			12,530
Per share NAV beginning of period	$	54.75		$	56.47
Per share NAV end of period	$	74.46		$	55.36
Percentage change in per share NAV		36.0	%		(2.0	)%
Percentage change in benchmark		18.5	%		(0.2	)%
Benchmark annualized volatility		13.0	%		8.7	%

^ Amount represents less than 0.05%

During the nine months ended September 30, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 99,974 outstanding Shares from December 31, 2015 to 99,970 outstanding Shares at September 30, 2016. By comparison, during the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted from an increase from 37,504 outstanding Shares at December 31, 2014 to 99,974 outstanding Shares at September 30, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 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 36.0% for the nine months ended September 30, 2016, as compared to the Fund’s per Share NAV decrease of 2.0% for the nine months ended September 30, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2016.

During the nine months ended September 30, 2016, the Fund’s per Share NAV reached its high for the period on August 18, 2016 at $77.06 per Share and reached its low for the period on January 29, 2016 at $53.85 per Share. By comparison, during the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $59.83 per Share and reached its low for the period on June 5, 2015 at $50.86 per Share.

The benchmark’s rise of 18.5% for the nine months ended September 30, 2016, as compared to the benchmark’s decline of 0.2% for the nine months ended September 30, 2015, can be attributed to a rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2016.

186

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2016 and 2015:

	Nine Months Ended September 30, 2016			Nine Months Ended September 30, 2015
Net investment income (loss)	$	(35,548	)	$	(33,316	)
Management fee		47,356			35,135
Net realized gain (loss)		2,273,202			(174,875	)
Change in net unrealized appreciation/depreciation		(267,574	)		28,220
Net income (loss)	$	1,970,080		$	(179,971	)

The Fund’s net income increased for the nine months ended September 30, 2016, as compared to the nine months ended September 30, 2015, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2016.

187

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Equity Market Volatility Sensitivity

Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. The following tables provide information about each of the VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes. As of September 30, 2016 and 2015, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of September 30, 2016 and 2015, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2016		8,392	$	15.78		1,000	$	132,383,800
VIX Futures (CBOE)	Long	November 2016		5,601		16.95		1,000		94,936,950

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2015		2,745	$	23.03		1,000	$	63,203,625
VIX Futures (CBOE)	Long	November 2015		2,144		22.13		1,000		47,436,000

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2015 filed with the U.S. Securities and Exchange Commission (the “SEC”) on February 29, 2016 (the “Form 10-K”), for additional information regarding performance for periods longer than a single day.

ProShares VIX Mid-Term Futures ETF

As of September 30, 2016 and 2015, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2016 and 2015, which were sensitive to equity market volatility risk.

188

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	January 2017		614	$	18.50		1,000	$	11,359,000
VIX Futures (CBOE)	Long	February 2017		1,024		19.05		1,000		19,507,200
VIX Futures (CBOE)	Long	March 2017		1,023		19.40		1,000		19,846,200
VIX Futures (CBOE)	Long	April 2017		409		19.98		1,000		8,169,775

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	January 2016		262	$	21.98		1,000	$	5,757,450
VIX Futures (CBOE)	Long	February 2016		468		22.18		1,000		10,377,900
VIX Futures (CBOE)	Long	March 2016		468		22.18		1,000		10,377,900
VIX Futures (CBOE)	Long	April 2016		205		22.43		1,000		4,597,125

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF

As of September 30, 2016 and 2015, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Short	October 2016		18,688	$	15.78		1,000	$	(294,803,200	)
VIX Futures (CBOE)	Short	November 2016		12,445		16.95		1,000		(210,942,750	)

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Short	October 2015		15,656	$	23.03		1,000	$	(360,479,400	)
VIX Futures (CBOE)	Short	November 2015		12,319		22.13		1,000		(272,557,875	)

189

The September 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra VIX Short-Term Futures ETF

As of September 30, 2016 and 2015, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these VIX futures contracts as of September 30, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2016		54,497	$	15.78		1,000	$	859,690,175
VIX Futures (CBOE)	Long	November 2016		36,351		16.95		1,000		616,149,450

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2015		16,536	$	23.03		1,000	$	380,741,400
VIX Futures (CBOE)	Long	November 2015		12,983		22.13		1,000		287,248,875

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of September 30, 2016 and 2015, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

190

ProShares UltraShort Bloomberg Crude Oil:

As of September 30, 2016 and 2015, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	November 2016		2,093	$	48.24		1,000	$	(100,966,320	)

Swap Agreements as of September 30, 2016

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Citibank N.A.	Short	$	79.0094	$	(110,835,497	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		79.0094		(78,877,241	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Short		79.0094		(8,278,478	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		79.0094		(80,182,717	)

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	November 2015		2,842	$	45.09		1,000	$	(128,145,780	)

Swap Agreements as of September 30, 2015

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Short	$	103.4951	$	(43,305,552	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		103.4951		(38,460,578	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Short		103.4951		(17,760,098	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		103.4951		(55,882,943	)

The September 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2016 and 2015 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period

191

returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 2016 and 2015, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	November 2016		437	$	2.91		10,000	$	(12,699,220	)

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	November 2015		962	$	2.52		10,000	$	(24,280,880	)

The September 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Gold:

As of September 30, 2016 and 2015, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	December 2016		2	$	1,317.10		100	$	(263,420	)

192

Forward Agreements as of September 30, 2016

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Citibank N.A.	Short	$	1,322.72	$	(29,893,472	)
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short		1,322.80		(73,018,560	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,322.70		(21,689,635	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,322.71		(5,290,840	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,322.71		(22,552,206	)

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	December 2015		2	$	1,115.20		100	$	(223,040	)

Forward Agreements as of September 30, 2015

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short	$	1,114.02	$	(62,719,326	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,114.00		(36,759,772	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,113.99		(15,595,860	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,113.99		(33,809,597	)

The September 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2016 and 2015 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before 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 September 30, 2016 and 2015, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to commodity price risk.

193

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	December 2016		2	$	19.21		5,000	$	(192,140	)

Forward Agreements as of September 30, 2016

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Citibank N.A.	Short	$	19.3535	$	(11,979,817	)
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short		19.3551		(41,536,045	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		19.3535		(12,976,522	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		19.3537		(3,019,177	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		19.3535		(9,463,862	)

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	December 2015		2	$	14.52		5,000	$	(145,180	)

Forward Agreements as of September 30, 2015

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short	$	14.6514	$	(44,247,228	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		14.6510		(27,331,441	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		14.6510		(9,611,056	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		14.6510		(28,745,262	)

The September 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2016 and 2015 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net 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.

194

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2016 and 2015, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of September 30, 2016 and 2015, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short	December 2016		105	$	1.13		125,000	$	(14,801,063	)

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short	December 2015		244	$	1.12		125,000	$	(34,095,950	)

The September 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Australian Dollar:

As of September 30, 2016 and 2015, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	December 2016		456	$	76.49		1,000	$	(34,879,440	)

195

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	December 2015		645	$	69.88		1,000	$	(45,072,600	)

The September 30, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of September 30, 2016 and 2015, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2016

Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	10/07/16		11,861,500			1.1236	$	13,327,034
Euro	UBS AG	Long	10/07/16		18,134,300			1.1236		20,374,863
Euro	Goldman Sachs International	Short	10/07/16		(344,672,125	)		1.1236		(387,257,692	)
Euro	UBS AG	Short	10/07/16		(345,543,400	)		1.1236		(388,236,616	)

Foreign Currency Forward Contracts as of September 30, 2015

Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	10/09/15		52,575,200			1.1175	$	58,758,406
Euro	UBS AG	Long	10/09/15		84,264,100			1.1175		94,174,139
Euro	Goldman Sachs International	Short	10/09/15		(527,357,625	)		1.1175		(589,378,515	)
Euro	UBS AG	Short	10/09/15		(589,820,600	)		1.1175		(659,187,567	)

196

The September 30, 2016 and 2015 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

As of September 30, 2016 and 2015, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2016

Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	10/07/16		812,107,700			0.009863	$	8,009,961
Yen	UBS AG	Long	10/07/16		4,484,904,300			0.009863		44,235,400
Yen	Goldman Sachs International	Short	10/07/16		(27,401,188,900	)		0.009863		(270,262,747	)
Yen	UBS AG	Short	10/07/16		(31,384,937,700	)		0.009863		(309,555,163	)

Foreign Currency Forward Contracts as of September 30, 2015

Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	10/09/15		5,754,030,200			0.008337	$	47,975,159
Yen	UBS AG	Long	10/09/15		5,101,523,700			0.008337		42,534,780
Yen	Goldman Sachs International	Short	10/09/15		(42,132,482,600	)		0.008337		(351,286,398	)
Yen	UBS AG	Short	10/09/15		(41,389,892,100	)		0.008337		(345,094,929	)

The September 30, 2016 and 2015 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account.

197

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

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of September 30, 2016 and 2015, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2016 and 2015, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	November 2016		8,345	$	48.24		1,000	$	402,562,800

Swap Agreements as of September 30, 2016

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Citibank N.A.	Long	$	79.0094	$	566,152,847
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Long		79.0094		454,062,414
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Long		79.0094		100,430,739
Bloomberg WTI Crude Oil Subindex	UBS AG	Long		79.0094		436,225,560

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	November 2015		11,512	$	45.09		1,000	$	519,076,080

198

Swap Agreements as of September 30, 2015

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Long	$	103.4951	$	299,072,212
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Long		103.4951		329,950,075
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Long		103.4951		118,711,010
Bloomberg WTI Crude Oil Subindex	UBS AG	Long		103.4951		307,603,721

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2016 and 2015 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Natural Gas:

As of September 30, 2016 and 2015, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Long	November 2016		2,185	$	2.91		10,000	$	63,496,100

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Long	November 2015		4,166	$	2.52		10,000	$	105,149,840

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs.

199

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 September 30, 2016 and 2015, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long	December 2016		2	$	1,317.10		100	$	263,420

Forward Agreements as of September 30, 2016

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Citibank N.A.	Long	$	1,322.72	$	55,818,784
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Long		1,322.80		42,461,880
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Long		1,322.70		48,305,004
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Long		1,322.71		20,369,734
0.995 Fine Troy Ounce Gold	UBS AG	Long		1,322.71		32,670,937

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long	December 2015		2	$	1,115.20		100	$	223,040

Forward Agreements as of September 30, 2015

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Long	$	1,114.02	$	81,323,460
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Long		1,114.00		29,654,680
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Long		1,113.99		17,155,446
0.995 Fine Troy Ounce Gold	UBS AG	Long		1,113.99		34,088,094

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2016 and 2015 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following

200

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 September 30, 2016 and 2015, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2016

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Long	December 2016		2	$	19.21		5,000	$	192,140

Forward Agreements as of September 30, 2016

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Citibank N.A.	Long	$	19.3535	$	216,797,907
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Long		19.3551		110,726,656
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Long		19.3535		188,634,694
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Long		19.3537		67,428,291
0.999 Fine Troy Ounce Silver	UBS AG	Long		19.3535		160,692,111

Futures Positions as of September 30, 2015

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Long	December 2015		2	$	14.52		5,000	$	145,180

Forward Agreements as of September 30, 2015

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Long	$	14.6514	$	185,003,228
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Long		14.6510		116,956,003
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Long		14.6510		58,369,584
0.999 Fine Troy Ounce Silver	UBS AG	Long		14.6510		129,837,162

The September 30, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2016 and 2015 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account.

201

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

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2016 and 2015, each of the Currency Fund’s positions were as follows:

ProShares Ultra Euro:

As of September 30, 2016 and 2015, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2016

Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	10/07/16		9,020,825			1.1236	$	10,135,383
Euro	UBS AG	Long	10/07/16		8,385,200			1.1236		9,421,224
Euro	UBS AG	Short	10/07/16		(169,500	)		1.1236		(190,442	)

Foreign Currency Forward Contracts as of September 30, 2015

Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	10/09/15		11,569,925			1.1175	$	12,930,628
Euro	UBS AG	Long	10/09/15		8,722,700			1.1175		9,748,550
Euro	Goldman Sachs International	Short	10/09/15		(412,400	)		1.1175		(460,901	)
Euro	UBS AG	Short	10/09/15		(640,900	)		1.1175		(716,274	)

The September 30, 2016 and 2015 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs.

The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

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ProShares Ultra Yen:

As of September 30, 2016 and 2015, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2016

Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	10/07/16		1,029,857,000			0.009863	$	10,157,661
Yen	UBS AG	Long	10/07/16		524,705,100			0.009863		5,175,259
Yen	Goldman Sachs International	Short	10/07/16		(34,119,100	)		0.009863		(336,523	)
Yen	UBS AG	Short	10/07/16		(11,065,500	)		0.009863		(109,141	)

Foreign Currency Forward Contracts as of September 30, 2015

Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	10/09/15		870,160,900			0.008337	$	7,255,107
Yen	UBS AG	Long	10/09/15		486,769,100			0.008337		4,058,516
Yen	Goldman Sachs International	Short	10/09/15		(18,075,700	)		0.008337		(150,709	)
Yen	UBS AG	Short	10/09/15		(8,963,800	)		0.008337		(74,737	)

The September 30, 2016 and 2015 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

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Qualitative Disclosure

As described above in Item 2 of this Quarterly Report on Form 10-Q, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. Each Short Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by two or negative two. Each Matching VIX Fund seek investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. The Matching VIX Funds seek to achieve their stated objectives both over a single day and over time.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and direct exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 of this Quarterly Report on Form 10-Q, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

204

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.

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).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-1x, -2x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described above in Item 2 of this Quarterly Report on Form 10-Q, these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the Index’s movements during the day also affects whether the Fund’s portfolio needs to be re-positioned. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds or UltraShort Funds will generally decrease when the index rises on a given day. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the index has fallen on a given day, a Short Fund’s or an UltraShort Fund’s assets should rise. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

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Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in a non-interest bearing demand deposit account. The Funds also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

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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 September 30, 2016, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2016, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund

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Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

There has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2015, filed on February 29, 2016.

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

(a) None.

(b) The Trust initially registered Shares on its Registration Statement on Form S-1 (File No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (File No. 333-156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all registered Shares and re-allocated the remaining amount of the registered Shares among the Funds listed on its Registration Statement on Form S-3 (File No. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on Form S-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on Form S-1 (File No. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on Form S-3 (File No. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on Form S-1 (File No. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on Form S-1 (File No. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (File No. 333-183672) was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-176878). On September 27, 2012, a Registration Statement on Form S-3 (File No. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro. This registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on Form S-1 (File No. 333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on Form S-1 (File No. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statements (File Nos. 333-183672 and 333-178707).

Also, on January 30, 2013, a Registration Statement on Form S-3 (File No. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statement (File No. 333-193672) and Form S-3 Registration Statement (File No. 333-183674). On April 24, 2013, a post-effective amendment to the

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Form S-1 Registration Statement (File No. 333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on Form S-3 (File No. 333-187820) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-185289). On May 21, 2013, a Registration Statement on Form S-1 (File 333-188215) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-185288). On July 30, 2013, a Registration Statement on Form S-3 (File No. 333-189967) was declared effective, which registered additional Shares for ProShares Bloomberg Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-187820). On May 6, 2014, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-188215) was declared effective, updating the Form S-1 Registration Statement by, among other things, incorporating by reference the audited financial statements for the fiscal year ended December 31, 2013. The post-effective amendment did not register any additional shares. On July 30, 2014, a Registration Statement on Form S-1 (File No. 333-196884) was declared effective, which partially terminated registered and unissued Shares of ProShares VIX Mid-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Euro, ProShares Ultra Yen and ProShares UltraShort Bloomberg Commodity. That registration statement was a combined prospectus and acted as a post-effective amendment to two Form S-1 registration statements (File Nos. 333-188215 and 333-185288). On July 30, 2014, a Registration Statement on Form S-3 (File No. 333-196885) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro and partially terminated registered and unissued Shares of ProShares Ultra Gold, ProShares Ultra Silver and ProShares UltraShort Silver. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the Form S-1 to the Form S-3. On September 29, 2014, a Registration Statement on Form S-1 (File No. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the Form S-1 Registration Statement (File No. 333-196884). On November 25, 2014, a Registration Statement on Form S-1 (File No. 333-199642) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Silver. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-198189) and the Form S-3 registration statement (333-196885). On November 25, 2014, a Registration Statement on Form S-3 (File No. 333-199641) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-196885). Through the November 25, 2014 filings, ProShares UltraShort Silver was transferred from the Form S-3 to the Form S-1. On March 31, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective, which registered additional Shares for ProShares VIX Mid-Term Futures ETF, ProShares Managed Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Silver, ProShares Ultra Australian Dollar, ProShares UltraShort Australian Dollar, ProShares Ultra Euro, ProShares Short Euro and ProShares Ultra Yen. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-199642). On March 31, 2015, a Registration Statement on Form S-3 (File No. 333-

209

202725) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-199641). On August 11, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective which removed ProShares Ultra Australian Dollar from the Form S-1; no additional shares were registered with that filing. That registration statement was a combined prospectus and acted as a pre-effective amendment to post-effective amendment No. 1 of the Form S-1. On March 30, 2016, Post-Effective Amendment No. 1 to the Registration Statement on Form S-3 (File No. 333-202725) was declared effective, which removed from registration all of the Shares that remained unsold thereunder as of the close of business on March 30, 2016. On March 30, 2016, a Registration Statement on Form S-3 (File No. 333-210024) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short Term Futures ETF, ProShares Short VIX Short-Term Futures ETF, ProShares VIX Short Term Futures ETF. Thus, as of September 30, 2016, the Trust had two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-202724); and 2) a Form S-3 Registration Statement (No. 333-210024).

Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may in part be used for direct investment or deposited with the FCMs as margin in connection with futures contracts or in segregated accounts at the Funds’ custodian bank as collateral for swap agreements or forward contracts, as applicable. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.

Title of Securities Registered	Amount Registered As of September 30, 2016		Shares Sold For the Three Months Ended September 30, 2016		Sale Price of Shares Sold For the Three Months Ended September 30, 2016
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	1,293,316,711		4,605,000	$	160,300,475
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	619,302,925		525,000	$	25,197,176
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	3,637,796,044		9,250,000	$	613,841,047
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	5,829,405,324		47,130,000	$	1,028,299,001
ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest	$	1,459,211,527		1,550,000	$	130,699,490
ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest	$	412,030,981		400,000	$	14,880,332
ProShares UltraShort Gold Common Units of Beneficial Interest	$	188,646,875		300,000	$	20,969,905
ProShares UltraShort Silver Common Units of Beneficial Interest	$	2,083,528,399		600,000	$	17,246,650
ProShares Short Euro Common Units of Beneficial Interest	$	174,672,977		—	$	—
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest	$	172,771,084		—	$	—

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ProShares UltraShort Euro Common Units of Beneficial Interest	$	1,955,170,892	200,000	$	4,859,432
ProShares UltraShort Yen Common Units of Beneficial Interest	$	785,286,665	1,300,000	$	80,966,165
ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest	$	4,410,088,158	35,600,000	$	335,472,814
ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest	$	540,275,387	700,000	$	9,934,929
ProShares Ultra Gold Common Units of Beneficial Interest	$	277,649,678	50,000	$	2,341,317
ProShares Ultra Silver Common Units of Beneficial Interest	$	1,367,128,153	150,000	$	7,887,783
ProShares Ultra Euro Common Units of Beneficial Interest	$	126,652,323	—	$	—
ProShares Ultra Yen Common Units of Beneficial Interest	$	138,726,333	—	$	—
Total:	$	25,471,660,436	102,360,000	$	2,452,896,516

(a) From July 1, 2016 to September 30, 2016, the number of Shares redeemed and average price per Share for each Fund were as follows:

Fund	Total Number of Shares Redeemed		Average Price Per Share
ProShares VIX Short-Term Futures ETF
07/01/16 to 07/31/16		511	$	—
08/01/16 to 08/31/16		100,000	$	30.84
09/01/16 to 09/30/16		750,000	$	33.28
ProShares VIX Mid-Term Futures ETF
07/01/16 to 07/31/16		—	$	—
08/01/16 to 08/31/16		—	$	—
09/01/16 to 09/30/16		50,000	$	47.94
ProShares Short VIX Short-Term Futures ETF
07/01/16 to 07/31/16		8,800,000	$	55.64
08/01/16 to 08/31/16		4,850,000	$	72.16
09/01/16 to 09/30/16		2,450,000	$	74.07
ProShares Ultra VIX Short-Term Futures ETF
07/01/16 to 07/31/16		1,972,839	$	37.04
08/01/16 to 08/31/16		2,550,000	$	21.16
09/01/16 to 09/30/16		17,300,000	$	22.76
ProShares UltraShort Bloomberg Crude Oil
07/01/16 to 07/31/16		500,000	$	104.29
08/01/16 to 08/31/16		150,000	$	118.66
09/01/16 to 09/30/16		550,000	$	97.61
ProShares UltraShort Bloomberg Natural Gas
07/01/16 to 07/31/16		250,000	$	38.96
08/01/16 to 08/31/16		—	$	—
09/01/16 to 09/30/16		50,000	$	38.69
ProShares UltraShort Gold
07/01/16 to 07/31/16		—	$	—
08/01/16 to 08/31/16		—	$	—
09/01/16 to 09/30/16		—	$	—
ProShares UltraShort Silver
07/01/16 to 07/31/16		—	$	—
08/01/16 to 08/31/16		100,000	$	29.07
09/01/16 to 09/30/16		50,000	$	27.94
ProShares Short Euro
07/01/16 to 07/31/16		50,000	$	43.21
08/01/16 to 08/31/16		—	$	—
09/01/16 to 09/30/16		—	$	—
ProShares UltraShort Australian Dollar
07/01/16 to 07/31/16		—	$	—
08/01/16 to 08/31/16		—	$	—
09/01/16 to 09/30/16		—	$	—

211

ProShares UltraShort Euro
07/01/16 to 07/31/16	—	$	—
08/01/16 to 08/31/16	500,000	$	23.79
09/01/16 to 09/30/16	—	$	—
ProShares UltraShort Yen
07/01/16 to 07/31/16	—	$	—
08/01/16 to 08/31/16	—	$	—
09/01/16 to 09/30/16	—	$	—
ProShares Ultra Bloomberg Crude Oil
07/01/16 to 07/31/16	800,000	$	11.11
08/01/16 to 08/31/16	7,550,000	$	10.91
09/01/16 to 09/30/16	7,900,000	$	10.22
ProShares Ultra Bloomberg Natural Gas
07/01/16 to 07/31/16	550,000	$	15.99
08/01/16 to 08/31/16	—	$	—
09/01/16 to 09/30/16	400,000	$	15.52
ProShares Ultra Gold
07/01/16 to 07/31/16	50,000	$	44.33
08/01/16 to 08/31/16	—	$	—
09/01/16 to 09/30/16	—	$	—
ProShares Ultra Silver
07/01/16 to 07/31/16	300,000	$	52.17
08/01/16 to 08/31/16	550,000	$	50.32
09/01/16 to 09/30/16	200,000	$	47.91
ProShares Ultra Euro
07/01/16 to 07/31/16	—	$	—
08/01/16 to 08/31/16	—	$	—
09/01/16 to 09/30/16	—	$	—
ProShares Ultra Yen
07/01/16 to 07/31/16	—	$	—
08/01/16 to 08/31/16	—	$	—
09/01/16 to 09/30/16	—	$	—

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

212

Item 6. Exhibits.

Exhibit No.	Description of Document
31.1	Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
31.2	Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
32.1	Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
32.2	Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)
101.INS	XBRL Instance Document(1)
101.SCH	XBRL Taxonomy Extension Schema(1)
101.CAL	XBRL Taxonomy Extension Calculation Linkbase(1)
101.DEF	XBRL Taxonomy Extension Definition Linkbase(1)
101.LAB	XBRL Taxonomy Extension Label Linkbase(1)
101.PRE	XBRL Taxonomy Extension Presentation Linkbase(1)

(1) Filed herewith.

213

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

PROSHARES TRUST II

/s/ Todd Johnson

By: Todd Johnson

Principal Executive Officer

Date: November 9, 2016

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: November 9, 2016

214