ProShares Trust II - FORM 10-Q

ProShares Trust II - FORM 10-Q - November 9, 2015

Attached files

Attached files

file	filename
EX-32.2 - EX-32.2 - ProShares Trust II	d81736dex322.htm
EX-31.2 - EX-31.2 - ProShares Trust II	d81736dex312.htm
EX-32.1 - EX-32.1 - ProShares Trust II	d81736dex321.htm
EX-31.1 - EX-31.1 - ProShares Trust II	d81736dex311.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

for the quarterly period ended September 30, 2015.

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

for the transition period from to .

Commission file number: 001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

Delaware

87-6284802

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip code)

(240) 497-6400

(Registrant’s telephone number, including area code)

N/A

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

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

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files). x Yes ¨ No

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

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

PROSHARES TRUST II

Table of Contents


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

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk.		203

Item 4. Controls and Procedures.		221

Part II. OTHER INFORMATION
Item 1. Legal Proceedings.		222

Item 1A. Risk Factors.		222

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		222

Item 3. Defaults Upon Senior Securities.		226

Item 4. Mine Safety Disclosures.		226

Item 5. Other Information.		226

Item 6. Exhibits.		227

Part I. FINANCIAL INFORMATION

Item 1.

Condensed Financial Statements.

Index


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

PROSHARES MANAGED FUTURES STRATEGY

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015
	(unaudited)		December 31, 2014
Assets
Cash	$	8,033,817	$	6,135,185
Segregated cash balances with brokers for futures contracts		320,529		195,142
Receivable from capital shares sold		1,029,253		—
Receivable on open futures contracts		—		17,445
Offering costs (Note 5)		181		49,384
Limitation by Sponsor		11,013		9,474

Total assets		9,394,793		6,406,630

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		65,388		—
Brokerage commissions and fees payable		197		—
Payable for offering costs		65,785		65,785

Total liabilities		131,370		65,785

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		9,263,423		6,340,845

Total liabilities and shareholders’ equity	$	9,394,793	$	6,406,630

Shares outstanding		450,010		300,010

Net asset value per share	$	20.58	$	21.14

Market value per share (Note 2)	$	20.81	$	21.28

See accompanying notes to financial statements.

PROSHARES MANAGED FUTURES STRATEGY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Euro Fx Currency Futures - CME, expires December 2015		3	$	419,213	$	(1,350	)
Japanese Yen Fx Currency Futures - CME, expires December 2015		6		625,725		(2,381	)
US 10 YR Note Futures - CBT, expires December 2015		11		1,416,078		9,750
US Treasury Long Bond Futures - CBT, expires December 2015		6		944,063		14,062

					$	20,081

Futures Contracts Sold††

Natural Gas Futures - NYMEX, expires November 2015		7	$	176,680	$	14,117
NY Harbor ULSD Futures - NYMEX, expires November 2015		2		129,142		2,650
RBOB Gasoline Futures - NYMEX, expires November 2015		2		114,803		701
Soybean Futures - CBT, expires November 2015		6		267,600		14,750
WTI Crude Oil Futures - NYMEX, expires November 2015		2		90,180		3,252
Australian Dollar Fx Currency Futures - CME, expires December 2015		5		349,400		(30	)
British Pound Fx Currency Futures - CME, expires December 2015		6		566,738		5,725
Canadian Dollar Fx Currency Futures - CME, expires December 2015		6		449,280		2,570
Cocoa Futures - ICE, expires December 2015		14		435,960		10,630
Coffee ‘C’ Futures - ICE, expires December 2015		4		182,025		3,825
Copper Futures - COMEX, expires December 2015		5		292,625		1,463
Corn Futures - CBT, expires December 2015		13		252,037		(2,425	)
Cotton No. 2 Futures - ICE, expires December 2015		10		302,200		7,146
Gold 100 OZ Futures - COMEX, expires December 2015		2		223,040		12,020
Gold Mini Futures - ICE, expires December 2015		2		71,707		399
Lean Hogs Futures - CME, expires December 2015		14		373,660		(13,547	)
Live Cattle Futures - CME, expires December 2015		8		418,960		30,960
Silver Futures - COMEX, expires December 2015		2		145,180		1,370
Swiss Franc Fx Currency Futures - CME, expires December 2015		2		257,050		1,163
Wheat Futures - CBT, December 2015		10		256,375		(1,475	)
Sugar #11 Futures - CBT, expires March 2016		18		259,661		(12,163	)

					$	83,101

††	Cash collateral in the amount of $320,529 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

See accompanying notes to financial statements.

PROSHARES MANAGED FUTURES STRATEGY*

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


	Three months ended September 30, 2015			Nine months ended September 30, 2015
Investment Income
Interest	$	—		$	—

Expenses
Brokerage commissions and fees		2,206			5,724
Offering costs		16,581			49,203
Limitation by Sponsor		—			(1,539	)
Reduction in Limitation by Sponsor		485			—

Total expenses		19,272			53,388

Net investment income (loss)		(19,272	)		(53,388	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(180,345	)		(262,050	)

Net realized gain (loss)		(180,345	)		(262,050	)

Change in net unrealized appreciation/depreciation on
Futures contracts		208,302			(1,145	)

Change in net unrealized appreciation/depreciation		208,302			(1,145	)

Net realized and unrealized gain (loss)		27,957			(263,195	)

Net income (loss)	$	8,685		$	(316,583	)

Net income (loss) per weighted-average share	$	0.02		$	(0.78	)

Weighted-average shares outstanding		440,771			406,054

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

See accompanying notes to financial statements.

PROSHARES MANAGED FUTURES STRATEGY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 400,000 shares		8,428,831
Redemption of 250,000 shares		(5,189,670	)

Net addition (redemption) of 150,000 shares		3,239,161

Net investment income (loss)		(53,388	)
Net realized gain (loss)		(262,050	)
Change in net unrealized appreciation/depreciation		(1,145	)

Net income (loss)		(316,583	)

Shareholders’ equity, at September 30, 2015	$	9,263,423

See accompanying notes to financial statements.

PROSHARES MANAGED FUTURES STRATEGY*

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


	Nine months ended September 30, 2015
Cash flow from operating activities
Net income (loss)	$	(316,583	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(125,387	)
Decrease (Increase) in receivable on futures contracts		17,445
Decrease (Increase) in Limitation by Sponsor		(1,539	)
Change in offering cost		49,203
Increase (Decrease) in brokerage commissions and fees payable		197
Increase (Decrease) in payable on futures contracts		65,388

Net cash provided by (used in) operating activities		(311,276	)

Cash flow from financing activities
Proceeds from addition of shares		7,399,578
Payment on shares redeemed		(5,189,670	)

Net cash provided by (used in) financing activities		2,209,908

Net increase (decrease) in cash		1,898,632
Cash, beginning of period		6,135,185

Cash, end of period	$	8,033,817

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

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	2,810,592	$	1,694,791
Segregated cash balances with brokers for futures contracts		22,941,825		18,439,750
Short-term U.S. government and agency obligations (Note 3) (cost $88,528,469 and $82,086,464, respectively)		88,533,608		82,088,299
Receivable on open futures contracts		—		9,317,236

Total assets		114,286,025		111,540,076

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		3,161,690		—
Management fee payable		177,957		80,751

Total liabilities		3,339,647		80,751

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		110,946,378		111,459,325

Total liabilities and shareholders’ equity	$	114,286,025	$	111,540,076

Shares outstanding		6,424,812		5,324,812

Net asset value per share	$	17.27	$	20.93

Market value per share (Note 2)	$	17.08	$	20.99

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(80% of shareholders’ equity)
U.S. Treasury Bills:
0.005% due 10/01/15	$	5,602,000	$	5,602,002
0.015% due 10/08/15		9,642,000		9,642,018
0.007% due 11/05/15		8,325,000		8,325,122
0.010% due 11/19/15		4,211,000		4,211,057
0.046% due 12/03/15		2,650,000		2,649,977
0.029% due 12/17/15		19,182,000		19,182,411
0.087% due 01/07/16		5,167,000		5,166,789
0.165% due 01/28/16		8,658,000		8,657,428
0.000% due 02/04/16†		25,099,000		25,096,804

Total short-term U.S. government and agency obligations (cost $88,528,469)			$	88,533,608


Futures Contracts Purchased††
	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires October 2015		2,745	$	63,203,625	$	(983,516	)
VIX Futures - CBOE, expires November 2015		2,144		47,436,000		2,138,199

					$	1,154,683

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

††	Cash collateral in the amount of $22,941,825 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	9,963		$	6,363		$	31,098		$	40,577

Expenses
Management fee		279,410			235,234			839,732			849,283
Brokerage commissions and fees		49,114			24,499			115,986			24,499

Total expenses		328,524			259,733			955,718			873,782

Net investment income (loss)		(318,561	)		(253,370	)		(924,620	)		(833,205	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		63,980,150			(2,990,117	)		3,412,234			(28,437,457	)
Short-term U.S. government and agency obligations		(1,235	)		2,249			1,928			13,481

Net realized gain (loss)		63,978,915			(2,987,868	)		3,414,162			(28,423,976	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(12,755,774	)		19,045,502			(5,109,937	)		29,084,702
Short-term U.S. government and agency obligations		2,804			(2,706	)		3,304			(9,819	)

Change in net unrealized appreciation/depreciation		(12,752,970	)		19,042,796			(5,106,633	)		29,074,883

Net realized and unrealized gain (loss)		51,225,945			16,054,928			(1,692,471	)		650,907

Net income (loss)	$	50,907,384		$	15,801,558		$	(2,617,091	)	$	(182,298	)

Net income (loss) per weighted-average share	$	5.15		$	2.77		$	(0.29	)	$	(0.03	)

Weighted-average shares outstanding		9,892,475			5,708,779			8,981,039			5,489,922

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 10,550,000 shares		162,408,538
Redemption of 9,450,000 shares		(160,304,394	)

Net addition (redemption) of 1,100,000 shares		2,104,144

Net investment income (loss)		(924,620	)
Net realized gain (loss)		3,414,162
Change in net unrealized appreciation/depreciation		(5,106,633	)

Net income (loss)		(2,617,091	)

Shareholders’ equity, at September 30, 2015	$	110,946,378

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	(2,617,091	)	$	(182,298	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(4,502,075	)		41,059,850
Purchases of short-term U.S. government and agency obligations		(528,217,602	)		(479,040,234	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		521,808,025			574,519,760
Net amortization and accretion on short-term U.S. government and agency obligations		(30,500	)		(40,577	)
Net realized gain (loss) on investments		(1,928	)		(13,481	)
Change in unrealized appreciation/depreciation on investments		(3,304	)		9,819
Decrease (Increase) in receivable on futures contracts		9,317,236			2,650,305
Increase (Decrease) in management fee payable		97,206			(124,888	)
Increase (Decrease) in payable on futures contracts		3,161,690			—

Net cash provided by (used in) operating activities		(988,343	)		138,838,256

Cash flow from financing activities
Proceeds from addition of shares		162,408,538			163,742,094
Payment on shares redeemed		(160,304,394	)		(304,586,016	)

Net cash provided by (used in) financing activities		2,104,144			(140,843,922	)

Net increase (decrease) in cash		1,115,801			(2,005,666	)
Cash, beginning of period		1,694,791			4,333,752

Cash, end of period	$	2,810,592		$	2,328,086

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	2,325,502	$	1,634,082
Segregated cash balances with brokers for futures contracts		3,956,460		1,906,950
Short-term U.S. government and agency obligations (Note 3) (cost $25,285,451 and $24,104,754, respectively)		25,286,238		24,105,906
Receivable on open futures contracts		—		1,783,328

Total assets		31,568,200		29,430,266

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		7,947,955
Payable on open futures contracts		416,446		—
Management fee payable		40,439		22,736

Total liabilities		456,885		7,970,691

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		31,111,315		21,459,575

Total liabilities and shareholders’ equity	$	31,568,200	$	29,430,266

Shares outstanding		487,404		337,404

Net asset value per share	$	63.83	$	63.60

Market value per share (Note 2)	$	63.44	$	63.89

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(81% of shareholders’ equity)
U.S. Treasury Bills:
0.018% due 10/08/15	$	6,899,000$		6,899,013
0.012% due 11/05/15		8,175,000		8,175,119
0.019% due 12/03/15		6,128,000		6,127,947
0.029% due 12/10/15		4,084,000		4,084,159

Total short-term U.S. government and agency obligations (cost $25,285,451)			$	25,286,238

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires January 2016		262	$	5,757,450	$	1,007,235
VIX Futures - CBOE, expires February 2016		468		10,377,900		2,023,635
VIX Futures - CBOE, expires March 2016		468		10,377,900		252,010
VIX Futures - CBOE, expires April 2016		205		4,597,125		177,125

					$	3,460,005

††	Cash collateral in the amount of $3,956,460 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	1,084		$	3,406		$	5,960		$	13,659

Expenses
Management fee		58,899			92,676			173,165			310,124
Brokerage commissions and fees		1,686			2,966			13,649			2,966

Total expenses		60,585			95,642			186,814			313,090

Net investment income (loss)		(59,501	)		(92,236	)		(180,854	)		(299,431	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		631,983			(4,036,079	)		(2,291,385	)		(16,100,400	)
Short-term U.S. government and agency obligations		22			55			1,330			1,772

Net realized gain (loss)		632,005			(4,036,024	)		(2,290,055	)		(16,098,628	)

Change in net unrealized appreciation/depreciation on
Futures contracts		3,760,350			5,996,790			3,199,340			7,398,429
Short-term U.S. government and agency obligations		594			655			(365	)		(106	)

Change in net unrealized appreciation/depreciation		3,760,944			5,997,445			3,198,975			7,398,323

Net realized and unrealized gain (loss)		4,392,949			1,961,421			908,920			(8,700,305	)

Net income (loss)	$	4,333,448		$	1,869,185		$	728,066		$	(8,999,736	)

Net income (loss) per weighted-average share	$	8.89		$	2.62		$	1.56		$	(12.71	)

Weighted-average shares outstanding		487,404			712,365			465,243			708,312

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

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

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

Net investment income (loss)		(180,854	)
Net realized gain (loss)		(2,290,055	)
Change in net unrealized appreciation/depreciation		3,198,975

Net income (loss)		728,066

Shareholders’ equity, at September 30, 2015	$	31,111,315

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	728,066		$	(8,999,736	)
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		(2,049,510	)		4,521,490
Purchases of short-term U.S. government and agency obligations		(69,593,419	)		(116,375,672	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		68,420,012			124,708,345
Net amortization and accretion on short-term U.S. government and agency obligations		(5,960	)		(13,660	)
Net realized gain (loss) on investments		(1,330	)		(1,772	)
Change in unrealized appreciation/depreciation on investments		365			106
Decrease (Increase) in receivable on futures contracts		1,783,328			(167,457	)
Increase (Decrease) in management fee payable		17,703			(15,384	)
Increase (Decrease) in payable on futures contracts		416,446			—

Net cash provided by (used in) operating activities		(284,299	)		3,656,260

Cash flow from financing activities
Proceeds from addition of shares		17,870,189			40,985,669
Payment on shares redeemed		(16,894,470	)		(42,828,453	)

Net cash provided by (used in) financing activities		975,719			(1,842,784	)

Net increase (decrease) in cash		691,420			1,813,476
Cash, beginning of period		1,634,082			1,906,397

Cash, end of period	$	2,325,502		$	3,719,873

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	1,551,738	$	9,122,219
Segregated cash balances with brokers for futures contracts		7,780,110		85,244,950
Short-term U.S. government and agency obligations (Note 3) (cost $606,101,455 and $446,972,637, respectively)		606,156,790		446,975,220
Receivable on open futures contracts		15,025,925		—

Total assets		630,514,563		541,342,389

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		3,358,781
Payable on open futures contracts		—		31,020,019
Management fee payable		727,172		407,465

Total liabilities		727,172		34,786,265

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		629,787,391		506,556,124

Total liabilities and shareholders’ equity	$	630,514,563	$	541,342,389

Shares outstanding		13,350,040		8,250,040

Net asset value per share	$	47.17	$	61.40

Market value per share (Note 2)	$	47.64	$	61.16

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(96% of shareholders’ equity)
U.S. Treasury Bills:
0.022% due 10/01/15	$	34,756,000	$	34,756,014
0.015% due 10/08/15		7,655,000		7,655,015
0.007% due 11/05/15		42,975,000		42,975,627
0.003% due 11/12/15		22,027,000		22,027,258
0.031% due 11/19/15		11,605,000		11,605,158
0.021% due 11/27/15		21,136,000		21,135,833
0.022% due 12/03/15†		178,415,000		178,413,448
0.031% due 12/10/15		2,000,000		2,000,078
0.035% due 12/17/15		71,174,000		71,175,523
0.086% due 01/07/16†		146,376,000		146,370,028
0.100% due 01/14/16		17,220,000		17,219,247
0.000% due 01/21/16		4,000,000		3,999,751
0.165% due 01/28/16†		22,342,000		22,340,523
0.005% due 02/11/16†		24,486,000		24,483,287

Total short-term U.S. government and agency obligations (cost $606,101,455)			$	606,156,790

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires October 2015		15,656	$	360,479,400	$	(46,371,878	)
VIX Futures - CBOE, expires November 2015		12,319		272,557,875		(15,510,614	)

					$	(61,882,492	)

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

††	Cash collateral in the amount of $7,780,110 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	34,056		$	16,267		$	78,709		$	60,496

Expenses
Management fee		939,029			620,236			2,522,692			1,610,858
Brokerage commissions and fees		470,319			385,191			1,263,889			949,948

Total expenses		1,409,348			1,005,427			3,786,581			2,560,806

Net investment income (loss)		(1,375,292	)		(989,160	)		(3,707,872	)		(2,500,310	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(74,068,147	)		18,146,923			35,780,248			94,414,974
Short-term U.S. government and agency obligations		(8,165	)		7,571			22,472			17,530

Net realized gain (loss)		(74,076,312	)		18,154,494			35,802,720			94,432,504

Change in net unrealized appreciation/depreciation on
Futures contracts		(45,302,831	)		(33,969,073	)		(45,530,343	)		(33,165,401	)
Short-term U.S. government and agency obligations		54,041			(2,468	)		52,752			(6,489	)

Change in net unrealized appreciation/depreciation		(45,248,790	)		(33,971,541	)		(45,477,591	)		(33,171,890	)

Net realized and unrealized gain (loss)		(119,325,102	)		(15,817,047	)		(9,674,871	)		61,260,614

Net income (loss)	$	(120,700,394	)	$	(16,806,207	)	$	(13,382,743	)	$	58,760,304

Net income (loss) per weighted-average share	$	(18.06	)	$	(5.40	)	$	(2.37	)	$	18.53

Weighted-average shares outstanding		6,682,105			3,109,823			5,658,282			3,171,835

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 18,700,000 shares		1,145,778,404
Redemption of 13,600,000 shares		(1,009,164,394	)

Net addition (redemption) of 5,100,000 shares		136,614,010

Net investment income (loss)		(3,707,872	)
Net realized gain (loss)		35,802,720
Change in net unrealized appreciation/depreciation		(45,477,591	)

Net income (loss)		(13,382,743	)

Shareholders’ equity, at September 30, 2015	$	629,787,391

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	(13,382,743	)	$	58,760,304
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		77,464,840			(17,547,100	)
Purchases of short-term U.S. government and agency obligations		(1,564,085,870	)		(901,478,771	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,405,058,217			779,926,160
Net amortization and accretion on short-term U.S. government and agency obligations		(78,693	)		(60,496	)
Net realized gain (loss) on investments		(22,472	)		(17,530	)
Change in unrealized appreciation/depreciation on investments		(52,752	)		6,489
Decrease (Increase) in receivable on futures contracts		(15,025,925	)		603,833
Increase (Decrease) in management fee payable		319,707			86,086
Increase (Decrease) in payable on futures contracts		(31,020,019	)		5,914,427

Net cash provided by (used in) operating activities		(140,825,710	)		(73,806,598	)

Cash flow from financing activities
Proceeds from addition of shares		1,145,778,404			561,896,894
Payment on shares redeemed		(1,012,523,175	)		(485,606,100	)

Net cash provided by (used in) financing activities		133,255,229			76,290,794

Net increase (decrease) in cash		(7,570,481	)		2,484,196
Cash, beginning of period		9,122,219			2,153,370

Cash, end of period	$	1,551,738		$	4,637,566

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	6,498,142	$	3,737,292
Segregated cash balances with brokers for futures contracts		139,495,985		116,907,700
Short-term U.S. government and agency obligations (Note 3) (cost $192,250,659 and $182,641,263, respectively)		192,258,925		182,639,188
Receivable from capital shares sold		34,340,224		12,549,248
Receivable on open futures contracts		—		42,531,441

Total assets		372,593,276		358,364,869

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		9,268,277		6,272,056
Payable on open futures contracts		27,913,959		—
Management fee payable		527,242		302,860

Total liabilities		37,709,478		6,574,916

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		334,883,798		351,789,953

Total liabilities and shareholders’ equity	$	372,593,276	$	358,364,869

Shares outstanding (Note 1)		5,852,448		2,804,020

Net asset value per share (Note 1)	$	57.22	$	125.46

Market value per share (Note 1) (Note 2)	$	55.96	$	125.75

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(57% of shareholders’ equity)
U.S. Treasury Bills:
0.036% due 10/01/15	$	5,848,000	$	5,848,002
0.034% due 11/19/15		5,756,000		5,756,078
0.025% due 11/27/15		31,687,000		31,686,750
0.035% due 12/03/15		51,110,000		51,109,555
0.032% due 12/10/15		59,231,000		59,233,304
0.000% due 01/07/16		1,000,000		999,959
0.000% due 01/14/16		33,309,000		33,307,545
0.000% due 01/21/16†		4,318,000		4,317,732

Total short-term U.S. government and agency obligations (cost $192,250,659)			$	192,258,925


Futures Contracts Purchased††
	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires October 2015		16,536	$	380,741,400	$	11,812,897
VIX Futures - CBOE, expires November 2015		12,983		287,248,875		13,031,078

					$	24,843,975

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

††	Cash collateral in the amount of $139,495,985 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30,			Three months ended September 30,			Nine months ended September 30,			Nine months ended September 30,
	2015			2014			2015			2014
Investment Income
Interest	$	22,679		$	13,610		$	87,173		$	55,542

Expenses
Management fee		807,006			689,515			3,205,706			2,064,694
Brokerage commissions and fees		660,215			632,234			2,378,733			1,802,162

Total expenses		1,467,221			1,321,749			5,584,439			3,866,856

Net investment income (loss)		(1,444,542	)		(1,308,139	)		(5,497,266	)		(3,811,314	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		245,646,935			(4,719,200	)		(291,236,149	)		(255,442,487	)
Short-term U.S. government and agency obligations		15,079			9,696			31,578			23,760

Net realized gain (loss)		245,662,014			(4,709,504	)		(291,204,571	)		(255,418,727	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(63,658,535	)		89,185,433			(14,741,278	)		72,661,998
Short-term U.S. government and agency obligations		(610	)		(5,896	)		10,341			(9,852	)

Change in net unrealized appreciation/depreciation		(63,659,145	)		89,179,537			(14,730,937	)		72,652,146

Net realized and unrealized gain (loss)		182,002,869			84,470,033			(305,935,508	)		(182,766,581	)

Net income (loss)	$	180,558,327		$	83,161,894		$	(311,432,774	)	$	(186,577,895	)

Net income (loss) per weighted-average share (Note 1)	$	20.73		$	37.37		$	(37.56	)	$	(122.34	)

Weighted-average shares outstanding (Note 1)		8,711,687			2,225,650			8,290,985			1,525,122

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 44,780,000 shares (Note 1)		2,389,833,953
Redemption of 41,731,572 shares (Note 1)		(2,095,307,334	)

Net addition (redemption) of 3,048,428 shares (Note 1)		294,526,619

Net investment income (loss)		(5,497,266	)
Net realized gain (loss)		(291,204,571	)
Change in net unrealized appreciation/depreciation		(14,730,937	)

Net income (loss)		(311,432,774	)

Shareholders’ equity, at September 30, 2015	$	334,883,798

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	(311,432,774	)	$	(186,577,895	)
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		(22,588,285	)		22,380,250
Purchases of short-term U.S. government and agency obligations		(2,605,845,186	)		(1,596,272,347	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		2,596,354,541			1,490,909,573
Net amortization and accretion on short-term U.S. government and agency obligations		(87,173	)		(55,542	)
Net realized gain (loss) on investments		(31,578	)		(23,760	)
Change in unrealized appreciation/depreciation on investments		(10,341	)		9,852
Decrease (Increase) in receivable on futures contracts		42,531,441			(11,373,242	)
Increase (Decrease) in management fee payable		224,382			67,490
Increase (Decrease) in payable on futures contracts		27,913,959			(3,356,803	)

Net cash provided by (used in) operating activities		(272,971,014	)		(284,292,424	)

Cash flow from financing activities
Proceeds from addition of shares		2,368,042,977			1,048,727,703
Payment on shares redeemed		(2,092,311,113	)		(762,292,545	)

Net cash provided by (used in) financing activities		275,731,864			286,435,158

Net increase (decrease) in cash		2,760,850			2,142,734
Cash, beginning of period		3,737,292			2,240,977

Cash, end of period	$	6,498,142		$	4,383,711

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	673,915	$	467,766
Short-term U.S. government and agency obligations (Note 3) (cost $6,062,754 and $4,233,396, respectively)		6,062,965		4,233,548
Unrealized appreciation on swap agreements		210,073		567,259

Total assets		6,946,953		5,268,573

Liabilities and shareholders’ equity
Liabilities
Management fee payable		10,805		3,867

Total liabilities		10,805		3,867

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		6,936,148		5,264,706

Total liabilities and shareholders’ equity	$	6,946,953	$	5,268,573

Shares outstanding		59,997		59,997

Net asset value per share	$	115.61	$	87.75

Market value per share (Note 2)	$	114.58	$	87.44

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(87% of shareholders’ equity)
U.S. Treasury Bills:
0.012% due 11/05/15†	$	946,000	$	946,014
0.035% due 11/19/15†		2,268,000		2,268,031
0.040% due 12/03/15†		1,816,000		1,815,984
0.000% due 01/21/16†		1,033,000		1,032,936

Total short-term U.S. government and agency obligations (cost $6,062,754)			$	6,062,965


Swap Agreements^
	Rate Paid (Received)*			Termination Date	Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index		0.25	%	10/06/15	$	(5,121,176	)	$	80,000
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index		0.25		10/06/15		(5,231,008	)		94,573
Swap agreement with UBS AG based on Bloomberg Commodity Index		0.60		10/06/15		(3,530,230	)		35,500

								$	210,073

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

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

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

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	407		$	295		$	1,403		$	947

Expenses
Management fee		15,461			8,827			41,048			24,737

Total expenses		15,461			8,827			41,048			24,737

Net investment income (loss)		(15,054	)		(8,532	)		(39,645	)		(23,790	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		1,287,180			502,112			2,068,198			(3,522	)
Short-term U.S. government and agency obligations		—			3			16			3

Net realized gain (loss)		1,287,180			502,115			2,068,214			(3,519	)

Change in net unrealized appreciation/depreciation on
Swap agreements		447,645			401,110			(357,186	)		379,056
Short-term U.S. government and agency obligations		177			75			59			10

Change in net unrealized appreciation/depreciation		447,822			401,185			(357,127	)		379,066

Net realized and unrealized gain (loss)		1,735,002			903,300			1,711,087			375,547

Net income (loss)	$	1,719,948		$	894,768		$	1,671,442		$	351,757

Net income (loss) per weighted-average share	$	28.67		$	14.91		$	27.86		$	5.86

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Net investment income (loss)		(39,645	)
Net realized gain (loss)		2,068,214
Change in net unrealized appreciation/depreciation		(357,127	)

Net income (loss)		1,671,442

Shareholders’ equity, at September 30, 2015	$	6,936,148

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	1,671,442		$	351,757
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		(10,085,938	)		(5,960,014	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		8,257,999			6,192,931
Net amortization and accretion on short-term U.S. government and agency obligations		(1,403	)		(947	)
Net realized gain (loss) on investments		(16	)		(3	)
Change in unrealized appreciation/depreciation on investments		357,127			(379,066	)
Increase (Decrease) in management fee payable		6,938			40

Net cash provided by (used in) operating activities		206,149			204,698

Net increase (decrease) in cash		206,149			204,698
Cash, beginning of period		467,766			374,245

Cash, end of period	$	673,915		$	578,943

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	1,695,481	$	994,268
Segregated cash balances with brokers for futures contracts		11,545,833		12,292,665
Short-term U.S. government and agency obligations (Note 3) (cost $131,359,782 and $131,592,367, respectively)		131,365,647		131,594,608
Unrealized appreciation on swap agreements		1,302,556		27,018,077
Receivable on open futures contracts		524,449		1,293,531

Total assets		146,433,966		173,193,149

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		4,374,713		3,854,654
Brokerage commissions and fees payable		9,507		—
Management fee payable		266,191		128,385
Unrealized depreciation on swap agreements		9,102		—

Total liabilities		4,659,513		3,983,039

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		141,774,453		169,210,110

Total liabilities and shareholders’ equity	$	146,433,966	$	173,193,149

Shares outstanding		1,619,944		2,169,944

Net asset value per share	$	87.52	$	77.98

Market value per share (Note 2)	$	86.17	$	76.52

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(93% of shareholders’ equity)
U.S. Treasury Bills:
0.011% due 10/01/15	$	22,467,000	$	22,467,009
0.030% due 10/08/15		8,497,000		8,497,016
0.035% due 11/19/15†		11,725,000		11,725,159
0.025% due 11/27/15†		8,854,000		8,853,930
0.027% due 12/03/15†		14,259,000		14,258,876
0.027% due 12/10/15†		45,655,000		45,656,776
0.080% due 01/07/16†		5,566,000		5,565,773
0.000% due 01/21/16†		14,342,000		14,341,108

Total short-term U.S. government and agency obligations (cost $131,359,782)			$	131,365,647

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil Futures - NYMEX, expires November 2015		2,842	$	128,145,780	$	(4,109,687	)

Swap Agreements^


	Rate Paid (Received)*			Termination Date	Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Subindex		0.25	%	10/06/15	$	(43,305,552	)	$	587,462
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25		10/06/15		(38,460,578	)		127,029
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25		10/06/15		(17,760,098	)		588,065
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25		10/06/15		(55,882,943	)		(9,102	)

								$	1,293,454

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

††	Cash collateral in the amount of $11,545,833 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

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

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

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	9,198		$	24,612		$	45,693		$	100,900

Expenses
Management fee		409,809			648,492			1,681,411			2,113,748
Brokerage commissions and fees		62,572			15,423			187,715			55,085

Total expenses		472,381			663,915			1,869,126			2,168,833

Net investment income (loss)		(463,183	)		(639,303	)		(1,823,433	)		(2,067,933	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		47,450,674			18,002,176			26,325,398			(5,265,003	)
Swap agreements		39,168,833			24,547,568			21,238,753			3,969,738
Short-term U.S. government and agency obligations		(127	)		6,685			15,363			17,002

Net realized gain (loss)		86,619,380			42,556,429			47,579,514			(1,278,263	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(8,337,913	)		11,667,166			(19,916,290	)		7,731,298
Swap agreements		7,739,772			17,442,092			(25,724,623	)		3,669,840
Short-term U.S. government and agency obligations		4,716			(1,209	)		3,624			(9,845	)

Change in net unrealized appreciation/depreciation		(593,425	)		29,108,049			(45,637,289	)		11,391,293

Net realized and unrealized gain (loss)		86,025,955			71,664,478			1,942,225			10,113,030

Net income (loss)	$	85,562,772		$	71,025,175		$	118,792		$	8,045,097

Net income (loss) per weighted-average share	$	42.91		$	7.27		$	0.04		$	0.76

Weighted-average shares outstanding		1,993,857			9,770,487			3,256,574			10,591,189

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 10,200,000 shares		746,302,283
Redemption of 10,750,000 shares		(773,856,732	)

Net addition (redemption) of (550,000) shares		(27,554,449	)

Net investment income (loss)		(1,823,433	)
Net realized gain (loss)		47,579,514
Change in net unrealized appreciation/depreciation		(45,637,289	)

Net income (loss)		118,792

Shareholders’ equity, at September 30, 2015	$	141,774,453

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	118,792		$	8,045,097
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		746,832			2,183,445
Purchases of short-term U.S. government and agency obligations		(1,101,916,734	)		(911,432,536	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,102,210,375			976,344,891
Net amortization and accretion on short-term U.S. government and agency obligations		(45,693	)		(100,901	)
Net realized gain (loss) on investments		(15,363	)		(17,002	)
Change in unrealized appreciation/depreciation on investments		25,720,999			(3,659,995	)
Decrease (Increase) in receivable on futures contracts		769,082			(3,847,499	)
Increase (Decrease) in management fee payable		137,806			(42,973	)
Increase (Decrease) in brokerage commissions and fees payable		9,507			—

Net cash provided by (used in) operating activities		27,735,603			67,472,527

Cash flow from financing activities
Proceeds from addition of shares		746,302,283			421,186,839
Payment on shares redeemed		(773,336,673	)		(489,152,022	)

Net cash provided by (used in) financing activities		(27,034,390	)		(67,965,183	)

Net increase (decrease) in cash		701,213			(492,656	)
Cash, beginning of period		994,268			1,872,915

Cash, end of period	$	1,695,481		$	1,380,259

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	458,001	$	696,743
Segregated cash balances with brokers for futures contracts		2,116,400		4,405,830
Short-term U.S. government and agency obligations (Note 3) (cost $9,168,763 and $8,672,527, respectively)		9,169,710		8,672,710
Receivable on open futures contracts		410,132		923,531

Total assets		12,154,243		14,698,814

Liabilities and shareholders’ equity
Liabilities
Brokerage commissions and fees payable		1,022		—
Management fee payable		16,116		10,250

Total liabilities		17,138		10,250

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		12,137,105		14,688,564

Total liabilities and shareholders’ equity	$	12,154,243	$	14,698,814

Shares outstanding		124,952		174,952

Net asset value per share	$	97.13	$	83.96

Market value per share (Note 2)	$	96.84	$	82.03

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(76% of shareholders’ equity)
U.S. Treasury Bills:
0.034% due 11/19/15	$	1,270,000	$	1,270,017
0.025% due 12/03/15		2,737,000		2,736,976
0.107% due 01/07/16		3,609,000		3,608,853
0.002% due 02/04/16		1,554,000		1,553,864

Total short-term U.S. government and agency obligations (cost $9,168,763)			$	9,169,710

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, expires November 2015		962	$	24,280,880	$	2,413,924

††	Cash collateral in the amount of $2,116,400 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	880		$	2,392		$	2,460		$	15,332

Expenses
Management fee		26,131			73,623			83,818			352,678
Brokerage commissions and fees		12,059			14,788			45,601			76,540

Total expenses		38,190			88,411			129,419			429,218

Net investment income (loss)		(37,310	)		(86,019	)		(126,959	)		(413,886	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		1,310,886			13,918,036			6,412,527			2,732,493
Short-term U.S. government and agency obligations		(246	)		752			343			5,189

Net realized gain (loss)		1,310,640			13,918,788			6,412,870			2,737,682

Change in net unrealized appreciation/depreciation on
Futures contracts		2,386,865			(4,337,530	)		(1,527,541	)		(2,911,986	)
Short-term U.S. government and agency obligations		878			519			764			(18	)

Change in net unrealized appreciation/depreciation		2,387,743			(4,337,011	)		(1,526,777	)		(2,912,004	)

Net realized and unrealized gain (loss)		3,698,383			9,581,777			4,886,093			(174,322	)

Net income (loss)	$	3,661,073		$	9,495,758		$	4,759,134		$	(588,208	)

Net income (loss) per weighted-average share	$	26.43		$	15.21		$	32.19		$	(0.51	)

Weighted-average shares outstanding		138,538			624,408			147,845			1,154,439

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 400,000 shares		29,451,129
Redemption of 450,000 shares		(36,761,722	)

Net addition (redemption) of (50,000) shares		(7,310,593	)

Net investment income (loss)		(126,959	)
Net realized gain (loss)		6,412,870
Change in net unrealized appreciation/depreciation		(1,526,777	)

Net income (loss)		4,759,134

Shareholders’ equity, at September 30, 2015	$	12,137,105

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	4,759,134		$	(588,208	)
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		2,289,430			(462,055	)
Purchases of short-term U.S. government and agency obligations		(44,546,196	)		(175,364,652	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		44,052,763			177,546,387
Net amortization and accretion on short-term U.S. government and agency obligations		(2,460	)		(15,332	)
Net realized gain (loss) on investments		(343	)		(5,189	)
Change in unrealized appreciation/depreciation on investments		(764	)		18
Decrease (Increase) in receivable on futures contracts		513,399			1,278,350
Increase (Decrease) in management fee payable		5,866			7,161
Increase (Decrease) in brokerage commissions and fees payable		1,022			—

Net cash provided by (used in) operating activities		7,071,851			2,396,480

Cash flow from financing activities
Proceeds from addition of shares		29,451,129			100,908,495
Payment on shares redeemed		(36,761,722	)		(103,372,034	)

Net cash provided by (used in) financing activities		(7,310,593	)		(2,463,539	)

Net increase (decrease) in cash		(238,742	)		(67,059	)
Cash, beginning of period		696,743			564,647

Cash, end of period	$	458,001		$	497,588

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	153,183	$	162,434
Segregated cash balances with brokers for futures contracts		8,250		8,800
Short-term U.S. government and agency obligations (Note 3) (cost $74,156,465 and $84,038,905, respectively)		74,161,976		84,040,107
Unrealized appreciation on forward agreements		368,112		—
Receivable on open futures contracts		2,320		3,260

Total assets		74,693,841		84,214,601

Liabilities and shareholders’ equity
Liabilities
Management fee payable		125,461		70,061
Unrealized depreciation on forward agreements		—		2,282,778

Total liabilities		125,461		2,352,839

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		74,568,380		81,861,762

Total liabilities and shareholders’ equity	$	74,693,841	$	84,214,601

Shares outstanding		696,978		846,978

Net asset value per share	$	106.99	$	96.65

Market value per share (Note 2)	$	106.63	$	100.22

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(99% of shareholders’ equity)
U.S. Treasury Bills:
0.016% due 10/01/15	$	16,090,000	$	16,090,006
0.019% due 11/19/15†		34,301,000		34,301,467
0.021% due 11/27/15†		4,869,000		4,868,962
0.025% due 12/03/15†		5,190,000		5,189,955
0.020% due 12/17/15†		2,342,000		2,342,050
0.135% due 01/07/16†		11,370,000		11,369,536

Total short-term U.S. government and agency obligations (cost $74,156,465)			$	74,161,976


Futures Contracts Sold††
	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires December 2015		2	$	223,040	$	8,640


Forward Agreements^
	Rate Paid (Received)*			Settlement Date	Commitment to (Deliver)/Receive			Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold		0.20	%	10/06/15	$	(56,300	)	$	(62,719,326	)	$	47,487
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		0.40		10/06/15		(32,998	)		(36,759,772	)		148,845
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		0.54		10/06/15		(14,000	)		(15,595,860	)		93,204
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		0.44		10/06/15		(30,350	)		(33,809,597	)		78,576

											$	368,112

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

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

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

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

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	7,442		$	7,015		$	22,233		$	34,960

Expenses
Management fee		189,154			192,878			557,050			689,861
Brokerage commissions and fees		8			8			33			32

Total expenses		189,162			192,886			557,083			689,893

Net investment income (loss)		(181,720	)		(185,871	)		(534,850	)		(654,933	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		13,430			(1,900	)		1,430			(6,330	)
Forward agreements		5,615,480			(4,374,364	)		7,020,481			(12,644,226	)
Short-term U.S. government and agency obligations		3,107			843			2,683			3,054

Net realized gain (loss)		5,632,017			(4,375,421	)		7,024,594			(12,647,502	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(1,730	)		24,240			13,160			4,880
Forward agreements		365,084			16,186,588			2,650,890			(29,973	)
Short-term U.S. government and agency obligations		4,194			(2,534	)		4,309			(191	)

Change in net unrealized appreciation/depreciation		367,548			16,208,294			2,668,359			(25,284	)

Net realized and unrealized gain (loss)		5,999,565			11,832,873			9,692,953			(12,672,786	)

Net income (loss)	$	5,817,845		$	11,647,002		$	9,158,103		$	(13,327,719	)

Net income (loss) per weighted-average share	$	7.83		$	12.68		$	11.51		$	(12.16	)

Weighted-average shares outstanding		743,173			918,717			795,512			1,096,428

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 100,000 shares		8,523,330
Redemption of 250,000 shares		(24,974,815	)

Net addition (redemption) of (150,000) shares		(16,451,485	)

Net investment income (loss)		(534,850	)
Net realized gain (loss)		7,024,594
Change in net unrealized appreciation/depreciation		2,668,359

Net income (loss)		9,158,103

Shareholders’ equity, at September 30, 2015	$	74,568,380

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	9,158,103		$	(13,327,719	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		550			5,830
Purchases of short-term U.S. government and agency obligations		(186,963,206	)		(243,633,915	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		196,870,562			316,269,405
Net amortization and accretion on short-term U.S. government and agency obligations		(22,233	)		(34,931	)
Net realized gain (loss) on investments		(2,683	)		(3,054	)
Change in unrealized appreciation/depreciation on investments		(2,655,199	)		30,164
Decrease (Increase) in receivable on futures contracts		940			(460	)
Increase (Decrease) in management fee payable		55,400			(60,914	)

Net cash provided by (used in) operating activities		16,442,234			59,244,406

Cash flow from financing activities
Proceeds from addition of shares		8,523,330			41,642,791
Payment on shares redeemed		(24,974,815	)		(100,930,623	)

Net cash provided by (used in) financing activities		(16,451,485	)		(59,287,832	)

Net increase (decrease) in cash		(9,251	)		(43,426	)
Cash, beginning of period		162,434			197,647

Cash, end of period	$	153,183		$	154,221

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	224,083	$	207,506
Segregated cash balances with brokers for futures contracts		13,200		14,300
Short-term U.S. government and agency obligations (Note 3) (cost $55,411,040 and $52,225,712, respectively)		55,416,227		52,226,692
Unrealized appreciation on forward agreements		—		799,523
Receivable on open futures contracts		200		6,770

Total assets		55,653,710		53,254,791

Liabilities and shareholders’ equity
Liabilities
Management fee payable		85,289		42,354
Unrealized depreciation on forward agreements		523,519		204,570

Total liabilities		608,808		246,924

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		55,044,902		53,007,867

Total liabilities and shareholders’ equity	$	55,653,710	$	53,254,791

Shares outstanding		458,489		458,489

Net asset value per share	$	120.06	$	115.61

Market value per share (Note 2)	$	122.16	$	119.39

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(101% of shareholders’ equity)
U.S. Treasury Bills:
0.011% due 10/01/15	$	4,000,000	$	4,000,002
0.026% due 10/08/15		2,121,000		2,121,004
0.019% due 11/19/15†		5,424,000		5,424,074
0.021% due 11/27/15†		2,282,000		2,281,982
0.022% due 12/03/15†		14,849,000		14,848,871
0.028% due 12/10/15†		15,207,000		15,207,591
0.020% due 12/17/15†		2,789,000		2,789,060
0.135% due 01/07/16†		8,744,000		8,743,643

Total short-term U.S. government and agency obligations (cost $55,411,040)			$	55,416,227

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires December 2015		2	$	145,180	$	8,720

Forward Agreements^


	Rate Paid (Received)*			Settlement Date	Commitment to (Deliver)/Receive			Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver		(0.28	%)	10/06/15	$	(3,020,000	)	$	(44,247,228	)	$	(81,990	)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		0.00		10/06/15		(1,865,500	)		(27,331,441	)		(356,851	)
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		0.07		10/06/15		(656,000	)		(9,611,056	)		(16,671	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		0.02		10/06/15		(1,962,000	)		(28,745,262	)		(68,007	)

											$	(523,519	)

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

††	Cash collateral in the amount of $13,200 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

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

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

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	3,685		$	5,567		$	13,863		$	26,362

Expenses
Management fee		132,942			134,847			391,994			479,955
Brokerage commissions and fees		8			9			33			33

Total expenses		132,950			134,856			392,027			479,988

Net investment income (loss)		(129,265	)		(129,289	)		(378,164	)		(453,626	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		5,300			(4,375	)		5,325			10,875
Forward agreements		9,304,058			(1,119,039	)		7,373,182			(1,293,578	)
Short-term U.S. government and agency obligations		(88	)		1,921			546			3,931

Net realized gain (loss)		9,309,270			(1,121,493	)		7,379,053			(1,278,772	)

Change in net unrealized appreciation/depreciation on
Futures contracts		5,830			31,600			7,160			490
Forward agreements		(3,077,931	)		22,915,108			(1,118,472	)		14,579,752
Short-term U.S. government and agency obligations		5,187			(505	)		4,207			(2,409	)

Change in net unrealized appreciation/depreciation		(3,066,914	)		22,946,203			(1,107,105	)		14,577,833

Net realized and unrealized gain (loss)		6,242,356			21,824,710			6,271,948			13,299,061

Net income (loss)	$	6,113,091		$	21,695,421		$	5,893,784		$	12,845,435

Net income (loss) per weighted-average share	$	13.01		$	31.25		$	11.46		$	15.59

Weighted-average shares outstanding		469,901			694,358			514,166			824,057

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 550,000 shares		55,572,069
Redemption of 550,000 shares		(59,428,818	)

Net addition (redemption) of 0 shares		(3,856,749	)

Net investment income (loss)		(378,164	)
Net realized gain (loss)		7,379,053
Change in net unrealized appreciation/depreciation		(1,107,105	)

Net income (loss)		5,893,784

Shareholders’ equity, at September 30, 2015	$	55,044,902

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	5,893,784		$	12,845,435
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		1,100			14,850
Purchases of short-term U.S. government and agency obligations		(163,962,197	)		(177,114,557	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		160,791,278			244,659,193
Net amortization and accretion on short-term U.S. government and agency obligations		(13,863	)		(26,362	)
Net realized gain (loss) on investments		(546	)		(3,931	)
Change in unrealized appreciation/depreciation on investments		1,114,265			(14,577,343	)
Decrease (Increase) in receivable on futures contracts		6,570			545
Increase (Decrease) in management fee payable		42,935			(50,134	)

Net cash provided by (used in) operating activities		3,873,326			65,747,696

Cash flow from financing activities
Proceeds from addition of shares		55,572,069			61,660,743
Payment on shares redeemed		(59,428,818	)		(127,675,064	)

Net cash provided by (used in) financing activities		(3,856,749	)		(66,014,321	)

Net increase (decrease) in cash		16,577			(266,625	)
Cash, beginning of period		207,506			461,167

Cash, end of period	$	224,083		$	194,542

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	8,522,289	$	1,640,225
Segregated cash balances with brokers for futures contracts		952,820		242,880
Short-term U.S. government and agency obligations (Note 3) (cost $22,432,473 and $12,086,398, respectively)		22,432,678		12,086,577
Receivable from capital shares sold		2,136,329		—
Receivable on open futures contracts		199,376		63,250

Total assets		34,243,492		14,032,932

Liabilities and shareholders’ equity
Liabilities
Management fee payable		31,558		11,128

Total liabilities		31,558		11,128

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		34,211,934		14,021,804

Total liabilities and shareholders’ equity	$	34,243,492	$	14,032,932

Shares outstanding		800,005		350,005

Net asset value per share	$	42.76	$	40.06

Market value per share (Note 2)	$	42.78	$	40.03

See accompanying notes to financial statements.

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(66% of shareholders’ equity)
U.S. Treasury Bills:
0.005% due 10/01/15	$	1,087,000	$	1,087,000
0.015% due 10/08/15		2,421,000		2,421,005
0.030% due 11/19/15		1,438,000		1,438,019
0.021% due 11/27/15		2,948,000		2,947,977
0.040% due 12/03/15		2,074,000		2,073,982
0.020% due 12/17/15		4,811,000		4,811,103
0.000% due 01/07/16		5,605,000		5,604,771
0.002% due 02/04/16		2,049,000		2,048,821

Total short-term U.S. government and agency obligations (cost $22,432,473)			$	22,432,678


Futures Contracts Sold††
	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Euro Fx Currency Futures - CME, expires December 2015		244	$	34,095,950	$	160,875

††	Cash collateral in the amount of $952,820 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	989		$	1,279		$	3,652		$	3,684

Expenses
Management fee		47,369			38,144			132,555			83,705
Brokerage commissions and fees		1,232			564			2,951			1,262

Total expenses		48,601			38,708			135,506			84,967

Net investment income (loss)		(47,612	)		(37,429	)		(131,854	)		(81,283	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		45,301			767,314			1,196,063			925,848
Short-term U.S. government and agency obligations		48			–			48			258

Net realized gain (loss)		45,349			767,314			1,196,111			926,106

Change in net unrealized appreciation/depreciation on
Futures contracts		(77,413	)		541,828			(224,456	)		463,900
Short-term U.S. government and agency obligations		16			(150	)		26			(474	)

Change in net unrealized appreciation/depreciation		(77,397	)		541,678			(224,430	)		463,426

Net realized and unrealized gain (loss)		(32,048	)		1,308,992			971,681			1,389,532

Net income (loss)	$	(79,660	)	$	1,271,563		$	839,827		$	1,308,249

Net income (loss) per weighted-average share	$	(0.17	)	$	2.94		$	1.94		$	4.02

Weighted-average shares outstanding		459,788			433,157			432,056			325,646

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 550,000 shares		23,563,492
Redemption of 100,000 shares		(4,213,189	)

Net addition (redemption) of 450,000 shares		19,350,303

Net investment income (loss)		(131,854	)
Net realized gain (loss)		1,196,111
Change in net unrealized appreciation/depreciation		(224,430	)

Net income (loss)		839,827

Shareholders’ equity, at September 30, 2015	$	34,211,934

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	839,827		$	1,308,249
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		(709,940	)		(113,300	)
Purchases of short-term U.S. government and agency obligations		(43,352,228	)		(27,519,378	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		33,009,853			20,316,718
Net amortization and accretion on short-term U.S. government and agency obligations		(3,652	)		(3,684	)
Net realized gain (loss) on investments		(48	)		(258	)
Change in unrealized appreciation/depreciation on investments		(26	)		474
Decrease (Increase) in receivable on futures contracts		(136,126	)		(77,285	)
Increase (Decrease) in management fee payable		20,430			6,263

Net cash provided by (used in) operating activities		(10,331,910	)		(6,082,201	)

Cash flow from financing activities
Proceeds from addition of shares		21,427,163			8,924,282
Payment on shares redeemed		(4,213,189	)		(1,792,584	)

Net cash provided by (used in) financing activities		17,213,974			7,131,698

Net increase (decrease) in cash		6,882,064			1,049,497
Cash, beginning of period		1,640,225			863,980

Cash, end of period	$	8,522,289		$	1,913,477

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	2,534,753	$	1,788,757
Segregated cash balances with brokers for futures contracts		1,381,190		1,020,217
Short-term U.S. government and agency obligations (Note 3) (cost $18,897,327 and $20,267,681, respectively)		18,897,975		20,267,679
Receivable on open futures contracts		—		62,534

Total assets		22,813,918		23,139,187

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		195,769		—
Management fee payable		34,486		18,397

Total liabilities		230,255		18,397

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		22,583,663		23,120,790

Total liabilities and shareholders’ equity	$	22,813,918	$	23,139,187

Shares outstanding		350,005		450,005

Net asset value per share	$	64.52	$	51.38

Market value per share (Note 2)	$	64.53	$	51.37

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(84% of shareholders’ equity)
U.S. Treasury Bills:
0.030% due 11/19/15	$	9,595,000	$	9,595,131
0.020% due 11/27/15		1,090,000		1,089,991
0.020% due 12/03/15		5,502,000		5,501,952
0.020% due 12/10/15		1,093,000		1,093,043
0.002% due 02/04/16†		1,618,000		1,617,858

Total short-term U.S. government and agency obligations (cost $18,897,327)			$	18,897,975

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Australian Dollar Fx Currency Futures - CME, expires December 2015		645	$	45,072,600	$	49,290

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

††	Cash collateral in the amount of $1,381,190 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	1,058		$	1,375		$	2,914		$	7,366

Expenses
Management fee		51,046			49,101			149,028			157,466
Brokerage commissions and fees		4,427			2,854			12,027			9,220

Total expenses		55,473			51,955			161,055			166,686

Net investment income (loss)		(54,415	)		(50,580	)		(158,141	)		(159,320	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		3,397,069			549,795			5,930,837			(1,375,743	)
Short-term U.S. government and agency obligations		—			5			226			492

Net realized gain (loss)		3,397,069			549,800			5,931,063			(1,375,251	)

Change in net unrealized appreciation/depreciation on
Futures contracts		146,750			2,249,440			(694,191	)		968,995
Short-term U.S. government and agency obligations		554			(523	)		650			(2,002	)

Change in net unrealized appreciation/depreciation		147,304			2,248,917			(693,541	)		966,993

Net realized and unrealized gain (loss)		3,544,373			2,798,717			5,237,522			(408,258	)

Net income (loss)	$	3,489,958		$	2,748,137		$	5,079,381		$	(567,578	)

Net income (loss) per weighted-average share	$	9.97		$	5.54		$	13.69		$	(1.10	)

Weighted-average shares outstanding		350,005			495,657			371,067			515,573

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

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

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

Net investment income (loss)		(158,141	)
Net realized gain (loss)		5,931,063
Change in net unrealized appreciation/depreciation		(693,541	)

Net income (loss)		5,079,381

Shareholders’ equity, at September 30, 2015	$	22,583,663

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	5,079,381		$	(567,578	)
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		(360,973	)		465,245
Purchases of short-term U.S. government and agency obligations		(44,858,928	)		(33,501,786	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		46,232,422			40,217,466
Net amortization and accretion on short-term U.S. government and agency obligations		(2,914	)		(7,366	)
Net realized gain (loss) on investments		(226	)		(492	)
Change in unrealized appreciation/depreciation on investments		(650	)		2,002
Decrease (Increase) in receivable on futures contracts		62,534			—
Increase (Decrease) in management fee payable		16,089			(5,726	)
Increase (Decrease) in payable on futures contracts		195,769			(3,002	)

Net cash provided by (used in) operating activities		6,362,504			6,598,763

Cash flow from financing activities
Proceeds from addition of shares		2,764,167			—
Payment on shares redeemed		(8,380,675	)		(6,770,427	)

Net cash provided by (used in) financing activities		(5,616,508	)		(6,770,427	)

Net increase (decrease) in cash		745,996			(171,664	)
Cash, beginning of period		1,788,757			2,751,320

Cash, end of period	$	2,534,753		$	2,579,656

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	271,847	$	746,454
Short-term U.S. government and agency obligations (Note 3) (cost $542,562,137 and $487,097,789, respectively)		542,602,902		487,111,117
Unrealized appreciation on foreign currency forward contracts		7,180,056		19,019,765
Receivable from capital shares sold		—		12,956,604

Total assets		550,054,805		519,833,940

Liabilities and shareholders’ equity
Liabilities
Management fee payable		899,178		385,820
Unrealized depreciation on foreign currency forward contracts		1,876,489		2,256,771

Total liabilities		2,775,667		2,642,591

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		547,279,138		517,191,349

Total liabilities and shareholders’ equity	$	550,054,805	$	519,833,940

Shares outstanding		22,450,014		23,950,014

Net asset value per share	$	24.38	$	21.59

Market value per share (Note 2)	$	24.36	$	21.61

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(99% of shareholders’ equity)
U.S. Treasury Bills:
0.019% due 10/01/15	$	24,622,000	$	24,622,010
0.025% due 10/08/15		21,957,000		21,957,042
0.014% due 11/05/15		76,737,000		76,738,120
0.015% due 11/19/15		71,878,000		71,878,978
0.071% due 11/27/15†		88,844,000		88,843,298
0.021% due 12/03/15†		15,975,000		15,974,861
0.030% due 12/10/15†		93,558,000		93,561,640
0.030% due 12/17/15†		75,763,000		75,764,621
0.000% due 01/21/16		44,995,000		44,992,201
0.165% due 01/28/16†		28,272,000		28,270,131

Total short-term U.S. government and agency obligations (cost $542,562,137)			$	542,602,902


Foreign Currency Forward Contracts^

	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International	10/09/15		52,575,200		$	58,758,406		$	(612,367	)
Euro with UBS AG	10/09/15		84,264,100			94,174,139			(1,264,122	)

								$	(1,876,489	)

Contracts to Sell
Euro with Goldman Sachs International	10/09/15		(527,357,625	)	$	(589,378,515	)	$	3,476,996
Euro with UBS AG	10/09/15		(589,820,600	)		(659,187,567	)		3,703,060

								$	7,180,056

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

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	41,312		$	41,636		$	163,405		$	170,287

Expenses
Management fee		1,393,074			1,111,745			4,000,943			3,090,163

Total expenses		1,393,074			1,111,745			4,000,943			3,090,163

Net investment income (loss)		(1,351,762	)		(1,070,109	)		(3,837,538	)		(2,919,876	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(8,177,791	)		32,039,809			69,763,997			25,744,724
Short-term U.S. government and agency obligations		7,012			2,005			22,878			4,490

Net realized gain (loss)		(8,170,779	)		32,041,814			69,786,875			25,749,214

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		827,483			42,910,400			(11,459,427	)		51,071,566
Short-term U.S. government and agency obligations		35,266			(9,136	)		27,437			(23,930	)

Change in net unrealized appreciation/depreciation		862,749			42,901,264			(11,431,990	)		51,047,636

Net realized and unrealized gain (loss)		(7,308,030	)		74,943,078			58,354,885			76,796,850

Net income (loss)	$	(8,659,792	)	$	73,872,969		$	54,517,347		$	73,876,974

Net income (loss) per weighted-average share	$	(0.37	)	$	2.89		$	2.41		$	2.97

Weighted-average shares outstanding		23,492,405			25,554,362			22,591,589			24,893,054

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 11,900,000 shares		310,454,722
Redemption of 13,400,000 shares		(334,884,280	)

Net addition (redemption) of (1,500,000) shares		(24,429,558	)

Net investment income (loss)		(3,837,538	)
Net realized gain (loss)		69,786,875
Change in net unrealized appreciation/depreciation		(11,431,990	)

Net income (loss)		54,517,347

Shareholders’ equity, at September 30, 2015	$	547,279,138

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	54,517,347		$	73,876,974
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		(1,420,398,053	)		(803,273,432	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,365,118,964			800,041,097
Net amortization and accretion on short-term U.S. government and agency obligations		(162,381	)		(170,287	)
Net realized gain (loss) on investments		(22,878	)		(4,490	)
Change in unrealized appreciation/depreciation on investments		11,431,990			(51,047,636	)
Increase (Decrease) in management fee payable		513,358			27,783

Net cash provided by (used in) operating activities		10,998,347			19,450,009

Cash flow from financing activities
Proceeds from addition of shares		323,411,326			43,961,622
Payment on shares redeemed		(334,884,280	)		(63,410,077	)

Net cash provided by (used in) financing activities		(11,472,954	)		(19,448,455	)

Net increase (decrease) in cash		(474,607	)		1,554
Cash, beginning of period		746,454			218,940

Cash, end of period	$	271,847		$	220,494

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	308,340	$	532,706
Short-term U.S. government and agency obligations (Note 3) (cost $308,460,362 and $532,944,509, respectively)		308,472,546		532,957,746
Unrealized appreciation on foreign currency forward contracts		78,122		571,149

Total assets		308,859,008		534,061,601

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		4,391,012		—
Management fee payable		569,547		439,804
Unrealized depreciation on foreign currency forward contracts		968,851		2,149,924

Total liabilities		5,929,410		2,589,728

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		302,929,598		531,471,873

Total liabilities and shareholders’ equity	$	308,859,008	$	534,061,601

Shares outstanding		3,449,294		5,949,294

Net asset value per share	$	87.82	$	89.33

Market value per share (Note 2)	$	87.82	$	89.30

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(102% of shareholders’ equity)
U.S. Treasury Bills:
0.027% due 10/01/15	$	165,347,000	$	165,347,066
0.033% due 10/08/15		23,801,000		23,801,045
0.012% due 11/05/15		14,859,000		14,859,217
0.035% due 11/19/15†		53,476,000		53,476,727
0.022% due 12/03/15†		15,393,000		15,392,866
0.030% due 12/10/15†		6,086,000		6,086,237
0.020% due 12/17/15†		10,200,000		10,200,219
0.080% due 01/07/16		4,417,000		4,416,820
0.148% due 01/14/16†		14,893,000		14,892,349

Total short-term U.S. government and agency obligations (cost $308,460,362)			$	308,472,546


Foreign Currency Forward Contracts^
	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International	10/09/15		5,754,030,200		$	47,975,159		$	78,122
Yen with UBS AG	10/09/15		5,101,523,700			42,534,780			(129,230	)

								$	(51,108	)

Contracts to Sell
Yen with Goldman Sachs International	10/09/15		(42,132,482,600	)	$	(351,286,398	)	$	(495,605	)
Yen with UBS AG	10/09/15		(41,389,892,100	)		(345,094,929	)		(344,016	)

								$	(839,621	)

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

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	28,980		$	28,871		$	113,947		$	163,880

Expenses
Management fee		894,286			894,941			3,069,183			2,800,653

Total expenses		894,286			894,941			3,069,183			2,800,653

Net investment income (loss)		(865,306	)		(866,070	)		(2,955,236	)		(2,636,773	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(32,435,377	)		15,787,084			(6,900,989	)		15,952,890
Short-term U.S. government and agency obligations		107			994			4,415			12,611

Net realized gain (loss)		(32,435,270	)		15,788,078			(6,896,574	)		15,965,501

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		13,321,397			44,778,863			688,046			5,744,569
Short-term U.S. government and agency obligations		6,858			8,059			(1,053	)		(31,958	)

Change in net unrealized appreciation/depreciation		13,328,255			44,786,922			686,993			5,712,611

Net realized and unrealized gain (loss)		(19,107,015	)		60,575,000			(6,209,581	)		21,678,112

Net income (loss)	$	(19,972,321	)	$	59,708,930		$	(9,164,817	)	$	19,041,339

Net income (loss) per weighted-average share	$	(4.91	)	$	10.90		$	(1.91	)	$	3.25

Weighted-average shares outstanding		4,068,859			5,478,642			4,796,364			5,862,481

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 1,350,000 shares		124,524,910
Redemption of 3,850,000 shares		(343,902,368	)

Net addition (redemption) of (2,500,000) shares		(219,377,458	)

Net investment income (loss)		(2,955,236	)
Net realized gain (loss)		(6,896,574	)
Change in net unrealized appreciation/depreciation		686,993

Net income (loss)		(9,164,817	)

Shareholders’ equity, at September 30, 2015	$	302,929,598

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	(9,164,817	)	$	19,041,339
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		(1,027,392,799	)		(767,180,365	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		1,251,995,308			936,995,101
Net amortization and accretion on short-term U.S. government and agency obligations		(113,947	)		(163,880	)
Net realized gain (loss) on investments		(4,415	)		(12,611	)
Change in unrealized appreciation/depreciation on investments		(686,993	)		(5,712,611	)
Increase (Decrease) in management fee payable		129,743			(125,148	)

Net cash provided by (used in) operating activities		214,762,080			182,841,825

Cash flow from financing activities
Proceeds from addition of shares		124,524,910			81,996,228
Payment on shares redeemed		(339,511,356	)		(265,020,830	)

Net cash provided by (used in) financing activities		(214,986,446	)		(183,024,602	)

Net increase (decrease) in cash		(224,366	)		(182,777	)
Cash, beginning of period		532,706			575,108

Cash, end of period	$	308,340		$	392,331

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	2,740,383	$	185,684
Segregated cash balances for swap agreements		906,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $0 and $2,754,883, respectively)		—		2,754,900

Total assets		3,646,383		2,940,584

Liabilities and shareholders’ equity
Liabilities
Management fee payable		3,313		2,326
Unrealized depreciation on swap agreements		60,301		331,338

Total liabilities		63,614		333,664

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		3,582,769		2,606,920

Total liabilities and shareholders’ equity	$	3,646,383	$	2,940,584

Shares outstanding (Note 1)		99,965		50,004

Net asset value per share (Note 1)	$	35.84	$	52.13

Market value per share (Note 1) (Note 2)	$	35.88	$	51.44

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)

Swap Agreements^


	Rate Paid (Received)*			Termination Date	Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index		0.25	%	10/06/15	$	5,278,242	$	(24,403	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index		0.25		10/06/15		1,530,959		(26,072	)
Swap agreement with UBS AG based on Bloomberg Commodity Index		0.60		10/06/15		358,496		(9,826	)

							$	(60,301	)

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

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

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	39		$	351		$	525		$	1,070

Expenses
Management fee		5,116			9,295			16,884			24,709

Total expenses		5,116			9,295			16,884			24,709

Net investment income (loss)		(5,077	)		(8,944	)		(16,359	)		(23,639	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(520,396	)		(651,785	)		(1,033,383	)		(274,839	)
Short-term U.S. government and agency obligations		1			19			(6	)		19

Net realized gain (loss)		(520,395	)		(651,766	)		(1,033,389	)		(274,820	)

Change in net unrealized appreciation/depreciation on
Swap agreements		(156,458	)		(339,598	)		271,037			(345,632	)
Short-term U.S. government and agency obligations		(21	)		84			(17	)		35

Change in net unrealized appreciation/depreciation		(156,479	)		(339,514	)		271,020			(345,597	)

Net realized and unrealized gain (loss)		(676,874	)		(991,280	)		(762,369	)		(620,417	)

Net income (loss)	$	(681,951	)	$	(1,000,224	)	$	(778,728	)	$	(644,056	)

Net income (loss) per weighted-average share (Note 1)	$	(12.56	)	$	(20.00	)	$	(14.95	)	$	(15.35	)

Weighted-average shares outstanding (Note 1)		54,312			50,004			52,093			41,945

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 75,000 shares (Note 1)		2,987,885
Redemption of 25,039 shares (Note 1)		(1,233,308	)

Net addition (redemption) of 49,961 shares (Note 1)		1,754,577

Net investment income (loss)		(16,359	)
Net realized gain (loss)		(1,033,389	)
Change in net unrealized appreciation/depreciation		271,020

Net income (loss)		(778,728	)

Shareholders’ equity, at September 30, 2015	$	3,582,769

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	(778,728	)	$	(644,056	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances for swap agreements		(906,000	)		—
Purchases of short-term U.S. government and agency obligations		(3,628,527	)		(7,841,970	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		6,383,929			7,029,957
Net amortization and accretion on short-term U.S. government and agency obligations		(525	)		(1,070	)
Net realized gain (loss) on investments		6			(19	)
Change in unrealized appreciation/depreciation on investments		(271,020	)		345,597
Increase (Decrease) in management fee payable		987			436

Net cash provided by (used in) operating activities		800,122			(1,111,125	)

Cash flow from financing activities
Proceeds from addition of shares		2,987,885			1,134,916
Payment on shares redeemed		(1,233,308	)		—

Net cash provided by (used in) financing activities		1,754,577			1,134,916

Net increase (decrease) in cash		2,554,699			23,791
Cash, beginning of period		185,684			85,642

Cash, end of period	$	2,740,383		$	109,433

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	3,908,458	$	2,349,384
Segregated cash balances with brokers for futures contracts		22,020,119		34,605,120
Short-term U.S. government and agency obligations (Note 3) (cost $809,489,270 and $467,195,638, respectively)		809,558,932		467,200,736
Receivable from capital shares sold		—		28,726,173

Total assets		835,487,509		532,881,413

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		1,609,041		5,817,266
Brokerage commissions and fees payable		29,166		—
Management fee payable		1,272,520		320,062
Unrealized depreciation on swap agreements		45,315,045		76,181,097

Total liabilities		48,225,772		82,318,425

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		787,261,737		450,562,988

Total liabilities and shareholders’ equity	$	835,487,509	$	532,881,413

Shares outstanding (Note 1)		35,227,867		8,879,834

Net asset value per share (Note 1)	$	22.35	$	50.74

Market value per share (Note 1) (Note 2)	$	22.68	$	51.85

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(103% of shareholders’ equity)
U.S. Treasury Bills:
0.036% due 10/01/15	$	312,000	$	312,000
0.029% due 10/08/15		29,479,000		29,479,056
0.025% due 11/05/15		46,646,000		46,646,681
0.071% due 11/19/15		123,766,000		123,767,683
0.022% due 11/27/15†		251,501,000		251,499,013
0.026% due 12/03/15†		54,790,000		54,789,524
0.026% due 12/10/15†		81,721,000		81,724,179
0.094% due 01/07/16†		64,610,000		64,607,364
0.137% due 01/14/16†		85,422,000		85,418,267
0.001% due 02/04/16†		45,806,000		45,801,992
0.005% due 02/11/16		25,516,000		25,513,173

Total short-term U.S. government and agency obligations (cost $809,489,270)			$	809,558,932


Futures Contracts Purchased††
	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil Futures - NYMEX, expires November 2015		11,512	$	519,076,080	$	(3,961,260	)


Swap Agreements^
	Rate Paid (Received)*			Termination Date	Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Subindex		0.25	%	10/06/15	$	299,072,212	$	(13,364,460	)
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25		10/06/15		329,950,075		(13,515,250	)
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25		10/06/15		118,711,010		(3,967,675	)
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25		10/06/15		307,603,721		(14,467,660	)

							$	(45,315,045	)

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

††	Cash collateral in the amount of $22,020,119 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

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

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

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	75,891		$	11,935		$	217,460		$	44,923

Expenses
Management fee		2,012,640			333,837			6,257,893			908,339
Brokerage commissions and fees		148,396			7,661			449,106			24,160

Total expenses		2,161,036			341,498			6,706,999			932,499

Net investment income (loss)		(2,085,145	)		(329,563	)		(6,489,539	)		(887,576	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(197,981,324	)		(6,183,721	)		(195,748,120	)		7,188,529
Swap agreements		(331,918,263	)		(10,226,540	)		(301,530,415	)		7,408,979
Short-term U.S. government and agency obligations		(3,934	)		2,046			56,938			10,004

Net realized gain (loss)		(529,903,521	)		(16,408,215	)		(497,221,597	)		14,607,512

Change in net unrealized appreciation/depreciation on
Futures contracts		4,743,818			(7,190,259	)		42,513,527			(6,693,816	)
Swap agreements		(63,442,803	)		(5,286,502	)		30,866,052			(3,133,365	)
Short-term U.S. government and agency obligations		64,175			(1,104	)		64,564			(11,766	)

Change in net unrealized appreciation/depreciation		(58,634,810	)		(12,477,865	)		73,444,143			(9,838,947	)

Net realized and unrealized gain (loss)		(588,538,331	)		(28,886,080	)		(423,777,454	)		4,768,565

Net income (loss)	$	(590,623,476	)	$	(29,215,643	)	$	(430,266,993	)	$	3,880,989

Net income (loss) per weighted-average share (Note 1)	$	(18.39	)	$	(34.48	)	$	(17.28	)	$	5.03

Weighted-average shares outstanding (Note 1)		32,116,997			847,225			24,903,035			771,153

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 54,530,000 shares (Note 1)		1,940,912,161
Redemption of 28,181,967 shares (Note 1)		(1,173,946,419	)

Net addition (redemption) of 26,348,033 shares (Note 1)		766,965,742

Net investment income (loss)		(6,489,539	)
Net realized gain (loss)		(497,221,597	)
Change in net unrealized appreciation/depreciation		73,444,143

Net income (loss)		(430,266,993	)

Shareholders’ equity, at September 30, 2015	$	787,261,737

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	(430,266,993	)	$	3,880,989
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		12,585,001			(1,206,315	)
Purchases of short-term U.S. government and agency obligations		(3,406,730,520	)		(461,750,270	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		3,064,708,146			415,938,839
Net amortization and accretion on short-term U.S. government and agency obligations		(214,320	)		(44,924	)
Net realized gain (loss) on investments		(56,938	)		(10,004	)
Change in unrealized appreciation/depreciation on investments		(30,930,616	)		3,145,131
Increase (Decrease) in management fee payable		952,458			12,768
Increase (Decrease) in brokerage commissions and fees payable		29,166			—
Increase (Decrease) in payable on futures contracts		(4,208,225	)		4,852,856

Net cash provided by (used in) operating activities		(794,132,841	)		(35,180,930	)

Cash flow from financing activities
Proceeds from addition of shares		1,969,638,334			326,129,425
Payment on shares redeemed		(1,173,946,419	)		(289,091,371	)

Net cash provided by (used in) financing activities		795,691,915			37,038,054

Net increase (decrease) in cash		1,559,074			1,857,124
Cash, beginning of period		2,349,384			689,596

Cash, end of period	$	3,908,458		$	2,546,720

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	2,278,102	$	1,653,582
Segregated cash balances with brokers for futures contracts		2,034,544		21,134,080
Short-term U.S. government and agency obligations (Note 3) (cost $50,785,407 and $53,408,848, respectively)		50,788,895		53,410,227
Receivable from capital shares sold		—		3,853,422

Total assets		55,101,541		80,051,311

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		2,417,037		9,552,314
Brokerage commissions and fees payable		4,750		—
Management fee payable		96,766		65,790

Total liabilities		2,518,553		9,618,104

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		52,582,988		70,433,207

Total liabilities and shareholders’ equity	$	55,101,541	$	80,051,311

Shares outstanding (Note 1)		1,642,170		1,142,485

Net asset value per share (Note 1)	$	32.02	$	61.65

Market value per share (Note 1) (Note 2)	$	32.19	$	63.12

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(97% of shareholders’ equity)
U.S. Treasury Bills:
0.005% due 10/01/15	$	4,706,000	$	4,706,002
0.007% due 10/08/15		1,271,000		1,271,002
0.012% due 11/05/15		4,075,000		4,075,060
0.031% due 11/19/15		6,232,000		6,232,085
0.021% due 11/27/15		3,375,000		3,374,973
0.033% due 12/03/15		9,315,000		9,314,919
0.030% due 12/10/15		1,833,000		1,833,071
0.020% due 12/17/15†		12,954,000		12,954,277
0.080% due 01/07/16		1,137,000		1,136,954
0.165% due 01/28/16†		3,139,000		3,138,793
0.002% due 02/04/16†		2,752,000		2,751,759

Total short-term U.S. government and agency obligations (cost $50,785,407)			$	50,788,895

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, expires November 2015		4,166	$	105,149,840	$	(13,889,434	)

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

††	Cash collateral in the amount of $2,034,544 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	3,636		$	3,296		$	15,020		$	11,380

Expenses
Management fee		147,696			114,501			479,185			264,587
Brokerage commissions and fees		46,406			17,003			156,022			44,280

Total expenses		194,102			131,504			635,207			308,867

Net investment income (loss)		(190,466	)		(128,208	)		(620,187	)		(297,487	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(8,595,657	)		(7,087,097	)		(58,404,100	)		9,878,729
Short-term U.S. government and agency obligations		(181	)		306			4,630			3,519

Net realized gain (loss)		(8,595,838	)		(7,086,791	)		(58,399,470	)		9,882,248

Change in net unrealized appreciation/depreciation on
Futures contracts		(13,040,143	)		5,766,729			20,999,849			8,012,503
Short-term U.S. government and agency obligations		2,650			479			2,109			(2,382	)

Change in net unrealized appreciation/depreciation		(13,037,493	)		5,767,208			21,001,958			8,010,121

Net realized and unrealized gain (loss)		(21,633,331	)		(1,319,583	)		(37,397,512	)		17,892,369

Net income (loss)	$	(21,823,797	)	$	(1,447,791	)	$	(38,017,699	)	$	17,594,882

Net income (loss) per weighted-average share (Note 1)	$	(14.50	)	$	(4.17	)	$	(26.50	)	$	76.10

Weighted-average shares outstanding (Note 1)		1,505,213			347,377			1,434,837			231,222

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 1,687,500 shares (Note 1)		74,944,434
Redemption of 1,187,815 shares (Note 1)		(54,776,954	)

Net addition (redemption) of 499,685 shares (Note 1)		20,167,480

Net investment income (loss)		(620,187	)
Net realized gain (loss)		(58,399,470	)
Change in net unrealized appreciation/depreciation		21,001,958

Net income (loss)		(38,017,699	)

Shareholders’ equity, at September 30, 2015	$	52,582,988

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	(38,017,699	)	$	17,594,882
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		19,099,536			(3,455,694	)
Purchases of short-term U.S. government and agency obligations		(227,408,040	)		(145,326,321	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		230,049,810			145,234,415
Net amortization and accretion on short-term U.S. government and agency obligations		(13,699	)		(11,380	)
Net realized gain (loss) on investments		(4,630	)		(3,519	)
Change in unrealized appreciation/depreciation on investments		(2,109	)		2,382
Increase (Decrease) in management fee payable		30,976			(29,752	)
Increase (Decrease) in brokerage commissions and fees payable		4,750			—
Increase (Decrease) in payable on futures contracts		(7,135,277	)		(4,824,695	)

Net cash provided by (used in) operating activities		(23,396,382	)		9,180,318

Cash flow from financing activities
Proceeds from addition of shares		78,797,856			75,528,011
Payment on shares redeemed		(54,776,954	)		(84,703,554	)

Net cash provided by (used in) financing activities		24,020,902			(9,175,543	)

Net increase (decrease) in cash		624,520			4,775
Cash, beginning of period		1,653,582			3,102,827

Cash, end of period	$	2,278,102		$	3,107,602

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	2,844,144	$	104,145
Segregated cash balances with brokers for futures contracts		8,250		8,800
Short-term U.S. government and agency obligations (Note 3) (cost $79,786,929 and $101,925,636, respectively)		79,793,461		101,927,857
Unrealized appreciation on forward agreements		—		2,051,154

Total assets		82,645,855		104,091,956

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		1,999,718
Payable on open futures contracts		2,320		3,260
Management fee payable		128,806		85,633
Unrealized depreciation on forward agreements		1,289,231		—

Total liabilities		1,420,357		2,088,611

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		81,225,498		102,003,345

Total liabilities and shareholders’ equity	$	82,645,855	$	104,091,956

Shares outstanding		2,450,014		2,550,014

Net asset value per share	$	33.15	$	40.00

Market value per share (Note 2)	$	33.23	$	38.41

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(98% of shareholders’ equity)
U.S. Treasury Bills:
0.020% due 11/27/15†	$	7,721,000	$	7,720,939
0.016% due 12/03/15†		45,862,000		45,861,601
0.030% due 12/10/15†		9,832,000		9,832,382
0.020% due 12/17/15†		3,330,000		3,330,071
0.135% due 01/07/16†		13,049,000		13,048,468

Total short-term U.S. government and agency obligations (cost $79,786,929)			$	79,793,461


Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires December 2015		2	$	223,040	$	(8,640	)


Forward Agreements^

	Rate Paid (Received)*	Settlement Date	Commitment to (Deliver)/Receive		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold	0.40%	10/06/15	$	73,000	$	81,323,460	$	(619,312	)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold	0.45	10/06/15		26,620		29,654,680		(222,153	)
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold	0.46	10/06/15		15,400		17,155,446		(113,075	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold	0.36	10/06/15		30,600		34,088,094		(334,691	)

							$	(1,289,231	)

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

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

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

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

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

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	5,853		$	13,569		$	27,485		$	45,026

Expenses
Management fee		195,929			307,247			657,667			953,309
Brokerage commissions and fees		8			8			33			32

Total expenses		195,937			307,255			657,700			953,341

Net investment income (loss)		(190,084	)		(293,686	)		(630,215	)		(908,315	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(13,520	)		1,880			(1,660	)		6,320
Forward agreements		(8,307,389	)		1,373,311			(12,227,181	)		3,313,355
Short-term U.S. government and agency obligations		(3,445	)		985			(1,245	)		1,708

Net realized gain (loss)		(8,324,354	)		1,376,176			(12,230,086	)		3,321,383

Change in net unrealized appreciation/depreciation on
Futures contracts		1,780			(24,220	)		(13,220	)		(4,840	)
Forward agreements		(874,327	)		(21,353,534	)		(3,340,385	)		(1,312,645	)
Short-term U.S. government and agency obligations		6,644			(969	)		4,311			5,177

Change in net unrealized appreciation/depreciation		(865,903	)		(21,378,723	)		(3,349,294	)		(1,312,308	)

Net realized and unrealized gain (loss)		(9,190,257	)		(20,002,547	)		(15,579,380	)		2,009,075

Net income (loss)	$	(9,380,341	)	$	(20,296,233	)	$	(16,209,595	)	$	1,100,760

Net income (loss) per weighted-average share	$	(3.90	)	$	(7.26	)	$	(6.62	)	$	0.38

Weighted-average shares outstanding		2,402,731			2,795,123			2,448,915			2,878,769

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 100,000 shares		3,851,383
Redemption of 200,000 shares		(8,419,635	)

Net addition (redemption) of (100,000) shares		(4,568,252	)

Net investment income (loss)		(630,215	)
Net realized gain (loss)		(12,230,086	)
Change in net unrealized appreciation/depreciation		(3,349,294	)

Net income (loss)		(16,209,595	)

Shareholders’ equity, at September 30, 2015	$	81,225,498

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	(16,209,595	)	$	1,100,760
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		550			5,830
Purchases of short-term U.S. government and agency obligations		(194,601,532	)		(323,360,826	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		216,766,479			343,200,066
Net amortization and accretion on short-term U.S. government and agency obligations		(27,485	)		(45,026	)
Net realized gain (loss) on investments		1,245			(1,708	)
Change in unrealized appreciation/depreciation on investments		3,336,074			1,307,468
Increase (Decrease) in management fee payable		43,173			(19,627	)
Increase (Decrease) in payable on futures contracts		(940	)		1,140

Net cash provided by (used in) operating activities		9,307,969			22,188,077

Cash flow from financing activities
Proceeds from addition of shares		3,851,383			11,583,569
Payment on shares redeemed		(10,419,353	)		(33,792,527	)

Net cash provided by (used in) financing activities		(6,567,970	)		(22,208,958	)

Net increase (decrease) in cash		2,739,999			(20,881	)
Cash, beginning of period		104,145			142,566

Cash, end of period	$	2,844,144		$	121,685

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	245,186	$	305,004
Segregated cash balances with brokers for futures contracts		13,200		14,300
Short-term U.S. government and agency obligations (Note 3) (cost $245,431,653 and $305,465,636, respectively)		245,461,699		305,474,211
Unrealized appreciation on forward agreements		367,326		—

Total assets		246,087,411		305,793,515

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		1,967,832
Payable on open futures contracts		550		6,770
Management fee payable		412,916		254,050
Unrealized depreciation on forward agreements		492,732		12,395,120

Total liabilities		906,198		14,623,772

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		245,181,213		291,169,743

Total liabilities and shareholders’ equity	$	246,087,411	$	305,793,515

Shares outstanding		7,896,533		7,396,533

Net asset value per share	$	31.05	$	39.37

Market value per share (Note 2)	$	30.53	$	38.05

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(100% of shareholders’ equity)
U.S. Treasury Bills:
0.015% due 10/01/15	$	42,072,000	$	42,072,017
0.019% due 10/08/15		11,563,000		11,563,022
0.018% due 11/05/15		17,291,000		17,291,253
0.035% due 11/19/15†		17,053,000		17,053,232
0.020% due 11/27/15†		22,113,000		22,112,825
0.087% due 12/03/15†		89,508,000		89,507,221
0.135% due 01/07/16†		45,864,000		45,862,129

Total short-term U.S. government and agency obligations (cost $245,431,653)			$	245,461,699

Futures Contracts Purchased††


					Unrealized
	Number of		Notional Amount		Appreciation
	Contracts		at Value		(Depreciation)
Silver Futures - COMEX, expires December 2015		2	$	145,180	$	(9,295	)

Forward Agreements^


	Rate Paid (Received)*			Settlement Date	Commitment to (Deliver)/Receive		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver		0.88	%	10/06/15	$	12,627,000	$	185,003,228	$	325,395
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		0.85		10/06/15		7,982,800		116,956,003		(372,086	)
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		0.93		10/06/15		3,984,000		58,369,584		41,931
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		0.88		10/06/15		8,862,000		129,837,162		(120,646	)

									$	(125,406	)

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

††	Cash collateral in the amount of $13,200 was pledged to cover margin requirements for open futures contracts as of September 30, 2015.

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

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

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

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months			Three months			Nine months			Nine months
	ended			ended			ended			ended
	September 30,			September 30,			September 30,			September 30,
	2015			2014			2015			2014
Investment Income
Interest	$	35,179		$	41,216		$	109,726		$	155,173

Expenses
Management fee		631,618			1,064,643			2,085,125			3,351,080
Brokerage commissions and fees		15			5			42			35

Total expenses		631,633			1,064,648			2,085,167			3,351,115

Net investment income (loss)		(596,454	)		(1,023,432	)		(1,975,441	)		(3,195,942	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(8,426	)		2,825			(8,725	)		(9,550	)
Forward agreements		(56,502,419	)		9,484,132			(72,512,082	)		(22,787,871	)
Short-term U.S. government and agency obligations		(8,981	)		834			(2,867	)		6,514

Net realized gain (loss)		(56,519,826	)		9,487,791			(72,523,674	)		(22,790,907	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(4,385	)		(37,835	)		(7,735	)		(15,180	)
Forward agreements		13,733,121			(178,494,978	)		12,269,714			(89,099,887	)
Short-term U.S. government and agency obligations		25,121			5,748			21,471			(12,085	)

Change in net unrealized appreciation/depreciation		13,753,857			(178,527,065	)		12,283,450			(89,127,152	)

Net realized and unrealized gain (loss)		(42,765,969	)		(169,039,274	)		(60,240,224	)		(111,918,059	)

Net income (loss)	$	(43,362,423	)	$	(170,062,706	)	$	(62,215,665	)	$	(115,114,001	)

Net income (loss) per weighted-average share	$	(5.37	)	$	(23.96	)	$	(8.10	)	$	(15.80	)

Weighted-average shares outstanding		8,073,163			7,096,533			7,683,346			7,283,608

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 2,000,000 shares		75,984,034
Redemption of 1,500,000 shares		(59,756,899	)

Net addition (redemption) of 500,000 shares		16,227,135

Net investment income (loss)		(1,975,441	)
Net realized gain (loss)		(72,523,674	)
Change in net unrealized appreciation/depreciation		12,283,450

Net income (loss)		(62,215,665	)

Shareholders’ equity, at September 30, 2015	$	245,181,213

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	(62,215,665	)	$	(115,114,001	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		1,100			7,700
Purchases of short-term U.S. government and agency obligations		(613,020,609	)		(1,138,679,040	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		673,161,451			1,158,071,193
Net amortization and accretion on short-term U.S. government and agency obligations		(109,726	)		(153,201	)
Net realized gain (loss) on investments		2,867			(6,514	)
Change in unrealized appreciation/depreciation on investments		(12,291,185	)		89,111,972
Increase (Decrease) in management fee payable		158,866			(63,037	)
Increase (Decrease) in payable on futures contracts		(6,220	)		2,650

Net cash provided by (used in) operating activities		(14,319,121	)		(6,822,278	)

Cash flow from financing activities
Proceeds from addition of shares		75,984,034			127,480,399
Payment on shares redeemed		(61,724,731	)		(120,670,514	)

Net cash provided by (used in) financing activities		14,259,303			6,809,885

Net increase (decrease) in cash		(59,818	)		(12,393	)
Cash, beginning of period		305,004			463,001

Cash, end of period	$	245,186		$	450,608

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	218,955	$	671,117
Short-term U.S. government and agency obligations (Note 3) (cost $10,695,915 and $2,415,732, respectively)		10,695,537		2,415,698
Unrealized appreciation on foreign currency forward contracts		3,916		2,921

Total assets		10,918,408		3,089,736

Liabilities and shareholders’ equity
Liabilities
Management fee payable		17,660		2,003
Unrealized depreciation on foreign currency forward contracts		146,251		106,292

Total liabilities		163,911		108,295

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		10,754,497		2,981,441

Total liabilities and shareholders’ equity	$	10,918,408	$	3,089,736

Shares outstanding		650,014		150,014

Net asset value per share	$	16.55	$	19.87

Market value per share (Note 2)	$	16.53	$	19.80

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(99% of shareholders’ equity)
U.S. Treasury Bills:
0.012% due 11/05/15†	$	1,135,000	$	1,135,017
0.019% due 12/03/15†		2,157,000		2,156,981
0.000% due 01/21/16		7,404,000		7,403,539

Total short-term U.S. government and agency obligations (cost $10,695,915)			$	10,695,537

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International	10/09/15		11,569,925		$	12,930,628		$	(79,122	)
Euro with UBS AG	10/09/15		8,722,700			9,748,550			(67,129	)

								$	(146,251	)

Contracts to Sell
Euro with Goldman Sachs International	10/09/15		(412,400	)	$	(460,901	)	$	2,184
Euro with UBS AG	10/09/15		(640,900	)		(716,274	)		1,732

								$	3,916

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

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

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	514		$	231		$	2,076		$	936

Expenses
Management fee		27,210			5,760			78,687			17,908

Total expenses		27,210			5,760			78,687			17,908

Net investment income (loss)		(26,696	)		(5,529	)		(76,611	)		(16,972	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		68,814			(172,537	)		(559,487	)		(127,652	)
Short-term U.S. government and agency obligations		(27	)		(8	)		33			(8	)

Net realized gain (loss)		68,787			(172,545	)		(559,454	)		(127,660	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(8,853	)		(212,588	)		(38,964	)		(282,823	)
Short-term U.S. government and agency obligations		(486	)		30			(344	)		(103	)

Change in net unrealized appreciation/depreciation		(9,339	)		(212,558	)		(39,308	)		(282,926	)

Net realized and unrealized gain (loss)		59,448			(385,103	)		(598,762	)		(410,586	)

Net income (loss)	$	32,752		$	(390,632	)	$	(675,373	)	$	(427,558	)

Net income (loss) per weighted-average share	$	0.05		$	(3.91	)	$	(1.00	)	$	(4.27	)

Weighted-average shares outstanding		690,775			100,014			673,457			100,014

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

Addition of 800,000 shares		13,540,570
Redemption of 300,000 shares		(5,092,141	)

Net addition (redemption) of 500,000 shares		8,448,429

Net investment income (loss)		(76,611	)
Net realized gain (loss)		(559,454	)
Change in net unrealized appreciation/depreciation		(39,308	)

Net income (loss)		(675,373	)

Shareholders’ equity, at September 30, 2015	$	10,754,497

See accompanying notes to financial statements.

100

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	(675,373	)	$	(427,558	)
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		(36,614,695	)		(4,882,192	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		28,336,621			5,148,933
Net amortization and accretion on short-term U.S. government and agency obligations		(2,076	)		(936	)
Net realized gain (loss) on investments		(33	)		8
Change in unrealized appreciation/depreciation on investments		39,308			282,926
Increase (Decrease) in management fee payable		15,657			(946	)

Net cash provided by (used in) operating activities		(8,900,591	)		120,235

Cash flow from financing activities
Proceeds from addition of shares		13,540,570			—
Payment on shares redeemed		(5,092,141	)		—

Net cash provided by (used in) financing activities		8,448,429			—

Net increase (decrease) in cash		(452,162	)		120,235
Cash, beginning of period		671,117			49,723

Cash, end of period	$	218,955		$	169,958

See accompanying notes to financial statements.

101

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	516,067	$	846,919
Short-term U.S. government and agency obligations (Note 3) (cost $5,013,890 and $1,287,844, respectively)		5,015,738		1,287,869
Unrealized appreciation on foreign currency forward contracts		11,644		404

Total assets		5,543,449		2,135,192

Liabilities and shareholders’ equity
Liabilities
Management fee payable		8,566		1,515
Unrealized depreciation on foreign currency forward contracts		492		15,649

Total liabilities		9,058		17,164

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		5,534,391		2,118,028

Total liabilities and shareholders’ equity	$	5,543,449	$	2,135,192

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

Net asset value per share (Note 1)	$	55.36	$	56.47

Market value per share (Note1) (Note 2)	$	55.38	$	56.48

See accompanying notes to financial statements.

102

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2015

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(91% of shareholders’ equity)
U.S. Treasury Bills:
0.015% due 12/03/15	$	1,205,000	$	1,204,990
0.165% due 01/28/16†		3,811,000		3,810,748

Total short-term U.S. government and agency obligations (cost $5,013,890)			$	5,015,738

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International	10/09/15		870,160,900		$	7,255,107		$	8,713
Yen with UBS AG	10/09/15		486,769,100			4,058,516			2,880

								$	11,593

Contracts to Sell
Yen with Goldman Sachs International	10/09/15		(18,075,700	)	$	(150,709	)	$	(492	)
Yen with UBS AG	10/09/15		(8,963,800	)		(74,737	)		51

								$	(441	)

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

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

See accompanying notes to financial statements.

103

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	1,069		$	167		$	1,819		$	988

Expenses
Management fee		12,814			4,546			35,135			17,855

Total expenses		12,814			4,546			35,135			17,855

Net investment income (loss)		(11,745	)		(4,379	)		(33,316	)		(16,867	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		344,294			(86,452	)		(174,883	)		(108,048	)
Short-term U.S. government and agency obligations		—			7			8			85

Net realized gain (loss)		344,294			(86,445	)		(174,875	)		(107,963	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(148,766	)		(209,139	)		26,397			2,889
Short-term U.S. government and agency obligations		1,709			76			1,823			(271	)

Change in net unrealized appreciation/depreciation		(147,057	)		(209,063	)		28,220			2,618

Net realized and unrealized gain (loss)		197,237			(295,508	)		(146,655	)		(105,345	)

Net income (loss)	$	185,492		$	(299,887	)	$	(179,971	)	$	(122,212	)

Net income (loss) per weighted-average share (Note 1)	$	1.86		$	(11.99	)	$	(1.99	)	$	3.78

Weighted-average shares outstanding (Note 1)		99,974			25,004			90,375			32,330

See accompanying notes to financial statements.

104

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015

(unaudited)


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

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

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

Net investment income (loss)		(33,316	)
Net realized gain (loss)		(174,875	)
Change in net unrealized appreciation/depreciation		28,220

Net income (loss)		(179,971	)

Shareholders’ equity, at September 30, 2015	$	5,534,391

See accompanying notes to financial statements.

105

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	(179,971	)	$	(122,212	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations		(11,027,181	)		(4,152,351	)
Proceeds from sales or maturities of short-term U.S. government and agency obligations		7,302,962			5,348,742
Net amortization and accretion on short-term U.S. government and agency obligations		(1,819	)		(988	)
Net realized gain (loss) on investments		(8	)		(85	)
Change in unrealized appreciation/depreciation on investments		(28,220	)		(2,618	)
Increase (Decrease) in management fee payable		7,051			(949	)

Net cash provided by (used in) operating activities		(3,927,186	)		1,069,539

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

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

Net increase (decrease) in cash		(330,852	)		93,889
Cash, beginning of period		846,919			28,116

Cash, end of period	$	516,067		$	122,005

See accompanying notes to financial statements.

106

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION


	September 30, 2015 (unaudited)		December 31, 2014
Assets
Cash	$	48,812,978	$	35,899,231
Segregated cash balances for swap agreements		906,000		—
Segregated cash balances with brokers for futures contracts		214,588,715		296,561,615
Short-term U.S. government and agency obligations (Note 3) (cost $3,281,880,201 and $3,005,824,301, respectively)		3,282,132,449		3,005,876,580
Unrealized appreciation on swap agreements		1,512,629		27,585,336
Unrealized appreciation on forward agreements		735,438		2,850,677
Unrealized appreciation on foreign currency forward contracts		7,273,738		19,594,239
Receivable from capital shares sold		37,505,806		58,085,447
Receivable on open futures contracts		16,162,402		56,002,326
Offering costs (Note 5)		181		49,384
Limitation by Sponsor		11,013		9,474

Total assets		3,609,641,349		3,502,514,309

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		18,034,002		25,400,996
Payable on open futures contracts		35,782,200		46,405,998
Brokerage commissions and fees payable		44,642		—
Management fee payable		5,451,988		2,657,505
Payable for offering costs		65,785		65,785
Unrealized depreciation on swap agreements		45,384,448		76,512,435
Unrealized depreciation on forward agreements		2,305,482		14,882,468
Unrealized depreciation on foreign currency forward contracts		2,992,083		4,528,636

Total liabilities		110,060,630		170,453,823

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		3,499,580,719		3,332,060,486

Total liabilities and shareholders’ equity	$	3,609,641,349	$	3,502,514,309

Shares outstanding		104,640,929		71,732,357

See accompanying notes to financial statements.

107

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014*

(unaudited)


	Three months ended September 30, 2015			Three months ended September 30, 2014			Nine months ended September 30, 2015			Nine months ended September 30, 2014
Investment Income
Interest	$	283,914		$	223,800		$	946,945		$	954,921

Expenses
Management fee		8,276,639			6,638,426			26,470,056			20,189,853
Brokerage commissions and fees		1,458,671			1,103,591			4,632,414			2,991,388
Offering costs		16,581			—			49,203			—
Limitation by Sponsor		—			—			(1,539	)		—
Reduction in Limitation by Sponsor		485			—			—			—

Total expenses		9,752,376			7,742,017			31,150,134			23,181,241

Net investment income (loss)		(9,468,462	)		(7,518,217	)		(30,203,189	)		(22,226,320	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		81,634,309			26,285,740			(469,190,037	)		(191,301,679	)
Swap agreements		(291,982,643	)		14,171,355			(279,256,847	)		11,100,356
Forward agreements		(49,890,271	)		5,364,040			(70,345,600	)		(33,412,320	)
Foreign currency forward contracts		(40,200,062	)		47,567,904			62,128,638			41,461,914
Short-term U.S. government and agency obligations		(1,053	)		36,987			161,365			125,433

Net realized gain (loss)		(300,439,720	)		93,426,026			(756,502,481	)		(172,026,296	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(131,925,029	)		88,565,200			(20,936,275	)		83,333,081
Swap agreements		(55,411,844	)		12,217,102			5,055,280			569,899
Forward agreements		10,145,947			(160,746,816	)		10,461,747			(75,862,753	)
Foreign currency forward contracts		13,991,261			87,267,536			(10,783,948	)		56,536,201
Short-term U.S. government and agency obligations		214,467			(11,313	)		199,969			(118,782	)

Change in net unrealized appreciation/depreciation		(162,985,198	)		27,291,709			(16,003,227	)		64,457,646

Net realized and unrealized gain (loss)		(463,424,918	)		120,717,735			(772,505,708	)		(107,568,650	)

Net income (loss)	$	(472,893,380	)	$	113,199,518		$	(802,708,897	)	$	(129,794,970	)

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

See accompanying notes to financial statements.

108

PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015*

(unaudited)


Shareholders’ equity, at December 31, 2014	$	3,332,060,486

Addition of 159,097,500 shares		7,141,981,500
Redemption of 126,188,928 shares		(6,171,752,370	)

Net addition (redemption) of 32,908,572 shares		970,229,130

Net investment income (loss)		(30,203,189	)
Net realized gain (loss)		(756,502,481	)
Change in net unrealized appreciation/depreciation		(16,003,227	)

Net income (loss)		(802,708,897	)

Shareholders’ equity, at September 30, 2015	$	3,499,580,719

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

See accompanying notes to financial statements.

109

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2015 AND 2014*

(unaudited)


	Nine months ended September 30, 2015			Nine months ended September 30, 2014
Cash flow from operating activities
Net income (loss)	$	(802,708,897	)	$	(129,794,970	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances for swap agreements		(906,000	)		—
Decrease (Increase) in segregated cash balances with brokers for futures contracts		81,972,900			47,885,931
Purchases of short-term U.S. government and agency obligations		(13,306,525,393	)		(8,327,469,985	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		13,031,571,704			8,571,832,172
Net amortization and accretion on short-term U.S government and agency obligations		(940,846	)		(952,923	)
Net realized gain (loss) on investments		(161,365	)		(125,433	)
Change in unrealized appreciation/depreciation on investments		(4,933,048	)		18,875,435
Decrease (Increase) in receivable on futures contracts		39,839,924			(10,935,940	)
Decrease (Increase) in Limitation by Sponsor		(1,539	)		—
Change in offering cost		49,203			(65,785	)
Increase (Decrease) in management fee payable		2,794,483			(331,421	)
Increase (Decrease) in brokerage commissions and fees payable		44,642			—
Increase (Decrease) in payable on futures contracts		(10,623,798	)		2,586,573
Increase (Decrease) in payable for offering costs		—			65,785

Net cash provided by (used in) operating activities		(970,528,030	)		171,569,439

Cash flow from financing activities
Proceeds from addition of shares		7,162,561,141			3,117,489,880
Payment on shares redeemed		(6,179,119,238	)		(3,282,670,391	)

Net cash provided by (used in) financing activities		983,441,903			(165,180,511	)

Net increase (decrease) in cash		12,913,873			6,388,928
Cash, beginning of period		35,899,231			23,390,732

Cash, end of period	$	48,813,104		$	29,779,660

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

See accompanying notes to financial statements.

110

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 30, 2015

(unaudited)

NOTE 1 – ORGANIZATION

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2015, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares Managed Futures Strategy (the “Managed Futures Fund”); (ii) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (iii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iv) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (v) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

On May 22, 2015, the Trust announced plans to liquidate ProShares Ultra Australian Dollar (ticker symbol: GDAY). ProShares Ultra Australian Dollar was closed to purchases and redemptions as of the close of regular trading on the NYSE Arca on June 18, 2015. Beginning June 19, 2015, no secondary market for ProShares Ultra Australian Dollar’s Shares remained. Proceeds of the liquidation were distributed to shareholders on June 29, 2015. Any shareholders remaining in the fund on June 29, 2015 automatically had their shares redeemed for cash at ProShares Ultra Australian Dollar’s net asset value per Share as of June 19, 2015. On June 30, 2015, the NYSE Arca filed a Form 25 removing the listing of ProShares Ultra Australian Dollar on the NYSE Arca. On July 10, 2015 a Form 15 was filed with the U.S. Securities and Exchange Commission (“SEC”) terminating the registration of ProShares Ultra Australian Dollar.

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

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

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

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

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The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -1x, -2x or 2x) of the period return of the corresponding benchmark and will likely differ significantly.

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

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

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the year ended December 31, 2014 and the nine months ended September 30, 2015. The ticker symbols for these Funds did not change and each Fund continues to trade on the NYSE Arca.


Fund	Execution Date (Prior to Opening of Trading)	Type of Split	Date Trading Resumed at Post- Split Price
ProShares VIX Mid-Term Futures ETF	November 6, 2014	1-for-4 reverse Share split	November 6, 2014
ProShares Short VIX Short-Term Futures ETF	January 21, 2014	2-for-1 Share split	January 24, 2014
ProShares Ultra VIX Short-Term Futures ETF	January 21, 2014	1-for-4 reverse Share split	January 24, 2014
ProShares Ultra VIX Short-Term Futures ETF	May 20, 2015	1-for-5 reverse Share split	May 20, 2015
ProShares Ultra Bloomberg Commodity	May 20, 2015	1-for-4 reverse Share split	May 20, 2015
ProShares Ultra Bloomberg Crude Oil	May 20, 2015	1-for-5 reverse Share split	May 20, 2015
ProShares Ultra Bloomberg Natural Gas	May 20, 2015	1-for-4 reverse Share split	May 20, 2015
ProShares Ultra Silver	January 21, 2014	1-for-4 reverse Share split	January 24, 2014
ProShares Ultra Yen	May 20, 2015	1-for-4 reverse Share split	May 20, 2015

The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of ProShares VIX Mid-Term Futures ETF, ProShares Ultra VIX Short-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver and ProShares Ultra Yen, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

The split was applied retroactively for all periods presented, increasing the number of Shares outstanding for ProShares Short VIX Short-Term Futures ETF, and resulted in a proportionate decrease in the price per Share and per Share information of such Fund. Therefore, the split did not change the aggregate net asset value of a shareholder’s investment at the time of the split.

NOTE 2 - SIGNIFICANT ACCOUNTING POLICIES

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

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The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2014, as filed with the SEC on March 2, 2015.

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated September 30, 2015, and represents non-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2015 were as follows. All times are Eastern Standard Time:


	Create/Redeem Cut-off*	NAV Calculation Time	NAV Calculation Date
UltraShort Silver, Ultra Silver	6:30 a.m.	7:00 a.m.	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 Bloomberg Commodity, Ultra Bloomberg Commodity	10:45 a.m.	2:30 p.m.	September 30
Managed Futures Strategy	10:45 a.m.	3:00 p.m.	September 30
UltraShort Australian Dollar	3:00 p.m.	4:00 p.m.	September 30
Short Euro, UltraShort Euro, Ultra Euro	3:00 p.m.	4:00 p.m.	September 30
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,	2:00 p.m.	4:15 p.m.	September 30
Short VIX Short-Term Futures ETF
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, 2015.

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Market value per Share is determined at the close of the NYSE Arca and may be later than when the Funds’ NAV per Share is calculated.

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the nine months ended September 30, 2015.

Investment Valuation

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

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

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

Fair Value of Financial Instruments

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

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

Level II – Inputs other than quoted prices included within Level I that are observable for the asset or liability, either directly or indirectly. Level II assets include the following: quoted prices for similar assets or liabilities in active markets, quoted prices for

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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, 2015 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
Managed Futures Strategy	$	—	$	103,182		$	—		$	—		$	—		$	103,182
VIX Short-Term Futures ETF		88,533,608		1,154,683			—			—			—			89,688,291
VIX Mid-Term Futures ETF		25,286,238		3,460,005			—			—			—			28,746,243
Short VIX Short-Term Futures ETF		606,156,790		(61,882,492	)		—			—			—			544,274,298
Ultra VIX Short-Term Futures ETF		192,258,925		24,843,975			—			—			—			217,102,900
UltraShort Bloomberg Commodity		6,062,965		—			—			—			210,073			6,273,038
UltraShort Bloomberg Crude Oil		131,365,647		(4,109,687	)		—			—			1,293,454			128,549,414
UltraShort Bloomberg Natural Gas		9,169,710		2,413,924			—			—			—			11,583,634
UltraShort Gold		74,161,976		8,640			368,112			—			—			74,538,728
UltraShort Silver		55,416,227		8,720			(523,519	)		—			—			54,901,428
Short Euro		22,432,678		160,875			—			—			—			22,593,553
UltraShort Australian Dollar		18,897,975		49,290			—			—			—			18,947,265
UltraShort Euro		542,602,902		—			—			5,303,567			—			547,906,469
UltraShort Yen		308,472,546		—			—			(890,729	)		—			307,581,817
Ultra Bloomberg Commodity		—		—			—			—			(60,301	)		(60,301	)
Ultra Bloomberg Crude Oil		809,558,932		(3,961,260	)		—			—			(45,315,045	)		760,282,627
Ultra Bloomberg Natural Gas		50,788,895		(13,889,434	)		—			—			—			36,899,461
Ultra Gold		79,793,461		(8,640	)		(1,289,231	)		—			—			78,495,590
Ultra Silver		245,461,699		(9,295	)		(125,406	)		—			—			245,326,998
Ultra Euro		10,695,537		—			—			(142,335	)		—			10,553,202
Ultra Yen		5,015,738		—			—			11,152			—			5,026,890

Total Trust	$	3,282,132,449	$	(51,657,514	)	$	(1,570,044	)	$	4,281,655		$	(43,871,819	)	$	3,189,314,727

*	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, 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 September 30, 2015, there were no significant transfers in or out of Level I and Level II fair value measurements.

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

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The following table summarizes the valuation of investments at December 31, 2014 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
Managed Futures Strategy	$	—	$	104,327		$	—		$	—		$	—		$	104,327
VIX Short-Term Futures ETF		82,088,299		6,264,620			—			—			—			88,352,919
VIX Mid-Term Futures ETF		24,105,906		260,665			—			—			—			24,366,571
Short VIX Short-Term Futures ETF		446,975,220		(16,352,149	)		—			—			—			430,623,071
Ultra VIX Short-Term Futures ETF		182,639,188		39,585,253			—			—			—			222,224,441
UltraShort Bloomberg Commodity		4,233,548		—			—			—			567,259			4,800,807
UltraShort Bloomberg Crude Oil		131,594,608		15,806,603			—			—			27,018,077			174,419,288
UltraShort Bloomberg Natural Gas		8,672,710		3,941,465			—			—			—			12,614,175
UltraShort Gold		84,040,107		(4,520	)		(2,282,778	)		—			—			81,752,809
UltraShort Silver		52,226,692		1,560			594,953			—			—			52,823,205
Short Euro		12,086,577		385,331			—			—			—			12,471,908
UltraShort Australian Dollar		20,267,679		743,481			—			—			—			21,011,160
UltraShort Euro		487,111,117		—			—			16,762,994			—			503,874,111
UltraShort Yen		532,957,746		—			—			(1,578,775	)		—			531,378,971
Ultra Bloomberg Commodity		2,754,900		—			—			—			(331,338	)		2,423,562
Ultra Bloomberg Crude Oil		467,200,736		(46,474,787	)		—			—			(76,181,097	)		344,544,852
Ultra Bloomberg Natural Gas		53,410,227		(34,889,283	)		—			—			—			18,520,944
Ultra Gold		101,927,857		4,580			2,051,154			—			—			103,983,591
Ultra Silver		305,474,211		(1,560	)		(12,395,120	)		—			—			293,077,531
Ultra Euro		2,415,698		—			—			(103,371	)		—			2,312,327
Ultra Yen		1,287,869		—			—			(15,245	)		—			1,272,624

Total Trust	$	3,003,470,895	$	(30,624,414	)	$	(12,031,791	)	$	15,065,603		$	(48,927,099	)	$	2,926,953,194

Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments as presented in the Form 10-K for the year ended December 31, 2014. Only current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2014 in receivable/payable on open futures.

At December 31, 2014, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

At December 31, 2014, there were no significant transfers in or out of Level I and Level II fair value measurements.

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

Investment Transactions and Related Income

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

Brokerage Commissions and Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income or similar securities would also be borne by the Funds. Brokerage commissions on

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futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). From January 1, 2014 through July 30, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

Federal Income Tax

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

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

NOTE 3 – INVESTMENTS

Short-Term Investments

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

Accounting for Derivative Instruments

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

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

Futures Contracts

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

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Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is effected. The initial margin is segregated as cash balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk (specifically commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

Swap Agreements

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

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

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

118

amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

The Trust, on behalf of a Fund, may enter into agreements with certain counterparties for derivative transactions. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2015 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with uncleared swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2015, 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

119

specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.

Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in burdensome reporting requirements.

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2015, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

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

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The following tables indicate the location of derivative related items on the Statement of Financial Condition as well as the effect of derivative instruments on the Statement of Operations during the reporting period.

Fair Value of Derivative Instruments

as of September 30, 2015

Asset Derivatives

Liability Derivatives

Derivatives not

accounted for

as hedging

instruments

Statements of

Financial

Condition

Location

Fund

Unrealized
Appreciation

Statements of

Financial

Condition

Location

Fund

Unrealized
Depreciation

Managed Futures Contracts

Receivables on open futures contracts

ProShares Managed Futures Strategy

136,553

Payable on open futures contracts

ProShares Managed Futures Strategy

33,371

VIX Futures Contracts

Receivables on open futures contracts

ProShares VIX Short-Term Futures ETF

2,138,199

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

983,516

ProShares VIX Mid-Term Futures ETF

3,460,005

ProShares Short VIX Short-Term Futures ETF

61,882,492

ProShares Ultra VIX Short-Term Futures ETF

24,843,975

Commodities Contracts

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

ProShares UltraShort Bloomberg Commodity

210,073

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

ProShares UltraShort Bloomberg Crude Oil

4,118,789

ProShares UltraShort Bloomberg Crude Oil

1,302,556

ProShares UltraShort Silver

523,519

ProShares UltraShort Bloomberg Natural Gas

2,413,924

ProShares Ultra Bloomberg Commodity

60,301

ProShares UltraShort Gold

376,752

ProShares Ultra Bloomberg Crude Oil

49,276,305

ProShares UltraShort Silver

8,720

ProShares Ultra Bloomberg Natural Gas

13,889,434

ProShares Ultra Silver

367,326

ProShares Ultra Gold

1,297,871

ProShares Ultra Silver

502,027

Foreign Exchange Contracts

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

ProShares Short Euro

160,875

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

ProShares UltraShort Euro

1,876,489

ProShares UltraShort Australian Dollar

49,290

ProShares UltraShort Yen

968,851

ProShares UltraShort Euro

7,180,056

ProShares Ultra Euro

146,251

ProShares UltraShort Yen

78,122

ProShares Ultra Yen

492

ProShares Ultra Euro

3,916

ProShares Ultra Yen

11,644

Total Trust

42,741,986

Total Trust

135,559,708

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

121

Fair Value of Derivative Instruments

as of December 31, 2014

Asset Derivatives

Liability Derivatives

Derivatives not

accounted for

as hedging

instruments

Statements of

Financial

Condition

Location

Fund

Unrealized
Appreciation

Statements of

Financial

Condition

Location

Fund

Unrealized
Depreciation

Managed Futures Contracts

Receivables on open futures contracts

ProShares Managed Futures Strategy

122,831

Payable on open futures contracts

ProShares Managed Futures Strategy

18,504

VIX Futures Contracts

Receivables on open futures contracts

ProShares VIX Short-Term Futures ETF

6,264,620

Payable on open futures contracts

ProShares VIX Mid-Term Futures ETF

222,845

ProShares VIX Mid-Term Futures ETF

483,510

ProShares Short VIX Short-Term ETF

16,352,149

ProShares Ultra VIX Short-Term Futures ETF

39,585,253

Commodities Contracts

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

ProShares UltraShort Bloomberg Commodity

567,259

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

ProShares UltraShort Gold

2,287,298

ProShares UltraShort Bloomberg Crude Oil

42,824,680

ProShares UltraShort Silver

204,570

ProShares UltraShort Bloomberg Natural Gas

3,941,465

ProShares Ultra Bloomberg Commodity

331,338

ProShares UltraShort Silver

801,083

ProShares Ultra Bloomberg Crude Oil

122,655,884

ProShares Ultra Gold

2,055,734

ProShares Ultra Bloomberg Natural Gas

34,889,283

ProShares Ultra Silver

12,396,680

Foreign Exchange Contracts

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

ProShares Short Euro

385,331

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

ProShares UltraShort Euro

2,256,771

ProShares UltraShort Australian Dollar

743,481

ProShares UltraShort Yen

2,149,924

ProShares UltraShort Euro

19,019,765

ProShares Ultra Euro

106,292

ProShares UltraShort Yen

571,149

ProShares Ultra Yen

15,649

ProShares Ultra Euro

2,921

ProShares Ultra Yen

404

Total Trust

117,369,486

Total Trust

193,887,187

122

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended 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
Managed Futures Contracts	Net realized gain (loss) on futures contracts / changes in unrealized appreciation/depreciation on futures contracts	ProShares Managed Futures Strategy	$	(180,345	)	$	208,302
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 Commodity		1,287,180			447,645
		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 Commodity		(520,396	)		(156,458	)
		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	$	(300,438,667	)	$	(163,199,665	)

123

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2014


Derivatives not accounted for as hedging instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts / changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF	$	(2,990,117	)	$	19,045,502
		ProShares VIX Mid-Term Futures ETF		(4,036,079	)		5,996,790
		ProShares Short VIX Short-Term Futures ETF		18,146,923			(33,969,073	)
		ProShares Ultra VIX Short-Term Futures ETF		(4,719,200	)		89,185,433
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity		502,112			401,110
		ProShares UltraShort Bloomberg Crude Oil		42,549,744			29,109,258
		ProShares UltraShort Bloomberg Natural Gas		13,918,036			(4,337,530	)
		ProShares UltraShort Gold		(4,376,264	)		16,210,828
		ProShares UltraShort Silver		(1,123,414	)		22,946,708
		ProShares Ultra Bloomberg Commodity		(651,785	)		(339,598	)
		ProShares Ultra Bloomberg Crude Oil		(16,410,261	)		(12,476,761	)
		ProShares Ultra Bloomberg Natural Gas		(7,087,097	)		5,766,729
		ProShares Ultra Gold		1,375,191			(21,377,754	)
		ProShares Ultra Silver		9,486,957			(178,532,813	)
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		767,314			541,828
		ProShares UltraShort Australian Dollar		549,795			2,249,440
		ProShares UltraShort Euro		32,039,809			42,910,400
		ProShares UltraShort Yen		15,787,084			44,778,863
		ProShares Ultra Euro		(172,537	)		(212,588	)
		ProShares Ultra Yen		(86,452	)		(209,139	)

		Total Trust	$	93,469,759		$	27,687,633

124

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
Managed Futures Contracts	Net realized gain (loss) on futures contracts / changes in unrealized appreciation/depreciation on futures contracts	ProShares Managed Futures Strategy	$	(262,050	)	$	(1,145	)
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 Commodity		2,068,198			(357,186	)
		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 Commodity		(1,033,383	)		271,037
		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	$	(756,361,936	)	$	(16,300,021	)

125

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2014


Derivatives not accounted for as hedging instruments	Location of Gain (Loss) on Derivatives Recognized in Income	Fund	Realized Gain (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income
VIX Futures Contracts	Net realized gain (loss) on futures contracts / changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF	$	(28,437,457	)	$	29,084,702
		ProShares VIX Mid-Term Futures ETF		(16,100,400	)		7,398,429
		ProShares Short VIX Short-Term Futures ETF		94,414,974			(33,165,401	)
		ProShares Ultra VIX Short-Term Futures ETF		(255,442,487	)		72,661,998
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity		(3,522	)		379,056
		ProShares UltraShort Bloomberg Crude Oil		(1,295,265	)		11,401,138
		ProShares UltraShort Bloomberg Natural Gas		2,732,493			(2,911,986	)
		ProShares UltraShort Gold		(12,650,556	)		(25,093	)
		ProShares UltraShort Silver		(1,282,703	)		14,580,242
		ProShares Ultra Bloomberg Commodity		(274,839	)		(345,632	)
		ProShares Ultra Bloomberg Crude Oil		14,597,508			(9,827,181	)
		ProShares Ultra Bloomberg Natural Gas		9,878,729			8,012,503
		ProShares Ultra Gold		3,319,675			(1,317,485	)
		ProShares Ultra Silver		(22,797,421	)		(89,115,067	)
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		925,848			463,900
		ProShares UltraShort Australian Dollar		(1,375,743	)		968,995
		ProShares UltraShort Euro		25,744,724			51,071,566
		ProShares UltraShort Yen		15,952,890			5,744,569
		ProShares Ultra Euro		(127,652	)		(282,823	)
		ProShares Ultra Yen		(108,048	)		2,889

		Total Trust	$	(172,329,252	)	$	64,779,319

126

Offsetting Assets and Liabilities

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

The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2015:


Fair Values of Derivative Instruments as of September 30, 2015
	Assets						Liabilities
	Gross Amounts of Recognized Assets presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Liabilities presented in the Statements of Financial Condition
ProShares UltraShort Bloomberg Commodity
Swap agreements	$	210,073	$	—	$	210,073	$	—	$	—	$	—
ProShares UltraShort Bloomberg Crude Oil
Swap agreements		1,302,556		—		1,302,556		9,102		—		9,102
ProShares UltraShort Gold
Forward agreements		368,112		—		368,112		—		—		—
ProShares UltraShort Silver
Forward agreements		—		—		—		523,519		—		523,519
ProShares UltraShort Euro
Foreign currency forward contracts		7,180,056		—		7,180,056		1,876,489		—		1,876,489
ProShares UltraShort Yen
Foreign currency forward contracts		78,122		—		78,122		968,851		—		968,851
ProShares Ultra Bloomberg Commodity
Swap agreements		—		—		—		60,301		—		60,301
ProShares Ultra Bloomberg Crude Oil
Swap agreements		—		—		—		45,315,045		—		45,315,045
ProShares Ultra Gold
Forward agreements		—		—		—		1,289,231		—		1,289,231
ProShares Ultra Silver
Forward agreements		367,326		—		367,326		492,732		—		492,732
ProShares Ultra Euro
Foreign currency forward contracts		3,916		—		3,916		146,251		—		146,251
ProShares Ultra Yen
Foreign currency forward contracts		11,644		—		11,644		492		—		492

127

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2015. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.


Gross Amounts Not Offset in the Statements of Financial Condition as of September 30, 2015
	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares UltraShort Bloomberg Commodity
Deutsche Bank AG	$	80,000		$	—		$	(50,000	)	$	30,000
Goldman Sachs International		94,573			—			—			94,573
UBS AG		35,500			—			—			35,500
ProShares UltraShort Bloomberg Crude Oil
Deutsche Bank AG		587,462			—			(450,000	)		137,462
Goldman Sachs International		127,029			(1,174	)		—			125,855
Societe Generale S.A.		588,065			(588,065	)		—			—
UBS AG		(9,102	)		9,102			—			—
ProShares UltraShort Gold
Deutsche Bank AG		47,487			—			—			47,487
Goldman Sachs International		148,845			—			—			148,845
Societe Generale S.A.		93,204			(93,204	)		—			—
UBS AG		78,576			—			—			78,576
ProShares UltraShort Silver
Deutsche Bank AG		(81,990	)		81,990			—			—
Goldman Sachs International		(356,851	)		356,851			—			—
Societe Generale S.A.		(16,671	)		16,671			—			—
UBS AG		(68,007	)		68,007			—			—
ProShares UltraShort Euro
Goldman Sachs International		2,864,629			—			—			2,864,629
UBS AG		2,438,938			—			—			2,438,938
ProShares UltraShort Yen
Goldman Sachs International		(417,483	)		417,483			—			—
UBS AG		(473,246	)		473,246			—			—
ProShares Ultra Bloomberg Commodity
Deutsche Bank AG		(24,403	)		—			24,403			—
Goldman Sachs International		(26,072	)		—			26,072			—
UBS AG		(9,826	)		—			9,826			—
ProShares Ultra Bloomberg Crude Oil
Deutsche Bank AG		(13,364,460	)		13,364,460			—			—
Goldman Sachs International		(13,515,250	)		13,515,250			—			—
Societe Generale S.A.		(3,967,675	)		3,967,675			—			—
UBS AG		(14,467,660	)		14,467,660			—			—
ProShares Ultra Gold
Deutsche Bank AG		(619,312	)		619,312			—			—
Goldman Sachs International		(222,153	)		222,153			—			—
Societe Generale S.A.		(113,075	)		113,075			—			—
UBS AG		(334,691	)		334,691			—			—
ProShares Ultra Silver
Deutsche Bank AG		325,395			—			(325,395	)		—
Goldman Sachs International		(372,086	)		372,086			—			—
Societe Generale S.A.		41,931			(41,931	)		—			—
UBS AG		(120,646	)		120,646			—			—
ProShares Ultra Euro
Goldman Sachs International		(76,938	)		76,938			—			—
UBS AG		(65,397	)		65,397			—			—
ProShares Ultra Yen
Goldman Sachs International		8,221			—			—			8,221
UBS AG		2,931			—			—			2,931

128


Fair Values of Derivative Instruments as of December 31, 2014
	Assets						Liabilities
	Gross Amounts of Recognized Assets presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Liabilities presented in the Statements of Financial Condition
ProShares UltraShort Bloomberg Commodity
Swap agreements	$	567,259	$	—	$	567,259	$	—	$	—	$	—
ProShares UltraShort Bloomberg Crude Oil
Swap agreements		27,018,077		—		27,018,077		—		—		—
ProShares UltraShort Gold
Forward agreements		—		—		—		2,282,778		—		2,282,778
ProShares UltraShort Silver
Forward agreements		799,523		—		799,523		204,570		—		204,570
ProShares UltraShort Euro
Foreign currency forward contracts		19,019,765		—		19,019,765		2,256,771		—		2,256,771
ProShares UltraShort Yen
Foreign currency forward contracts		571,149		—		571,149		2,149,924		—		2,149,924
ProShares Ultra Bloomberg Commodity
Swap agreements		—		—		—		331,338		—		331,338
ProShares Ultra Bloomberg Crude Oil
Swap agreements		—		—		—		76,181,097		—		76,181,097
ProShares Ultra Gold
Forward agreements		2,051,154		—		2,051,154		—		—		—
ProShares Ultra Silver
Forward agreements		—		—		—		12,395,120		—		12,395,120
ProShares Ultra Euro
Foreign currency forward contracts		2,921		—		2,921		106,292		—		106,292
ProShares Ultra Yen
Foreign currency forward contracts		404		—		404		15,649		—		15,649

129

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2014. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.


Gross Amounts Not Offset in the Statements of Financial Condition as of December 31, 2014
	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares UltraShort Bloomberg Commodity
Deutsche Bank AG	$	243,474		$	—		$	—		$	243,474
Goldman Sachs International		240,271			—			—			240,271
UBS AG		83,514			—			—			83,514
ProShares UltraShort Bloomberg Crude Oil
Deutsche Bank AG		7,669,493			—			(6,800,000	)		869,493
Goldman Sachs International		8,362,336			(7,598,657	)		—			763,679
Societe Generale S.A.		2,132,657			(2,132,657	)		—			—
UBS AG		8,853,591			(8,281,350	)		—			572,241
ProShares UltraShort Gold
Deutsche Bank AG		(1,422,997	)		1,422,997			—			—
Goldman Sachs International		(354,660	)		354,660			—			—
Societe Generale S.A.		(182,225	)		182,225			—			—
UBS AG		(322,896	)		322,896			—			—
ProShares UltraShort Silver
Deutsche Bank AG		462,619			—			(462,619	)		—
Goldman Sachs International		138,563			(138,563	)		—			—
Societe Generale S.A.		198,341			(198,341	)		—			—
UBS AG		(204,570	)		204,570			—			—
ProShares UltraShort Euro
Goldman Sachs International		8,193,303			(6,008,925	)		—			2,184,378
UBS AG		8,569,691			(6,592,366	)		(11,518	)		1,965,807
ProShares UltraShort Yen
Goldman Sachs International		(1,466,239	)		1,466,239			—			—
UBS AG		(112,536	)		112,536			—			—
ProShares Ultra Bloomberg Commodity
Deutsche Bank AG		(143,751	)		143,751			—			—
Goldman Sachs International		(138,532	)		138,532			—			—
UBS AG		(49,055	)		49,055			—			—
ProShares Ultra Bloomberg Crude Oil
Deutsche Bank AG		(24,223,667	)		24,223,667			—			—
Goldman Sachs International		(24,285,701	)		24,285,701			—			—
Societe Generale S.A.		(5,528,160	)		5,528,160			—			—
UBS AG		(22,143,569	)		22,143,569			—			—
ProShares Ultra Gold
Deutsche Bank AG		1,231,694			—			(1,231,694	)		—
Goldman Sachs International		222,126			—			—			222,126
Societe Generale S.A.		190,591			(190,591	)		—			—
UBS AG		406,743			(406,743	)		—			—
ProShares Ultra Silver
Deutsche Bank AG		(6,220,069	)		6,220,069			—			—
Goldman Sachs International		(2,124,796	)		2,124,796			—			—
Societe Generale S.A.		(1,384,207	)		1,384,207			—			—
UBS AG		(2,666,048	)		2,666,048			—			—
ProShares Ultra Euro
Goldman Sachs International		(38,856	)		38,856			—			—
UBS AG		(64,515	)		64,515			—			—
ProShares Ultra Yen
Goldman Sachs International		(12,255	)		12,255			—			—
UBS AG		(2,990	)		2,990			—			—

130

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. The Managed Futures Fund will pay the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.75% per annum of its average daily net assets. The Sponsor did not and will not charge the Management Fee in the first year of operation of each Fund in an amount equal to the offering costs. The Sponsor reimbursed each Fund, to the extent that its offering costs exceed the Management Fee, for the first year of operations.

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

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

The Administrator

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

The Custodian

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

The Distributor

SEI Investments Distribution Co. (“SEI”), serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI.

131

Non-Recurring Fees and Expenses

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

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor did not and will not charge its Management Fee in the first year of operations of the Managed Futures Fund in an amount equal to the offering costs. The Sponsor will reimburse the Managed Futures Fund to the extent its offering costs exceed 0.75% of its average daily NAV for the first year of operations. Normal and expected expenses incurred in connection with the continuous offering of Shares of the Managed Futures Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and the Managed Futures Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements, such as references to the Transaction Fees imposed on purchases and redemptions, is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is dictated by the terms of the Authorized Participant Agreement and Authorized Participant Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co., as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

132

Transaction fees for the three and nine months ended September 30, 2015, which are included in the Sale and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:


Fund	Three Months Ended September 30, 2015		Nine Months Ended September 30, 2015
Managed Futures Strategy	$	—	$	—
VIX Short-Term Futures ETF		43,747		95,573
VIX Mid-Term Futures ETF		—		8,093
Short VIX Short-Term Futures ETF		139,688		267,654
Ultra VIX Short-Term Futures ETF		472,333		1,086,845
UltraShort Bloomberg Commodity		—		—
UltraShort Bloomberg Crude Oil		69,807		338,253
UltraShort Bloomberg Natural Gas		1,894		6,733
UltraShort Gold		1,162		7,441
UltraShort Silver		5,261		25,147
Short Euro		—		—
UltraShort Australian Dollar		—		—
UltraShort Euro		—		—
UltraShort Yen		—		—
Ultra Bloomberg Commodity		401		937
Ultra Bloomberg Crude Oil		140,803		691,077
Ultra Bloomberg Natural Gas		4,351		13,105
Ultra Gold		392		2,715
Ultra Silver		7,010		29,895
Ultra Euro		—		—
Ultra Yen		—		—

Total Trust	$	886,849	$	2,573,468

133

NOTE 7 – FINANCIAL HIGHLIGHTS

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	Managed Futures Strategy			VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF			Short VIX Short-Term Futures ETF			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil
Net asset value, at June 30, 2015	$	20.4976		$	13.5185		$	54.9398		$	78.8529		$	44.5168		$	86.9410		$	56.8124
Net investment income (loss)		(0.0437	)		(0.0322	)		(0.1221	)		(0.2058	)		(0.1658	)		(0.2509	)		(0.2323	)
Net realized and unrealized gain (loss)#		0.1310			3.7821			9.0130			(31.4722	)		12.8701			28.9181			30.9380
Change in net asset value from operations		0.0873			3.7499			8.8909			(31.6780	)		12.7043			28.6672			30.7057
Net asset value, at September 30, 2015	$	20.5849		$	17.2684		$	63.8307		$	47.1749		$	57.2211		$	115.6082		$	87.5181

Market value per share, at June 30, 2015†	$	20.90		$	13.42		$	54.31		$	79.06		$	43.96		$	88.96		$	57.12
Market value per share, at September 30, 2015†	$	20.81		$	17.08		$	63.44		$	47.64		$	55.96		$	114.58		$	86.17

Total Return, at net asset value^		0.4	%		27.7	%		16.2	%		(40.2	)%		28.5	%		33.0	%		54.0	%
Total Return, at market value^		(0.4	)%		27.3	%		16.8	%		(39.7	)%		27.3	%		28.8	%		50.9	%

Ratios to Average Net Assets**

Expense ratio		(0.85	)%		(1.00	)%		(0.87	)%		(1.43	)%		(1.73	)%		(0.95	)%		(1.10	)%
Expense ratio, excluding brokerage commissions		(0.75	)%		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.85	)%		(0.97	)%		(0.86	)%		(1.39	)%		(1.70	)%		(0.92	)%		(1.07	)%

*	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.

134

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


Per Share Operating Performance	UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen
Net asset value, at June 30, 2015	$	74.7968		$	99.0011		$	109.4314		$	43.0220		$	54.5527		$	24.7394		$	92.1775
Net investment income (loss)		(0.2693	)		(0.2445	)		(0.2751	)		(0.1036	)		(0.1555	)		(0.0575	)		(0.2127	)
Net realized and unrealized gain (loss)#		22.6066			8.2315			10.9009			(0.1537	)		10.1266			(0.3042	)		(4.1411	)
Change in net asset value from operations		22.3373			7.9870			10.6258			(0.2573	)		9.9711			(0.3617	)		(4.3538	)
Net asset value, at September 30, 2015	$	97.1341		$	106.9881		$	120.0572		$	42.7647		$	64.5238		$	24.3777		$	87.8237

Market value per share, at June 30, 2015†	$	75.20		$	98.82		$	108.54		$	43.05		$	55.09		$	24.75		$	92.19
Market value per share, at September 30, 2015†	$	96.84		$	106.63		$	122.16		$	42.78		$	64.53		$	24.36		$	87.82

Total Return, at net asset value^		29.9	%		8.1	%		9.7	%		(0.6	)%		18.3	%		(1.5	)%		(4.7	)%
Total Return, at market value^		28.8	%		7.9	%		12.5	%		(0.6	)%		17.1	%		(1.6	)%		(4.7	)%

Ratios to Average Net Assets**

Expense ratio		(1.39	)%		(0.95	)%		(0.95	)%		(0.97	)%		(1.03	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0 .95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(1.36	)%		(0 .91	)%		(0.92	)%		(0.95	)%		(1.01	)%		(0.92	)%		(0.92	)%

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

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

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

**	Percentages are annualized

135

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


Per Share Operating Performance	Ultra Bloomberg Commodity*			Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen*
Net asset value, at June 30, 2015	$	49.5838		$	45.4988		$	45.4247		$	37.0199		$	36.4482		$	16.5907		$	53.5029
Net investment income (loss)		(0.0935	)		(0.0649	)		(0.1265	)		(0.0791	)		(0.0739	)		(0.0386	)		(0.1175	)
Net realized and unrealized gain (loss)#		(13.6501	)		(23.0862	)		(13.2778	)		(3.7877	)		(5.3251	)		(0.0071	)		1.9729
Change in net asset value from operations		(13.7436	)		(23.1511	)		(13.4043	)		(3.8668	)		(5.3990	)		(0.0457	)		1.8554
Net asset value, at September 30, 2015	$	35.8402		$	22.3477		$	32.0204		$	33.1531		$	31.0492		$	16.5450		$	55.3583

Market value per share, at June 30, 2015†	$	47.02		$	45.20		$	45.20		$	37.04		$	36.63		$	16.59		$	53.61
Market value per share, at September 30, 2015†	$	35.88		$	22.68		$	32.19		$	33.23		$	30.53		$	16.53		$	55.38

Total Return, at net asset value^		(27.7	)%		(50.9	)%		(29.5	)%		(10.4	)%		(14.8	)%		(0.3	)%		3.5	%
Total Return, at market value^		(23.7	)%		(49.8	)%		(28.8	)%		(10.3	)%		(16.7	)%		(0.4	)%		3.3	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(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	)%		(0.95	)%
Net investment income (loss)		(0.94	)%		(0.98	)%		(1.23	)%		(0.92	)%		(0.90	)%		(0.93	)%		(0.87	)%

*	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.

136

Selected data for a Share outstanding throughout the three months ended September 30, 2014:

For the Three Months Ended September 30, 2014 (unaudited)


Per Share Operating Performance	VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF			Short VIX Short-Term Futures ETF			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas
Net asset value, at June 30, 2014	$	19.0084		$	61.7690		$	88.4063		$	132.7602		$	54.2430		$	24.6332		$	40.5583
Net investment income (loss)		(0.0444	)		(0.1295	)		(0.3181	)		(0.5878	)		(0.1422	)		(0.0654	)		(0.1378	)
Net realized and unrealized gain (loss)#		1.8571			2.3798			(13.2748	)		16.6593			15.0557			6.2237			5.8977
Change in net asset value from operations		1.8127			2.2503			(13.5929	)		16.0715			14.9135			6.1583			5.7599
Net asset value, at September 30, 2014	$	20.8211		$	64.0193		$	74.8134		$	148.8317		$	69.1565		$	30.7915		$	46.3182

Market value per share, at June 30, 2014†	$	19.03		$	61.88		$	88.27		$	133.10		$	52.00		$	24.61		$	40.43
Market value per share, at September 30, 2014†	$	20.78		$	63.88		$	74.94		$	148.15		$	67.85		$	30.60		$	46.48

Total Return, at net asset value^		9.5	%		3.6	%		(15.4	)%		12.1	%		27.5	%		25.0	%		14.2	%
Total Return, at market value^		9.2	%		3.2	%		(15.1	)%		11.3	%		30.5	%		24.3	%		15.0	%

Ratios to Average Net Assets**

Expense ratio		(0.94	)%		(0.88	)%		(1.54	)%		(1.82	)%		(0.95	)%		(0.97	)%		(1.14	)%
Expense ratio, excluding brokerage commissions		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.92	)%		(0.85	)%		(1.52	)%		(1.80	)%		(0.92	)%		(0.94	)%		(1.11	)%

*	See Note 1 of these Notes to Financial Statements.

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

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

^	Percentages are not annualized for the period ended September 30, 2014.

**	Percentages are annualized.

137

For the Three Months Ended September 30, 2014 (unaudited)


Per Share Operating Performance	UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity*
Net asset value, at June 30, 2014	$	83.9968		$	73.6642		$	35.6131		$	40.2542		$	17.0603		$	64.8923		$	88.1153
Net investment income (loss)		(0.2023	)		(0.1862	)		(0.0864	)		(0.1020	)		(0.0419	)		(0.1581	)		(0.1789	)
Net realized and unrealized gain (loss)#		13.1335			33.6339			2.9991			5.7257			2.9566			11.0143			(19.8240	)
Change in net asset value from operations		12.9312			33.4477			2.9127			5.6237			2.9147			10.8562			(20.0029	)
Net asset value, at September 30, 2014	$	96.9280		$	107.1119		$	38.5258		$	45.8779		$	19.9750		$	75.7485		$	68.1124

Market value per share, at June 30, 2014†	$	82.11		$	72.05		$	35.66		$	40.29		$	17.05		$	64.89		$	88.08
Market value per share, at September 30, 2014†	$	98.24		$	107.60		$	38.50		$	45.82		$	19.96		$	75.76		$	68.24

Total Return, at net asset value^		15.4	%		45.4	%		8.2	%		14.0	%		17.1	%		16.7	%		(22.7	)%
Total Return, at market value^		19.6	%		49.3	%		8.0	%		13.7	%		17.1	%		16.8	%		(22.5	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.95	)%		(0.96	)%		(1.01	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.92	)%		(0.91	)%		(0.93	)%		(0.98	)%		(0.91	)%		(0.92	)%		(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, 2014.

**	Percentages are annualized.

138

For the Three Months Ended September 30, 2014 (unaudited)


Per Share Operating Performance	Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen*
Net asset value, at June 30, 2014	$	195.9524		$	180.1407		$	48.3777		$	70.1043		$	25.6654		$	79.8693
Net investment income (loss)		(0.3890	)		(0.3691	)		(0.1051	)		(0.1442	)		(0.0553	)		(0.1751	)
Net realized and unrealized gain (loss)#		(44.9744	)		(34.9239	)		(7.1796	)		(23.5528	)		(3.8505	)		(11.8185	)
Change in net asset value from operations		(45.3634	)		(35.2930	)		(7.2847	)		(23.6970	)		(3.9058	)		(11.9936	)
Net asset value, at September 30, 2014	$	150.5890		$	144.8477		$	41.0930		$	46.4073		$	21.7596		$	67.8757

Market value per share, at June 30, 2014†	$	195.95		$	180.08		$	49.41		$	71.76		$	25.80		$	80.28
Market value per share, at September 30, 2014†	$	151.70		$	144.80		$	40.59		$	46.15		$	21.72		$	68.24

Total Return, at net asset value^		(23.2	)%		(19.6	)%		(15.1	)%		(33.8	)%		(15.2	)%		(15.0	)%
Total Return, at market value^		(22.6	)%		(19.6	)%		(17.9	)%		(35.7	)%		(15.8	)%		(15.0	)%

Ratios to Average Net Assets**

Expense ratio		(0.97	)%		(1.09	)%		(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)		(0.94	)%		(1.06	)%		(0.91	)%		(0.91	)%		(0.91	)%		(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, 2014.

**	Percentages are annualized.

139

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	Managed Futures Strategy			VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF			Short VIX Short-Term Futures ETF			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil
Net asset value, at December 31, 2014	$	21.1354		$	20.9321		$	63.6020		$	61.4004		$	125.4591		$	87.7495		$	77.9790

Net investment income (loss)		(0.1315	)		(0.1030	)		(0.3887	)		(0.6553	)		(0.6630	)		(0.6608	)		(0.5599	)
Net realized and unrealized gain (loss)#		(0.4190	)		(3.5607	)		0.6174			(13.5702	)		(67.5750	)		28.5195			10.0990
Change in net asset value from operations		(0.5505	)		(3.6637	)		0.2287			(14.2255	)		(68.2380	)		27.8587			9.5391
Net asset value, at September 30, 2015	$	20.5849		$	17.2684		$	63.8307		$	47.1749		$	57.2211		$	115.6082		$	87.5181

Market value per share, at December 31, 2014†	$	21.28		$	20.99		$	63.89		$	61.16		$	125.75		$	87.44		$	76.52
Market value per share, at September 30, 2015†	$	20.81		$	17.08		$	63.44		$	47.64		$	55.96		$	114.58		$	86.17

Total Return, at net asset value^		(2.6	)%		(17.5	)%		0.4	%		(23.2	)%		(54.4	)%		31.7	%		12.2	%
Total Return, at market value^		(2.2	)%		(18.6	)%		(0.7	)%		(22.1	)%		(55.5	)%		31.0	%		12.6	%

Ratios to Average Net Assets**

Expense ratio		(0.84	)%		(0.97	)%		(0.92	)%		(1.43	)%		(1.65	)%		(0.95	)%		(1.06	)%
Expense ratio, excluding brokerage commissions		(0.75	)%		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.84	)%		(0.94	)%		(0.89	)%		(1.40	)%		(1.63	)%		(0.92	)%		(1.03	)%

*	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.

140

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


Per Share Operating Performance	UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen
Net asset value, at December 31, 2014	$	83.9577		$	96.6516		$	115.6143		$	40.0617		$	51.3790		$	21.5946		$	89.3336

Net investment income (loss)		(0.8587	)		(0.6723	)		(0.7355	)		(0.3052	)		(0.4262	)		(0.1699	)		(0.6161	)
Net realized and unrealized gain (loss)#		14.0351			11.0088			5.1784			3.0082			13.5710			2.9530			(0.8938	)
Change in net asset value from operations		13.1764			10.3365			4.4429			2.7030			13.1448			2.7831			(1.5099	)
Net asset value, at September 30, 2015	$	97.1341		$	106.9881		$	120.0572		$	42.7647		$	64.5238		$	24.3777		$	87.8237

Market value per share, at December 31, 2014†	$	82.03		$	100.22		$	119.39		$	40.03		$	51.37		$	21.61		$	89.30
Market value per share, at September 30, 2015†	$	96.84		$	106.63		$	122.16		$	42.78		$	64.53		$	24.36		$	87.82

Total Return, at net asset value^		15.7	%		10.7	%		3.8	%		6.7	%		25.6	%		12.9	%		(1.7	)%
Total Return, at market value^		18.1	%		6.4	%		2.3	%		6.9	%		25.6	%		12.7	%		(1.7	)%

Ratios to Average Net Assets**

Expense ratio		(1.47	)%		(0.95	)%		(0.95	)%		(0.97	)%		(1.03	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(1.44	)%		(0.91	)%		(0.92	)%		(0.94	)%		(1.01	)%		(0.91	)%		(0.91	)%

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

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

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

**	Percentages are annualized.

141

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


Per Share Operating Performance	Ultra Bloomberg Commodity*			Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen*
Net asset value, at December 31, 2014	$	52.1342		$	50.7400		$	61.6491		$	40.0011		$	39.3657		$	19.8744		$	56.4747

Net investment income (loss)		(0.3140	)		(0.2606	)		(0.4322	)		(0.2573	)		(0.2571	)		(0.1138	)		(0.3686	)
Net realized and unrealized gain (loss)#		(15.9800	)		(28.1317	)		(29.1965	)		(6.5907	)		(8.0594	)		(3.2156	)		(0.7478	)
Change in net asset value from operations		(16.2940	)		(28.3923	)		(29.6287	)		(6.8480	)		(8.3165	)		(3.3294	)		(1.1164	)
Net asset value, at September 30, 2015	$	35.8402		$	22.3477		$	32.0204		$	33.1531		$	31.0492		$	16.5450		$	55.3583

Market value per share, at December 31, 2014†	$	51.44		$	51.85		$	63.12		$	38.41		$	38.05		$	19.80		$	56.48
Market value per share, at September 30, 2015†	$	35.88		$	22.68		$	32.19		$	33.23		$	30.53		$	16.53		$	55.38

Total Return, at net asset value^		(31.3	)%		(56.0	)%		(48.1	)%		(17.1	)%		(21.1	)%		(16.8	)%		(2.0	)%
Total Return, at market value^		(30.2	)%		(56.3	)%		(49.0	)%		(13.5	)%		(19.8	)%		(16.5	)%		(1.9	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(1.02	)%		(1.26	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.92	)%		(0.99	)%		(1.23	)%		(0.91	)%		(0.90	)%		(0.92	)%		(0.90	)%

*	See Note 1 of these Notes to Financial Statements.

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

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

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

**	Percentages are annualized.

142

Selected data for a Share outstanding throughout the nine months ended September 30, 2014:

For the Nine Months Ended September 30, 2014 (unaudited)


Per Share Operating Performance	VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF			Short VIX Short-Term Futures ETF			Ultra VIX Short-Term Futures ETF*			UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas
Net asset value, at December 31, 2013	$	28.5387		$	77.1837		$	67.4993		$	335.4203		$	63.2936		$	31.7301		$	69.9635

Net investment income (loss)		(0.1518	)		(0.4227	)		(0.7883	)		(2.4990	)		(0.3965	)		(0.1953	)		(0.3585	)
Net realized and unrealized gain (loss)#		(7.5658	)		(12.7417	)		8.1024			(184.0896	)		6.2594			(0.7433	)		(23.2868	)
Change in net asset value from operations		(7.7176	)		(13.1644	)		7.3141			(186.5886	)		5.8629			(0.9386	)		(23.6453	)
Net asset value, at September 30, 2014	$	20.8211		$	64.0193		$	74.8134		$	148.8317		$	69.1565		$	30.7915		$	46.3182

Market value per share, at December 31, 2013†	$	28.53		$	77.16		$	67.47		$	335.60		$	58.41		$	31.58		$	69.36
Market value per share, at September 30, 2014†	$	20.78		$	63.88		$	74.94		$	148.15		$	67.85		$	30.60		$	46.48

Total Return, at net asset value^		(27.0	)%		(17.1	)%		10.8	%		(55.6	)%		9.3	%		(3.0	)%		(33.8	)%
Total Return, at market value^		(27.2	)%		(17.2	)%		11.1	%		(55.9	)%		16.2	%		(3.1	)%		(33.0	)%

Ratios to Average Net Assets**

Expense ratio		(0.87	)%		(0.86	)%		(1.51	)%		(1.78	)%		(0.95	)%		(0.97	)%		(1.16	)%
Expense ratio, excluding brokerage commissions		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.83	)%		(0.82	)%		(1.47	)%		(1.75	)%		(0.91	)%		(0.93	)%		(1.11	)%

*	See Note 1 of these Notes to Financial Statements.

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

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

^	Percentages are not annualized for the period ended September 30, 2014.

**	Percentages are annualized.

143

For the Nine Months Ended September 30, 2014 (unaudited)


Per Share Operating Performance	UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar			UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity*
Net asset value, at December 31, 2013	$	103.5180		$	89.7820		$	35.5867		$	46.6384		$	17.0613		$	70.8640		$	77.7259

Net investment income (loss)		(0.5973	)		(0.5505	)		(0.2496	)		(0.3090	)		(0.1173	)		(0.4498	)		(0.5636	)
Net realized and unrealized gain (loss)#		(5.9927	)		17.8804			3.1887			(0.4515	)		3.0310			5.3343			(9.0499	)
Change in net asset value from operations		(6.5900	)		17.3299			2.9391			(0.7605	)		2.9137			4.8845			(9.6135	)
Net asset value, at September 30, 2014	$	96.9280		$	107.1119		$	38.5258		$	45.8779		$	19.9750		$	75.7485		$	68.1124

Market value per share, at December 31, 2013†	$	103.53		$	90.19		$	35.66		$	46.66		$	17.06		$	70.91		$	76.52
Market value per share, at September 30, 2014†	$	98.24		$	107.60		$	38.50		$	45.82		$	19.96		$	75.76		$	68.24

Total Return, at net asset value^		(6.4	)%		19.3	%		8.3	%		(1.6	)%		17.1	%		6.9	%		(12.4	)%
Total Return, at market value^		(5.1	)%		19.3	%		8.0	%		(1.8	)%		17.0	%		6.8	%		(10.8	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.95	)%		(0.96	)%		(1.01	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.90	)%		(0.90	)%		(0.92	)%		(0.96	)%		(0.90	)%		(0.89	)%		(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, 2014.

**	Percentages are annualized.

144

For the Nine Months Ended September 30, 2014 (unaudited)


Per Share Operating Performance	Ultra Bloomberg Crude Oil*			Ultra Bloomberg Natural Gas*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen*
Net asset value, at December 31, 2013	$	160.4495		$	155.3534		$	41.2553		$	63.3305		$	26.0346		$	74.5261
Net investment income (loss)		(1.1510	)		(1.2866	)		(0.3155	)		(0.4388	)		(0.1697	)		(0.5217	)

Net realized and unrealized gain (loss)#		(8.7095	)		(9.2191	)		0.1532			(16.4844	)		(4.1053	)		(6.1287	)
Change in net asset value from operations		(9.8605	)		(10.5057	)		(0.1623	)		(16.9232	)		(4.2750	)		(6.6504	)
Net asset value, at September 30, 2014	$	150.5890		$	144.8477		$	41.0930		$	46.4073		$	21.7596		$	67.8757

Market value per share, at December 31, 2013†	$	161.10		$	157.12		$	41.26		$	63.04		$	25.98		$	74.44
Market value per share, at September 30, 2014†	$	151.70		$	144.80		$	40.59		$	46.15		$	21.72		$	68.24

Total Return, at net asset value^		(6.1	)%		(6.8	)%		(0.4	)%		(26.7	)%		(16.4	)%		(8.9	)%
Total Return, at market value^		(5.8	)%		(7.8	)%		(1.6	)%		(26.8	)%		(16.4	)%		(8.3	)%

Ratios to Average Net Assets**

Expense ratio		(0.98	)%		(1.11	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.93	)%		(1.07	)%		(0.91	)%		(0.91	)%		(0.90	)%		(0.90	)%

*	See Note 1 of these Notes to Financial Statements.

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

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

^	Percentages are not annualized for the period ended September 30, 2014.

**	Percentages are annualized.

145

NOTE 8 – RISK

Correlation and Compounding Risk

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

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

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

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions or extreme market volatility will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -1x, -2x or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day. In addition, unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

146

Counterparty Risk

Certain of the Funds will use swap agreements and/or forward contracts as a means to achieve their respective investment objectives. Such Funds will use either swap agreements and/or forward contracts referencing their respective benchmarks. These Funds may also invest in other swap agreements or forward contracts if such instruments tend to exhibit trading prices or returns that correlate with the benchmark or a component of the benchmark and will further the investment objective of the Fund. Certain Funds may invest in swap agreements or forward contracts if position accountability rules or position limits are reached with respect to specific futures contracts or the market for a specific futures contract experiences emergencies (e.g., natural disaster, terrorist attack or an act of God) or disruptions (e.g., a trading halt or a flash crash) that prevent the Funds from obtaining the appropriate amount of investment exposure to the affected futures contract or certain other futures contracts. Although unlikely, those Funds, under these circumstances, could have 100% exposure to swap agreements or forward contracts.

Swap agreements and forward contracts are generally traded in OTC markets and have only recently become subject to regulation by the CFTC. CFTC rules, however, do not cover all types of swap agreements and forward contracts. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

The Funds will be subject to credit risk with respect to the counterparties to the derivatives contracts (whether a clearing corporation in the case of cleared instruments or another third party in the case of OTC uncleared instruments). Unlike in futures contracts, the counterparty to uncleared swap agreements or forward contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. As a result, a Fund is subject to credit risk with respect to the amount it expects to receive from counterparties to uncleared swaps and forward contracts entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.

The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds; however there are no limitations on the percentage of its assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.

OTC swaps or forward contracts are less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. If the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap agreement or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Transactions entered into directly between two counterparties generally do not benefit from such protections. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund.

The counterparty risk for cleared derivative transactions is generally lower than for uncleared OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members, will satisfy its obligations to the Fund.

147

Leverage Risk

The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions could result in the total loss of an investor’s investment.

For example, because the UltraShort Funds and Ultra Funds include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50% at any point in the day (for an UltraShort Fund or an UltraShort Fund) could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2014 may specify a January 2015 expiration. As that contract nears expiration, it may be replaced by selling the January 2015 contract and purchasing the contract expiring in March 2015. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2015 contract would take place at a price that is higher than the price at which the March 2015 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund, the Managed Futures Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds, the Managed Futures Fund and Matching VIX Funds.

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

148

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.

Shareholder Concentration

As of September 30, 2015, ProShares Morningstar Alternatives Solution ETF, an ETF affiliated with the Funds, owned 50% of the outstanding shares of the Managed Futures Fund. Subscription and redemption activity by concentrated shareholders may have a significant effect on the operations of the Fund.

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. The subsequent events were as follows:

On October 27, 2015, the Trust announced a 2-for-1 split of the Shares of beneficial interest of ProShares UltraShort Silver.

The split will decrease the price per Share of the Fund with a proportionate increase in the number of Shares outstanding. For example, for a 2-for-1 split, every one pre-split Share will result in the receipt of two post-split Shares, which will be priced at half the NAV of a pre-split Share.

The split will be effective for shareholders of record after the close of the markets on November 10, 2015. The split will be effective at the market open on November 13, 2015, when the Fund will begin trading at its post-split price. The ticker symbol for the Fund will not change.


Ticker	Fund	Split Ratio
ZSL	UltraShort Silver		2:1

The Shares outstanding and per Share information for ProShares UltraShort Silver disclosed in the financial statements and notes to the financial statements have not been retroactively adjusted to give effect to the split. Presented below are pro forma Shares outstanding and per Share information after giving retroactive effect for the split.

Pro forma information, giving retroactive effect to the split, is as follows:


For the Three Months Ended September 30, 2015 (unaudited)
Per Share Operating Performance
Net asset value, at June 30, 2015	$	54.7157
Net investment income (loss)		(0.1375	)
Net realized and unrealized gain (loss)		5.4504
Change in net asset value from operations		5.3129
Net asset value, at September 30, 2015	$	60.0286
Market value per share, at June 30, 2015	$	54.27
Market value per share, at September 30, 2015	$	61.08
For the Nine Months Ended September 30, 2015 (unaudited)
Per Share Operating Performance
Net asset value, at December 31, 2014	$	57.8071
Net investment income (loss)		(0.3677	)
Net realized and unrealized gain (loss)		2.5892
Change in net asset value from operations		2.2215
Net asset value, at September 30, 2015	$	60.0286
Market value per share, at December 31, 2014	$	59.70
Market value per share, at September 30, 2015	$	61.08
As of September 30, 2015 and December 31, 2014 (unaudited)
Shares outstanding
Shares outstanding, at September 30, 2015		916,978
Shares outstanding, at December 31, 2014		916,978
For the Three Months Ended September 30, 2015 (unaudited)
Net income (loss) per weighted-average share
Net income (loss) per weighted-average share	$	6.50
Weighted-average shares outstanding		939,802
For the Nine Months Ended September 30, 2015 (unaudited)
Net income (loss) per weighted-average share
Net income (loss) per weighted-average share	$	5.73
Weighted-average shares outstanding		1,028,332

Pro forma information, giving retroactive effect to the split, is as follows:
For the Three Months Ended September 30, 2014 (unaudited)
Per Share Operating Performance
Net asset value, at June 30, 2014	$	36.8321
Net investment income (loss)		(0.0931	)
Net realized and unrealized gain (loss)		16.8169
Change in net asset value from operations		16.7238
Net asset value, at September 30, 2014	$	53.5559
Market value per share, at June 30, 2014	$	36.03
Market value per share, at September 30, 2014	$	53.80
For the Nine Months Ended September 30, 2014 (unaudited)
Per Share Operating Performance
Net asset value, at December 31, 2013	$	44.8910
Net investment income (loss)		(0.2752	)
Net realized and unrealized gain (loss)		8.9401
Change in net asset value from operations		8.6649
Net asset value, at September 30, 2014	$	53.5559
Market value per share, at December 31, 2013	$	45.10
Market value per share, at September 30, 2014	$	53.80
For the Three Months Ended September 30, 2014 (unaudited)
Net income (loss) per weighted-average share
Net income (loss) per weighted-average share	$	15.62
Weighted-average shares outstanding		1,388,716
For the Nine Months Ended September 30, 2014 (unaudited)
Net income (loss) per weighted-average share
Net income (loss) per weighted-average share	$	7.79
Weighted-average shares outstanding		1,648,114

149

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

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

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2015, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares Managed Futures Strategy (the “Managed Futures Fund”); (ii) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (iii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iv) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (v) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q.

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.

150

Each Geared Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share (“NAV”) to the time of the Fund’s next NAV calculation. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ from -1x, -2x or 2x of the return of the index to which such Fund is benchmarked for that period. In periods of higher market volatility, the volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds are riskier than similarly benchmarked exchange-traded funds that are not geared. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. The Geared VIX Funds do not seek to achieve their stated objective over a period greater than a single day. Each Matching VIX Fund seeks results (before fees and expenses), both over a single day and over time, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results (before fees and expenses) that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”). The Managed Futures Fund seeks to provide investment results (before fees and expenses) that correspond to the performance of the S&P Strategic Futures Index (“SFI”). The Managed Futures Fund intends to obtain exposure to the SFI by primarily investing in unleveraged positions in commodity futures contracts as well as currency and U.S. Treasury futures contracts that are deemed to have sufficient liquidity.

Until March 19, 2015, the price of gold for each of ProShares UltraShort Gold and ProShares Ultra Gold was the U.S. dollar price of gold bullion as measured by the London afternoon fixing price per troy ounce of unallocated gold bullion for delivery in London through a member of the LBMA, authorized to affect such delivery. On February 19, 2015, the LBMA, the company that ran the London gold fix, announced that, as of March 20, 2015, they would stop running the process. The LBMA selected ICE Benchmark Administration to calculate the price, which was renamed the LBMA Gold Price, based on an electronic, physically settled auction-based methodology effective March 20, 2015. The LBMA Gold Price is determined each trading day at 3:00 p.m. London time, providing a reference gold price for that day’s trading.

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

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

151

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, 2015 and 2014 each of the Funds earned interest income as follows:


Fund	Interest Income Three Months Ended September 30, 2015		Interest Income Three Months Ended September 30, 2014		Interest Income Nine Months Ended September 30, 2015		Interest Income Nine Months Ended September 30, 2014
ProShares VIX Short-Term Futures ETF	$	9,963	$	6,363	$	31,098	$	40,577
ProShares VIX Mid-Term Futures ETF		1,084		3,406		5,960		13,659
ProShares Short VIX Short-Term Futures ETF		34,056		16,267		78,709		60,496
ProShares Ultra VIX Short-Term Futures ETF		22,679		13,610		87,173		55,542
ProShares UltraShort Bloomberg Commodity		407		295		1,403		947
ProShares UltraShort Bloomberg Crude Oil		9,198		24,612		45,693		100,900
ProShares UltraShort Bloomberg Natural Gas		880		2,392		2,460		15,332
ProShares UltraShort Gold		7,442		7,015		22,233		34,960
ProShares UltraShort Silver		3,685		5,567		13,863		26,362
ProShares Short Euro		989		1,279		3,652		3,684
ProShares UltraShort Australian Dollar		1,058		1,375		2,914		7,366
ProShares UltraShort Euro		41,312		41,636		163,405		170,287
ProShares UltraShort Yen		28,980		28,871		113,947		163,880
ProShares Ultra Bloomberg Commodity		39		351		525		1,070
ProShares Ultra Bloomberg Crude Oil		75,891		11,935		217,460		44,923
ProShares Ultra Bloomberg Natural Gas		3,636		3,296		15,020		11,380
ProShares Ultra Gold		5,853		13,569		27,485		45,026
ProShares Ultra Silver		35,179		41,216		109,726		155,173
ProShares Ultra Euro		514		231		2,076		936
ProShares Ultra Yen		1,069		167		1,819		988

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.

152

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

Market Risk

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

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

Credit Risk

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

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

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

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.

153

Off-Balance Sheet Arrangements and Contractual Obligations

As of November 2, 2015, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

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

Critical Accounting Policies

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

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

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

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

For financial reporting purposes, the Leveraged Funds, the Short Euro Fund and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three and nine months ended September 30, 2015.

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

Fair value pricing may require subjective determinations about the value of an investment. While each Leveraged and VIX Fund’s policy is intended to result in a calculation of the Leveraged or the VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, the Leveraged and the VIX Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Leveraged or the VIX Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).

154

The prices used by the Leveraged or the VIX Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. See Note 2 in Item 1 of this Quarterly Report on Form 10-Q for further information.

Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. From January 1, 2014 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.

155

Results of Operations for the Three Months Ended September 30, 2015 Compared to the Three Months Ended September 30, 2014

ProShares Managed Futures Strategy

Since the Fund commenced investment operations on October 1, 2014, comparisons of the Fund’s results of operations for the three months ended September 30, 2014 have not been provided.

Fund Performance

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


	Three Months Ended September 30, 2015
NAV beginning of period	$	9,224,129
NAV end of period	$	9,263,423
Percentage change in NAV		0.4	%
Shares outstanding beginning of period		450,010
Shares outstanding end of period		450,010
Percentage change in shares outstanding		0.0	%
Shares created		150,000
Shares redeemed		150,000
Per share NAV beginning of period	$	20.50
Per share NAV end of period	$	20.58
Percentage change in per share NAV		0.4	%
Percentage change in benchmark		0.7	%
Benchmark annualized volatility		5.6	%

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 Strategic 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, 2015, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark.

During the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 10, 2015 at $20.69 per Share and reached its low for the period on August 10, 2015 at $20.26 per Share.

The benchmark’s rise of 0.7% for the three months ended September 30, 2015, can be attributed to an appreciation in value of the futures contracts that make up the S&P Strategic Futures Index during the three months ended September 30, 2015.

Net Income/Loss

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


	Three Months Ended September 30, 2015
Net investment income (loss)	$	(19,272	)
Brokerage commissions		2,206
Offering costs		16,581
Reduction to Limitation by Sponsor		485
Net realized gain (loss)		(180,345	)
Change in net unrealized appreciation/depreciation		208,302
Net income (loss)	$	8,685

156

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, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	169,655,175		$	98,364,760
NAV end of period	$	110,946,378		$	140,018,132
Percentage change in NAV		(34.6	)%		42.3	%
Shares outstanding beginning of period		12,549,812			5,174,812
Shares outstanding end of period		6,424,812			6,724,812
Percentage change in shares outstanding		(48.8	)%		30.0	%
Shares created		1,875,000			3,475,000
Shares redeemed		8,000,000			1,925,000
Per share NAV beginning of period	$	13.52		$	19.01
Per share NAV end of period	$	17.27		$	20.82
Percentage change in per share NAV		27.7	%		9.5	%
Percentage change in benchmark		27.9	%		9.8	%
Benchmark annualized volatility		101.9	%		52.7	%

During the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 12,549,812 outstanding Shares at June 30, 2015 to 6,424,812 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. By comparison, during the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 5,174,812 outstanding Shares at June 30, 2014 to 6,724,812 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV increase of 27.7% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 9.5% for the three months ended September 30, 2014, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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 $20.25 per Share and reached its low for the period on August 10, 2015 at $10.35 per Share. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on August 7, 2014 at $23.20 per Share and reached its low for the period on September 18, 2014 at $18.06 per Share.

The benchmark’s rise of 27.9% for the three months ended September 30, 2015, as compared to the benchmark’s rise of 9.8% for the three months ended September 30, 2014, can be attributed to a greater rise in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(318,561	)	$	(253,370	)
Management fee		279,410			235,234
Brokerage commissions		49,114			24,499
Net realized gain (loss)		63,978,915			(2,987,868	)
Change in net unrealized appreciation/depreciation		(12,752,970	)		19,042,796
Net income (loss)	$	50,907,384		$	15,801,558

157

The Fund’s net income increased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a greater rise in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2015.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	26,777,867		$	40,535,994
NAV end of period	$	31,111,315		$	45,613,786
Percentage change in NAV		16.2	%		12.5	%
Shares outstanding beginning of period		487,404			656,251
Shares outstanding end of period		487,404			712,501
Percentage change in shares outstanding		0.0	%		8.6	%
Shares created		—			118,750
Shares redeemed		—			62,500
Per share NAV beginning of period	$	54.94		$	61.77
Per share NAV end of period	$	63.83		$	64.02
Percentage change in per share NAV		16.2	%		3.6	%
Percentage change in benchmark		16.5	%		4.0	%
Benchmark annualized volatility		47.2	%		23.4	%

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. By comparison, during the three months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 656,251 outstanding Shares at June 30, 2014 to 712,501 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV increase of 16.2% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 3.6% for the three months ended September 30, 2014, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on August 7, 2014 at $66.93 per Share and reached its low for the period on August 19, 2014 at $58.76 per Share.

The benchmark’s rise of 16.5% for the three months ended September 30, 2015, as compared to the benchmark’s rise of 4.0% for the three months ended September 30, 2014, can be attributed to a greater rise 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, 2015.

158

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(59,501	)	$	(92,236	)
Management fee		58,899			92,676
Brokerage commissions		1,686			2,966
Net realized gain (loss)		632,005			(4,036,024	)
Change in net unrealized appreciation/depreciation		3,760,944			5,997,445
Net income (loss)	$	4,333,448		$	1,869,185

The Fund’s net income increased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a greater rise 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, 2015.

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, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	189,250,124		$	181,236,514
NAV end of period	$	629,787,391		$	310,478,773
Percentage change in NAV		232.8	%		71.3	%
Shares outstanding beginning of period		2,400,040			2,050,040
Shares outstanding end of period		13,350,040			4,150,040
Percentage change in shares outstanding		456.2	%		102.4	%
Shares created		14,150,000			4,450,000
Shares redeemed		3,200,000			2,350,000
Per share NAV beginning of period	$	78.85		$	88.41
Per share NAV end of period	$	47.17		$	74.81
Percentage change in per share NAV		(40.2	)%		(15.4	)%
Percentage change in benchmark		27.9	%		9.8	%
Benchmark annualized volatility		101.9	%		52.7	%

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. By comparison, during the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 2,050,040 outstanding Shares at June 30, 2014 to 4,150,040 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 40.2% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 15.4% for the three months ended September 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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.

159

By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 3, 2014 at $92.60 per Share and reached its low for the period on August 7, 2014 at $69.91 per Share.

The benchmark’s rise of 27.9% for the three months ended September 30, 2015, as compared to the benchmark’s rise of 9.8% for the three months ended September 30, 2014, can be attributed to a greater rise in the prices of the near-term futures contracts on the VIX Futures curve during the three months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(1,375,292	)	$	(989,160	)
Management fee		939,029			620,236
Brokerage commissions		470,319			385,191
Net realized gain (loss)		(74,076,312	)		18,154,494
Change in net unrealized appreciation/depreciation		(45,248,790	)		(33,971,541	)
Net income (loss)	$	(120,700,394	)	$	(16,806,207	)

The Fund’s net income decreased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a greater rise in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2015.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	431,922,188		$	295,261,247
NAV end of period	$	334,883,798		$	258,077,177
Percentage change in NAV		(22.5	)%		(12.6	)%
Shares outstanding beginning of period		9,702,448			2,224,020
Shares outstanding end of period		5,852,448			1,734,020
Percentage change in shares outstanding		(39.7	)%		(22.0	)%
Shares created		21,300,000			2,340,000
Shares redeemed		25,150,000			2,830,000
Per share NAV beginning of period	$	44.52		$	132.76
Per share NAV end of period	$	57.22		$	148.83
Percentage change in per share NAV		28.5	%		12.1	%
Percentage change in benchmark		27.9	%		9.8	%
Benchmark annualized volatility		101.9	%		52.7	%

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 9,702,448 outstanding Shares at June 30, 2015 to 5,852,448 outstanding Shares at September 30, 2015. By comparison, during the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 2,224,020 outstanding Shares at June 30, 2014 to 1,734,020 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

160

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 28.5% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 12.1% for the three months ended September 30, 2014, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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 $85.62 per Share and reached its low for the period on August 10, 2015 at $24.46 per Share. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on August 7, 2014 at $190.50 per Share and reached its low for the period on September 18, 2014 at $113.65 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(1,444,542	)	$	(1,308,139	)
Management fee		807,006			689,515
Brokerage commissions		660,215			632,234
Net realized gain (loss)		245,662,014			(4,709,504	)
Change in net unrealized appreciation/depreciation		(63,659,145	)		89,179,537
Net income (loss)	$	180,558,327		$	83,161,894

The Fund’s net income increased for the three months ended September, 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a greater rise in the prices of the near-term futures contracts on the VIX futures curve during the three 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 reverse Share split for the ProShares Ultra VIX Short-Term Futures ETF.

ProShares UltraShort Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	5,216,200		$	3,254,416
NAV end of period	$	6,936,148		$	4,149,184
Percentage change in NAV		33.0	%		27.5	%
Shares outstanding beginning of period		59,997			59,997
Shares outstanding end of period		59,997			59,997
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	86.94		$	54.24
Per share NAV end of period	$	115.61		$	69.16
Percentage change in per share NAV		33.0	%		27.5	%
Percentage change in benchmark		(14.5	) %		(11.8	)%
Benchmark annualized volatility		17.6	%		7.8	%

161

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 Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from June 30, 2015 to September 30, 2015. By comparison, during the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from June 30, 2014 to September 30, 2014.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 33.0% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 27.5% for the three months ended September 30, 2014, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

During the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 26, 2015 at $124.46 per Share and reached its low for the period on July 2, 2015 at $88.31 per Share. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 23, 2014 at $69.36 per Share and reached its low for the period on July 2, 2014 at $54.51 per Share.

The benchmark’s decline of 14.5% for the three months ended September 30, 2015, as compared to the benchmark’s decline of 11.8% for the three months ended September 30, 2014, can be attributed to a greater depreciation of the underlying components of the index during the three months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(15,054	)	$	(8,532	)
Management fee		15,461			8,827
Net realized gain (loss)		1,287,180			502,115
Change in net unrealized appreciation/depreciation		447,822			401,185
Net income (loss)	$	1,719,948		$	894,768

The Fund’s net income increased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a greater decline in the Fund’s benchmark index during the three months ended September 30, 2015.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	180,092,283		$	362,599,585
NAV end of period	$	141,774,453		$	196,140,063
Percentage change in NAV		(21.3	)%		(45.9	)%
Shares outstanding beginning of period		3,169,944			14,719,944
Shares outstanding end of period		1,619,944			6,369,944
Percentage change in shares outstanding		(48.9	)%		(56.7	)%
Shares created		1,050,000			250,000
Shares redeemed		2,600,000			8,600,000
Per share NAV beginning of period	$	56.81		$	24.63
Per share NAV end of period	$	87.52		$	30.79
Percentage change in per share NAV		54.1	%		25.0	%
Percentage change in benchmark		(27.4	) %		(11.8	)%
Benchmark annualized volatility		51.4	%		18.3	%

162

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. By comparison, during the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 14,719,944 outstanding Shares at June 30, 2014 to 6,369,944 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 54.1% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 25.0% for the three months ended September 30, 2014, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 10, 2014 at $31.28 per Share and reached its low for the period on July 1, 2014 at $24.63 per Share.

The benchmark’s decline of 27.4 % for the three months ended September 30, 2015, as compared to the decline of 11.8% for the three months ended September 30, 2014, can be attributed to a greater decrease in the price of WTI Crude Oil during the three months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(463,183	)	$	(639,303	)
Management fee		409,809			648,492
Brokerage commissions		62,572			15,423
Net realized gain (loss)		86,619,380			42,556,429
Change in net unrealized appreciation/depreciation		(593,425	)		29,108,049
Net income (loss)	$	85,562,772		$	71,025,175

The Fund’s net income increased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a greater decrease in the price of WTI Crude Oil during the three months ended September 30, 2015.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	13,085,851		$	49,682,009
NAV end of period	$	12,137,105		$	19,683,020
Percentage change in NAV		(7.3	)%		(60.4	)%
Shares outstanding beginning of period		174,952			1,224,952

163


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Shares outstanding end of period		124,952			424,952
Percentage change in shares outstanding		(28.6	)%		(65.3	)%
Shares created		100,000			—
Shares redeemed		150,000			800,000
Per share NAV beginning of period	$	74.80		$	40.56
Per share NAV end of period	$	97.13		$	46.32
Percentage change in per share NAV		29.9	%		14.2	%
Percentage change in benchmark		(15.0	) %		(9.3	)%
Benchmark annualized volatility		28.3	%		28.0	%

During the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 174,952 outstanding Shares at June 30, 2015 to 124,952 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. By comparison, during the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 1,224,952 outstanding Shares at June 30, 2014 to 424,952 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 29.9% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 14.2% for the three months ended September 30, 2014, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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 $97.13 per Share and reached its low for the period on August 12, 2015 at $68.64 per Share. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 28, 2014 at $55.42 per Share and reached its low for the period on July 1, 2014 at $40.63 per Share.

The benchmark’s decline of 15.0% for the three months ended September 30, 2015, as compared to the benchmark’s decline of 9.3% for the three months ended September 30, 2014, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(37,310	)	$	(86,019	)
Management fee		26,131			73,623
Brokerage commissions		12,059			14,788
Net realized gain (loss)		1,310,640			13,918,788
Change in net unrealized appreciation/depreciation		2,387,743			(4,337,011	)
Net income (loss)	$	3,661,073		$	9,495,758

The Fund’s net income decreased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a greater decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2015.

164

ProShares UltraShort Gold^†

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	73,951,674		$	83,742,981
NAV end of period	$	74,568,380		$	82,095,909
Percentage change in NAV		0.8	%		(2.0	)%
Shares outstanding beginning of period		746,978			996,978
Shares outstanding end of period		696,978			846,978
Percentage change in shares outstanding		(6.7	)%		(15.0	)%
Shares created		—			50,000
Shares redeemed		50,000			200,000
Per share NAV beginning of period	$	99.00		$	84.00
Per share NAV end of period	$	106.99		$	96.93
Percentage change in per share NAV		8.1	%		15.4	%
Percentage change in benchmark		(4.9	) %		(7.5	)%
Benchmark annualized volatility		15.5	%		10.6	%

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. By comparison, during the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 996,978 outstanding Shares at June 30, 2014 to 846,978 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.1% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 15.4% for the three months ended September 30, 2014, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 22, 2014 at $97.47 per Share and reached its low for the period on July 10, 2014 at $80.73 per Share.

The benchmark’s decline of 4.9% for the three months ended September 30, 2015, as compared to the benchmark’s decline of 7.5% for the three months ended September 30, 2014, can be attributed to a lesser decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(181,720	)	$	(185,871	)
Management fee		189,154			192,878
Brokerage commissions		8			8
Net realized gain (loss)		5,632,017			(4,375,421	)
Change in net unrealized appreciation/depreciation		367,548			16,208,294
Net income (loss)	$	5,817,845		$	11,647,002

165

The Fund’s net income decreased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a lesser decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2015.

†

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

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	61,116,236		$	52,190,256
NAV end of period	$	55,044,902		$	59,820,800
Percentage change in NAV		(9.9	)%		14.6	%
Shares outstanding beginning of period		558,489			708,489
Shares outstanding end of period		458,489			558,489
Percentage change in shares outstanding		(17.9	)%		(21.2	)%
Shares created		50,000			100,000
Shares redeemed		150,000			250,000
Per share NAV beginning of period	$	109.43		$	73.66
Per share NAV end of period	$	120.06		$	107.11
Percentage change in per share NAV		9.7	%		45.4	%
Percentage change in benchmark		(6.7	) %		(18.0	)%
Benchmark annualized volatility		24.2	%		16.5	%

During the three months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 558,489 outstanding Shares at June 30, 2015 to 458,489 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. By comparison, during the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse 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 708,489 outstanding Shares at June 30, 2014 to 558,489 outstanding Shares at September 30, 2014.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.7% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 45.4% for the three months ended September 30, 2014, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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 $127.97 per Share and reached its low for the period on August 20, 2015 at $109.19 per Share. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $107.11 per Share and reached its low for the period on July 10, 2014 at $69.31 per Share.

166

The benchmark’s decline of 6.7% for the three months ended September 30, 2015, as compared to the benchmark’s decline of 18.0% for the three months ended September 30, 2014, can be attributed to a lesser decrease in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(129,265	)	$	(129,289	)
Management fee		132,942			134,847
Brokerage commissions		8			9
Net realized gain (loss)		9,309,270			(1,121,493	)
Change in net unrealized appreciation/depreciation		(3,066,914	)		22,946,203
Net income (loss)	$	6,113,091		$	21,695,421

The Fund’s net income decrease for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a lesser decrease in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2015.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	19,360,122		$	14,245,423
NAV end of period	$	34,211,934		$	17,336,789
Percentage change in NAV		76.7	%		21.7	%
Shares outstanding beginning of period		450,005			400,005
Shares outstanding end of period		800,005			450,005
Percentage change in shares outstanding		77.8	%		12.5	%
Shares created		450,000			50,000
Shares redeemed		100,000			—
Per share NAV beginning of period	$	43.02		$	35.61
Per share NAV end of period	$	42.76		$	38.53
Percentage change in per share NAV		(0.6	)%		8.2	%
Percentage change in benchmark		0.2	%		(7.8	)%
Benchmark annualized volatility		11.2	%		4.8	%

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. By comparison, during the three months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 400,005 outstanding shares at June 30, 2014 to 450,005 outstanding shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.6% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 8.2% for the three months ended September 30, 2014, was primarily due to depreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

167

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $38.53 per Share and reached its low for the period on July 1, 2014 at $35.65 per Share.

The benchmark’s rise of 0.2% for the three months ended September 30, 2015, as compared to the benchmark’s decline of 7.8% for the three months ended September 30, 2014, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(47,612	)	$	(37,429	)
Management fee		47,369			38,144
Brokerage commissions		1,232			564
Net realized gain (loss)		45,349			767,314
Change in net unrealized appreciation/depreciation		(77,397	)		541,678
Net income (loss)	$	(79,660	)	$	1,271,563

The Fund’s net income decreased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2015.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	19,093,705		$	20,127,301
NAV end of period	$	22,583,663		$	20,645,274
Percentage change in NAV		18.3	%		2.6	%
Shares outstanding beginning of period		350,005			500,005
Shares outstanding end of period		350,005			450,005
Percentage change in shares outstanding		0.0	%		(10.0	)%
Shares created		—			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	54.55		$	40.25
Per share NAV end of period	$	64.52		$	45.88
Percentage change in per share NAV		18.3	%		14.0	%
Percentage change in benchmark		(9.0	) %		(7.1	)%
Benchmark annualized volatility		11.4	%		7.1	%

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. By comparison, during the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 500,005 outstanding Shares at June 30, 2014 to 450,005 outstanding Shares at September 30, 2014.

168

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 18.3% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 14.0% for the three months ended September 30, 2014, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 29, 2014 at $46.12 per Share and reached its low for the period on July 1, 2014 at $39.67 per Share.

The benchmark’s decline of 9.0% for the three months ended September 30, 2015, as compared to the benchmark’s decline of 7.1% for the three months ended September 30, 2014, can be attributed to a greater decline in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(54,415	)	$	(50,580	)
Management fee		51,046			49,101
Brokerage commissions		4,427			2,854
Net realized gain (loss)		3,397,069			549,800
Change in net unrealized appreciation/depreciation		147,304			2,248,917
Net income (loss)	$	3,489,958		$	2,748,137

The Fund’s net income increased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a greater decline in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2015.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	629,617,014		$	440,156,895
NAV end of period	$	547,279,138		$	472,408,248
Percentage change in NAV		(13.1	)%		7.3	%
Shares outstanding beginning of period		25,450,014			25,800,014
Shares outstanding end of period		22,450,014			23,650,014
Percentage change in shares outstanding		(11.8	)%		(8.3	)%
Shares created		—			300,000
Shares redeemed		3,000,000			2,450,000
Per share NAV beginning of period	$	24.74		$	17.06
Per share NAV end of period	$	24.38		$	19.97
Percentage change in per share NAV		(1.5	)%		17.1	%
Percentage change in benchmark		0.2	%		(7.8	)%
Benchmark annualized volatility		11.2	%		4.8	%

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. By comparison, during the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the 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 25,800,014 outstanding Shares at June 30, 2014 to 23,650,014 outstanding Shares at September 30, 2014.

169

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.5% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 17.1% for the three months ended September 30, 2014, was primarily due to depreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $19.97 per Share and reached its low for the period on July 1, 2014 at $17.09 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(1,351,762	)	$	(1,070,109	)
Management fee		1,393,074			1,111,745
Net realized gain (loss)		(8,170,779	)		32,041,814
Change in net unrealized appreciation/depreciation		862,749			42,901,264
Net income (loss)	$	(8,659,792	)	$	73,872,969

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	405,516,052		$	353,617,215
NAV end of period	$	302,929,598		$	435,500,662
Percentage change in NAV		(25.3	)%		23.2	%
Shares outstanding beginning of period		4,399,294			5,449,294
Shares outstanding end of period		3,449,294			5,749,294
Percentage change in shares outstanding		(21.6	)%		5.5	%
Shares created		300,000			900,000
Shares redeemed		1,250,000			600,000
Per share NAV beginning of period	$	92.18		$	64.89
Per share NAV end of period	$	87.82		$	75.75
Percentage change in per share NAV		(4.7	)%		16.7	%
Percentage change in benchmark		2.0	%		(7.6	)%
Benchmark annualized volatility		9.8	%		5.1	%

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

170

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, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 5,449,294 outstanding Shares at June 30, 2014 to 5,749,294 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.7% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 16.7% for the three months ended September 30, 2014, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $75.75 per Share and reached its low for the period on July 17, 2014 at $64.75 per Share.

The benchmark’s rise of 2.0% for the three months ended September 30, 2015, as compared to the benchmark’s decline of 7.6% for the three months ended September 30, 2014, can be attributed to a rise in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(865,306	)	$	(866,070	)
Management fee		894,286			894,941
Net realized gain (loss)		(32,435,270	)		15,788,078
Change in net unrealized appreciation/depreciation		13,328,255			44,786,922
Net income (loss)	$	(19,972,321	)	$	59,708,930

The Fund’s net income decreased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2015.

ProShares Ultra Bloomberg Commodity*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	2,477,456		$	4,406,118
NAV end of period	$	3,582,769		$	3,405,894
Percentage change in NAV		44.6	%		(22.7	)%
Shares outstanding beginning of period		49,965			50,004
Shares outstanding end of period		99,965			50,004
Percentage change in shares outstanding		100.1	%		0.0	%
Shares created		50,000			—
Shares redeemed		—			—
Per share NAV beginning of period	$	49.58		$	88.12
Per share NAV end of period	$	35.84		$	68.11
Percentage change in per share NAV		(27.7	)%		(22.7	)%
Percentage change in benchmark		(14.5	) %		(11.8	)%
Benchmark annualized volatility		17.6	%		7.8	%

171

During the three months ended September 30, 2015, the increase in the Fund’s NAV resulted from an increase from 49,965 outstanding Shares at June 30, 2015 to 99,965 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 Commodity Index. By comparison, during the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from June 30, 2014 to September 30, 2014.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 27.7% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 22.7% for the three months ended September 30, 2014, was due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

During the three months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on July 2, 2015 at $48.78 per Share and reached its low for the period on August 26, 2015 at $33.85 per Share. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 2, 2014 at $87.68 per Share and reached its low for the period on September 23, 2014 at $68.04 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(5,077	)	$	(8,944	)
Management fee		5,116			9,295
Net realized gain (loss)		(520,395	)		(651,766	)
Change in net unrealized appreciation/depreciation		(156,479	)		(339,514	)
Net income (loss)	$	(681,951	)	$	(1,000,224	)

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

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	995,416,921		$	97,943,693
NAV end of period	$	787,261,737		$	179,175,918
Percentage change in NAV		(20.9	)%		82.9	%
Shares outstanding beginning of period		21,877,867			499,834
Shares outstanding end of period		35,227,867			1,189,834

172


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Percentage change in shares outstanding		61.0	%		138.0	%
Shares created		17,850,000			1,040,000
Shares redeemed		4,500,000			350,000
Per share NAV beginning of period	$	45.50		$	195.95
Per share NAV end of period	$	22.35		$	150.59
Percentage change in per share NAV		(50.9	)%		(23.2	)%
Percentage change in benchmark		(27.4	)%		(11.8	)%
Benchmark annualized volatility		51.4	%		18.3	%

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. By comparison, during the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 499,834 outstanding Shares at June 30, 2014 to 1,189,834 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 50.9% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 23.2% for the three months ended September 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $196.00 per Share and reached its low for the period on September 22, 2014 at $149.95 per Share.

The benchmark’s decline of 27.4% for the three months ended September 30, 2015, as compared to the benchmark’s decline of 11.8% for the three months ended September 30, 2014, can be attributed to a greater decrease in the price of WTI Crude Oil during the three months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(2,085,145	)	$	(329,563	)
Management fee		2,012,640			333,837
Brokerage commissions		148,396			7,661
Net realized gain (loss)		(529,903,521	)		(16,408,215	)
Change in net unrealized appreciation/depreciation		(58,634,810	)		(12,477,865	)
Net income (loss)	$	(590,623,476	)	$	(29,215,643	)

The Fund’s net income decreased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a greater decrease in the price of WTI Crude Oil during the three 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 reverse Share split for ProShares Ultra Bloomberg Crude Oil.

173

ProShares Ultra Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	63,238,942		$	21,163,834
NAV end of period	$	52,582,988		$	69,524,710
Percentage change in NAV		(16.9	)%		228.5	%
Shares outstanding beginning of period		1,392,170			117,485
Shares outstanding end of period		1,642,170			479,985
Percentage change in shares outstanding		18.0	%		308.6	%
Shares created		700,000			412,500
Shares redeemed		450,000			50,000
Per share NAV beginning of period	$	45.42		$	180.14
Per share NAV end of period	$	32.02		$	144.85
Percentage change in per share NAV		(29.5	)%		(19.6	)%
Percentage change in benchmark		(15.0	)%		(9.3	)%
Benchmark annualized volatility		28.3	%		28.0	%

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. By comparison, during the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 117,485 outstanding Shares at June 30, 2014 to 479,985 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 29.5 % for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 19.6% for the three months ended September 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $179.80 per Share and reached its low for the period on September 5, 2014 at $127.08 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(190,466	)	$	(128,208	)
Management fee		147,696			114,501
Brokerage commissions		46,406			17,003
Net realized gain (loss)		(8,595,838	)		(7,086,791	)
Change in net unrealized appreciation/depreciation		(13,037,493	)		5,767,208
Net income (loss)	$	(21,823,797	)	$	(1,447,791	)

174

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

ProShares Ultra Gold^†

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	88,848,218		$	135,458,124
NAV end of period	$	81,225,498		$	113,006,432
Percentage change in NAV		(8.6	)%		(16.6	)%
Shares outstanding beginning of period		2,400,014			2,800,014
Shares outstanding end of period		2,450,014			2,750,014
Percentage change in shares outstanding		2.1	%		(1.8	)%
Shares created		50,000			100,000
Shares redeemed		—			150,000
Per share NAV beginning of period	$	37.02		$	48.38
Per share NAV end of period	$	33.15		$	41.09
Percentage change in per share NAV		(10.5	)%		(15.1	)%
Percentage change in benchmark		(4.9	)%		(7.5	)%
Benchmark annualized volatility		15.5	%		10.6	%

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. By comparison, during the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,800,014 outstanding Shares at June 30, 2014 to 2,750,014 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.5% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 15.1% for the three months ended September 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 10, 2014 at $50.21 per Share and reached its low for the period on September 22, 2014 at $40.91 per Share.

175

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(190,084	)	$	(293,686	)
Management fee		195,929			307,247
Brokerage commissions		8			8
Net realized gain (loss)		(8,324,354	)		1,376,176
Change in net unrealized appreciation/depreciation		(865,903	)		(21,378,723	)
Net income (loss)	$	(9,380,341	)	$	(20,296,233	)

The Fund’s net income increased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a lesser decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2015.

†

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	285,991,688		$	501,002,636
NAV end of period	$	245,181,213		$	357,175,403
Percentage change in NAV		(14.3	)%		(28.7	)%
Shares outstanding beginning of period		7,846,533			7,146,533
Shares outstanding end of period		7,896,533			7,696,533
Percentage change in shares outstanding		0.6	%		7.7	%
Shares created		500,000			900,000
Shares redeemed		450,000			350,000
Per share NAV beginning of period	$	36.45		$	70.10
Per share NAV end of period	$	31.05		$	46.41
Percentage change in per share NAV		(14.8	)%		(33.8	)%
Percentage change in benchmark		(6.7	)%		(18.0	)%
Benchmark annualized volatility		24.2	%		16.5	%

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. By comparison, during the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 7,146,533 outstanding Shares at June 30, 2014 to 7,696,533 outstanding Shares at September 30, 2014.

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.8% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 33.8% for the three months ended September 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

176

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 10, 2014 at $74.31 per Share and reached its low for the period on September 30, 2014 at $46.41 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(596,454	)	$	(1,023,432	)
Management fee		631,618			1,064,643
Brokerage commissions		15			5
Net realized gain (loss)		(56,519,826	)		9,487,791
Change in net unrealized appreciation/depreciation		13,753,857			(178,527,065	)
Net income (loss)	$	(43,362,423	)	$	(170,062,706	)

The Fund’s net income increased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a lesser decrease in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2015.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	13,272,820		$	2,566,901
NAV end of period	$	10,754,497		$	2,176,269
Percentage change in NAV		(19.0	)%		(15.2	)%
Shares outstanding beginning of period		800,014			100,014
Shares outstanding end of period		650,014			100,014
Percentage change in shares outstanding		(18.7	)%		0.0	%
Shares created		—			—
Shares redeemed		150,000			—
Per share NAV beginning of period	$	16.59		$	25.67
Per share NAV end of period	$	16.55		$	21.76
Percentage change in per share NAV		(0.2	)%		(15.2	)%
Percentage change in benchmark		0.2	%		(7.8	)%
Benchmark annualized volatility		11.2	%		4.8	%

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. By comparison, during the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in outstanding Shares from June 30, 2014 to September 30, 2014.

177

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.2% for the three months ended September 30, 2015, as compared to Fund’s per Share NAV decrease of 15.2% for the three months ended September 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $25.61 per Share and reached its low for the period on September 30, 2014 at $21.76 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(26,696	)	$	(5,529	)
Management fee		27,210			5,760
Net realized gain (loss)		68,787			(172,545	)
Change in net unrealized appreciation/depreciation		(9,339	)		(212,558	)
Net income (loss)	$	32,752		$	(390,632	)

The Fund’s net income increased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended September 30, 2015.

ProShares Ultra Yen*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
NAV beginning of period	$	5,348,899		$	1,997,051
NAV end of period	$	5,534,391		$	1,697,164
Percentage change in NAV		3.5	%		(15.0	)%
Shares outstanding beginning of period		99,974			25,004
Shares outstanding end of period		99,974			25,004
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	53.50		$	79.87
Per share NAV end of period	$	55.36		$	67.88
Percentage change in per share NAV		3.5	%		(15.0	)%
Percentage change in benchmark		2.0	%		(7.6	)%
Benchmark annualized volatility		9.8	%		5.1	%

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. By comparison, during the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2014 to September 30, 2014.

178

For the three months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.5% for the three months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 15.0% for the three months ended September 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2015.

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. By comparison, during the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 17, 2014 at $79.96 per Share and reached its low for the period on September 30, 2014 at $67.88 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2015 and 2014:


	Three Months Ended September 30, 2015			Three Months Ended September 30, 2014
Net investment income (loss)	$	(11,745	)	$	(4,379	)
Management fee		12,814			4,546
Net realized gain (loss)		344,294			(86,445	)
Change in net unrealized appreciation/depreciation		(147,057	)		(209,063	)
Net income (loss)	$	185,492		$	(299,887	)

The Fund’s net income increased for the three months ended September 30, 2015, as compared to the three months ended September 30, 2014, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the three 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 reverse Share split for ProShares Ultra Yen.

Results of Operations for the Nine Months Ended September 30, 2015 Compared to the Nine Months Ended September 30, 2014

ProShares Managed Futures Strategy

Since the Fund commenced investment operations on October 1, 2014, comparisons of the Fund’s results of operations for the nine months ended September 30, 2014 have not been provided.

Fund Performance

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


	Nine Months Ended September 30, 2015
NAV beginning of period	$	6,340,845
NAV end of period	$	9,263,423
Percentage change in NAV		46.1	%
Shares outstanding beginning of period		300,010
Shares outstanding end of period		450,010
Percentage change in shares outstanding		50.0	%
Shares created		400,000
Shares redeemed		250,000

179


	Nine Months Ended September 30, 2015
Per share NAV beginning of period	$	21.14
Per share NAV end of period	$	20.58
Percentage change in per share NAV		(2.6	)%
Percentage change in benchmark		(2.1	)%
Benchmark annualized volatility		5.5	%

During the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted from an increase from 300,010 outstanding Shares at December 31, 2014 to 450,010 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 daily performance of the S&P Strategic Futures Index.

For the nine months ended September 30, 2015, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark.

During the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on January 29, 2015 at $21.88 per Share and reached its low for the period on August 10, 2015 at $20.26 per Share.

The benchmark’s decline of 2.1% for the nine months ended September 30, 2015, can be attributed to a depreciation in value of the futures contracts that make up the S&P Strategic Futures Index during the nine months ended September 30, 2015.

Net Income/Loss

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


	Nine Months Ended September 30, 2015
Net investment income (loss)	$	(53,388	)
Brokerage commission		5,724
Offering costs		49,203
Limitation by Sponsor		(1,539	)
Net realized gain (loss)		(262,050	)
Change in net unrealized appreciation/depreciation		(1,145	)
Net income (loss)	$	(316,583	)

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, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	111,459,325		$	270,398,554
NAV end of period	$	110,946,378		$	140,018,132
Percentage change in NAV		(0.5	)%		(48.2	)%
Shares outstanding beginning of period		5,324,812			9,474,812
Shares outstanding end of period		6,424,812			6,724,812
Percentage change in shares outstanding		20.7	%		(29.0	)%
Shares created		10,550,000			7,350,000
Shares redeemed		9,450,000			10,100,000
Per share NAV beginning of period	$	20.93		$	28.54
Per share NAV end of period	$	17.27		$	20.82
Percentage change in per share NAV		(17.5	)%		(27.0	)%
Percentage change in benchmark		(17.1	)%		(26.2	)%
Benchmark annualized volatility		76.6	%		50.6	%

180

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 5,324,812 outstanding Shares at December 31, 2014 to 6,424,812 outstanding Shares at September 30, 2015. By comparison, during the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,474,812 outstanding Shares at December 31, 2013 to 6,724,812 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.5% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 27.0% for the nine months ended September 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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 $24.15 per Share and reached its low for the period on August 10, 2015 at $10.35 per Share. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $36.25 per Share and reached its low for the period on September 18, 2014 at $18.06 per Share.

The benchmark’s decline of 17.1% for the nine months ended September 30, 2015, as compared to the benchmark’s decline of 26.2% for the nine months ended September 30, 2014, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(924,620	)	$	(833,205	)
Management fee		839,732			849,283
Brokerage commission		115,986			24,499
Net realized gain (loss)		3,414,162			(28,423,976	)
Change in net unrealized appreciation/depreciation		(5,106,633	)		29,074,883
Net income (loss)	$	(2,617,091	)	$	(182,298	)

The Fund’s net income decreased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2015.

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, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	21,459,575		$	51,134,323
NAV end of period	$	31,111,315		$	45,613,786
Percentage change in NAV		45.0	%		(10.8	)%
Shares outstanding beginning of period		337,404			662,501
Shares outstanding end of period		487,404			712,501
Percentage change in shares outstanding		44.5	%		7.5	%
Shares created		300,000			581,250
Shares redeemed		150,000			531,250

181


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Per share NAV beginning of period	$	63.60		$	77.18
Per share NAV end of period	$	63.83		$	64.02
Percentage change in per share NAV		0.4	%		(17.1	)%
Percentage change in benchmark		1.2	%		(16.3	)%
Benchmark annualized volatility		36.0	%		22.8	%

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. By comparison, during the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 662,501 outstanding Shares at December 31, 2013 to 712,501 outstanding Shares at September 30, 2014.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.4% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 17.1% for the nine months ended September 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $85.56 per Share and reached its low for the period on August 19, 2014 at $58.76 per Share.

The benchmark’s rise of 1.2% for the nine months ended September 30, 2015, as compared to the benchmark’s decline of 16.3% for the nine months ended September 30, 2014, can be attributed to a rise 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, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(180,854	)	$	(299,431	)
Management fee		173,165			310,124
Brokerage commission		13,649			2,966
Net realized gain (loss)		(2,290,055	)		(16,098,628	)
Change in net unrealized appreciation/depreciation		3,198,975			7,398,323
Net income (loss)	$	728,066		$	(8,999,736	)

The Fund’s net income increased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a rise 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, 2015.

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, 2015 and 2014:

182


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	506,556,124		$	141,751,202
NAV end of period	$	629,787,391		$	310,478,773
Percentage change in NAV		24.3	%		119.0	%
Shares outstanding beginning of period		8,250,040			2,100,040
Shares outstanding end of period		13,350,040			4,150,040
Percentage change in shares outstanding		61.8	%		97.6	%
Shares created		18,700,000			8,400,000
Shares redeemed		13,600,000			6,350,000
Per share NAV beginning of period	$	61.40		$	67.50
Per share NAV end of period	$	47.17		$	74.81
Percentage change in per share NAV		(23.2	)%		10.8	%
Percentage change in benchmark		(17.1	)%		(26.2	)%
Benchmark annualized volatility		76.6	%		50.6	%

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. By comparison, during the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 2,100,040 outstanding Shares at December 31, 2013 to 4,150,040 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 23.2% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 10.8% for the nine months ended September 30, 2014, was primarily due to a depreciation in the value of the assets of the fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 3, 2014 at $92.60 per Share and reached its low for the period on February 5, 2014 at $50.78 per Share.

The benchmark’s decline of 17.1% for the nine months ended September 30, 2015, as compared to the benchmark’s decline of 26.2% for the nine months ended September 30, 2014, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX Futures curve during the nine months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(3,707,872	)	$	(2,500,310	)
Management fee		2,522,692			1,610,858
Brokerage commission		1,263,889			949,948
Net realized gain (loss)		35,802,720			94,432,504
Change in net unrealized appreciation/depreciation		(45,477,591	)		(33,171,890	)
Net income (loss)	$	(13,382,743	)	$	58,760,304

183

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, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	351,789,953		$	226,233,584
NAV end of period	$	334,883,798		$	258,077,177
Percentage change in NAV		(4.8	)%		14.1	%
Shares outstanding beginning of period		2,804,020			674,478
Shares outstanding end of period		5,852,448			1,734,020
Percentage change in shares outstanding		108.7	%		157.1	%
Shares created		44,780,000			5,205,000
Shares redeemed		41,731,572			4,145,458
Per share NAV beginning of period	$	125.46		$	335.42
Per share NAV end of period	$	57.22		$	148.83
Percentage change in per share NAV		(54.4	)%		(55.6	)%
Percentage change in benchmark		(17.1	)%		(26.2	)%
Benchmark annualized volatility		76.6	%		50.6	%

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 2,804,020 outstanding Shares at December 31, 2014 to 5,852,448 outstanding Shares at September 30, 2015. By comparison, during the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 674,478 outstanding Shares at December 31, 2013 to 1,734,020 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 54.4% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 55.6% for the nine months ended September 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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 $164.28 per Share and reached its low for the period on August 10, 2015 at $24.46 per Share. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $522.60 per Share and reached its low for the period on September 18, 2014 at $113.65 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(5,497,266	)	$	(3,811,314	)
Management fee		3,205,706			2,064,694
Brokerage commission		2,378,733			1,802,162
Net realized gain (loss)		(291,204,571	)		(255,418,727	)
Change in net unrealized appreciation/depreciation		(14,730,937	)		72,652,146
Net income (loss)	$	(311,432,774	)	$	(186,577,895	)

184

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

ProShares UltraShort Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	5,264,706		$	3,797,427
NAV end of period	$	6,936,148		$	4,149,184
Percentage change in NAV		31.7	%		9.3	%
Shares outstanding beginning of period		59,997			59,997
Shares outstanding end of period		59,997			59,997
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	87.75		$	63.29
Per share NAV end of period	$	115.61		$	69.16
Percentage change in per share NAV		31.7	%		9.3	%
Percentage change in benchmark		(15.8	)%		(5.6	)%
Benchmark annualized volatility		16.1	%		8.4	%

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 the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2014 to September 30, 2015. By comparison, during the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to September 30, 2014.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 31.7% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 9.3% for the nine months ended September 30, 2014, was primarily due to a greater appreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

During the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on August 26, 2015 at $124.46 per Share and reached its low for the period on May 14, 2015 at $83.15 per Share. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 23, 2014 at $69.36 per Share and reached its low for the period on April 29, 2014 at $51.38 per Share.

The benchmark’s decline of 15.8% for the nine months ended September 30, 2015, as compared to the benchmark’s decline of 5.6% for the nine months ended September 30, 2014, can be attributed to greater depreciation of the underlying components of the index during the nine months ended September 30, 2015.

185

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(39,645	)	$	(23,790	)
Management fee		41,048			24,737
Net realized gain (loss)		2,068,214			(3,519	)
Change in net unrealized appreciation/depreciation		(357,127	)		379,066
Net income (loss)	$	1,671,442		$	351,757

The Fund’s net income increased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a greater decline in the Fund’s benchmark index during the nine months ended September 30, 2015.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	169,210,110		$	256,060,149
NAV end of period	$	141,774,453		$	196,140,063
Percentage change in NAV		(16.2	)%		(23.4	)%
Shares outstanding beginning of period		2,169,944			8,069,944
Shares outstanding end of period		1,619,944			6,369,944
Percentage change in shares outstanding		(25.3	)%		(21.1	)%
Shares created		10,200,000			14,850,000
Shares redeemed		10,750,000			16,550,000
Per share NAV beginning of period	$	77.98		$	31.73
Per share NAV end of period	$	87.52		$	30.79
Percentage change in per share NAV		12.2	%		(3.0	)%
Percentage change in benchmark		(27.3	)%		(1.8	)%
Benchmark annualized volatility		47.8	%		16.0	%

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. By comparison, during the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 8,069,944 outstanding Shares at December 31, 2013 to 6,369,944 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.2% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 3.0% for the nine months ended September 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $36.34 per Share and reached its low for the period on June 20, 2014 at $24.07 per Share.

186

The benchmark’s decline of 27.3% for the nine months ended September 30, 2015, as compared to the decline of 1.8% for the nine months ended September 30, 2014, can be attributed to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(1,823,433	)	$	(2,067,933	)
Management fee		1,681,411			2,113,748
Brokerage commission		187,715			55,085
Net realized gain (loss)		47,579,514			(1,278,263	)
Change in net unrealized appreciation/depreciation		(45,637,289	)		11,391,293
Net income (loss)	$	118,792		$	8,045,097

The Fund’s net income decreased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a greater decrease in the price of WTI Crude Oil in conjunction with changes in shares outstanding during the nine months ended September 30, 2015.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	14,688,564		$	22,734,767
NAV end of period	$	12,137,105		$	19,683,020
Percentage change in NAV		(17.4	)%		(13.4	)%
Shares outstanding beginning of period		174,952			324,952
Shares outstanding end of period		124,952			424,952
Percentage change in shares outstanding		(28.6	)%		30.8	%
Shares created		400,000			2,400,000
Shares redeemed		450,000			2,300,000
Per share NAV beginning of period	$	83.96		$	69.96
Per share NAV end of period	$	97.13		$	46.32
Percentage change in per share NAV		15.7	%		(33.8	)%
Percentage change in benchmark		(23.0	)%		2.6	%
Benchmark annualized volatility		40.2	%		39.3	%

During the nine months ended September 30, 2015, the decrease in the Fund’s NAV resulted from a decrease from 174,952 outstanding Shares at December 31, 2014 to 124,952 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. By comparison, during the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 324,952 outstanding Shares at December 31, 2013 to 424,952 outstanding Shares at September 30, 2014.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.7% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 33.8% for the nine months ended September 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

187

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 $97.17 per Share and reached its low for the period on January 14, 2015 at $64.60 per Share. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $76.82 per Share and reached its low for the period on June 12, 2014 at $35.78 per Share.

The benchmark’s decline of 23.0% for the nine months ended September 30, 2015, as compared to the benchmark’s rise of 2.6% for the nine months ended September 30, 2014, can be attributed to a decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(126,959	)	$	(413,886	)
Management fee		83,818			352,678
Brokerage commission		45,601			76,540
Net realized gain (loss)		6,412,870			2,737,682
Change in net unrealized appreciation/depreciation		(1,526,777	)		(2,912,004	)
Net income (loss)	$	4,759,134		$	(588,208	)

The Fund’s net income increased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a decrease in the price of Henry Hub Natural Gas during the nine months ended September 30, 2015.

ProShares UltraShort Gold^†

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	81,861,762		$	139,436,456
NAV end of period	$	74,568,380		$	82,095,909
Percentage change in NAV		(8.9	)%		(41.1	)%
Shares outstanding beginning of period		846,978			1,346,978
Shares outstanding end of period		696,978			846,978
Percentage change in shares outstanding		(17.7	)%		(37.1	)%
Shares created		100,000			450,000
Shares redeemed		250,000			950,000
Per share NAV beginning of period	$	96.65		$	103.52
Per share NAV end of period	$	106.99		$	96.93
Percentage change in per share NAV		10.7	%		(6.4	)%
Percentage change in benchmark		(7.6	)%		1.0	%
Benchmark annualized volatility		14.3	%		12.4	%

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^†. By comparison, during the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,346,978 outstanding Shares at December 31, 2013 to 846,978 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

188

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.7% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 6.4% for the nine months ended September 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 8, 2014 at $100.49 per Share and reached its low for the period on March 14, 2014 at $77.10 per Share.

The benchmark’s decline of 7.6% for the nine months ended September 30, 2015, as compared to the benchmark’s rise of 1.0% for the nine months ended September 30, 2014, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(534,850	)	$	(654,933	)
Management fee		557,050			689,861
Brokerage commission		33			32
Net realized gain (loss)		7,024,594			(12,647,502	)
Change in net unrealized appreciation/depreciation		2,668,359			(25,284	)
Net income (loss)	$	9,158,103		$	(13,327,719	)

The Fund’s net income increased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2015.

†

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	53,007,867		$	112,989,686
NAV end of period	$	55,044,902		$	59,820,800
Percentage change in NAV		3.8	%		(47.1	)%
Shares outstanding beginning of period		458,489			1,258,489
Shares outstanding end of period		458,489			558,489
Percentage change in shares outstanding		0.0	%		(55.6	)%
Shares created		550,000			800,000
Shares redeemed		550,000			1,500,000
Per share NAV beginning of period	$	115.61		$	89.78
Per share NAV end of period	$	120.06		$	107.11
Percentage change in per share NAV		3.8	%		19.3	%
Percentage change in benchmark		(8.3	)%		(12.3	)%
Benchmark annualized volatility		24.3	%		19.5	%

189

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. By comparison, during the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 1,258,489 outstanding Shares at December 31, 2013 to 558,489 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.8% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 19.3% for the nine months ended September 30, 2014, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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 $127.97 per Share and reached its low for the period on January 23, 2015 at $86.79 per Share. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $107.11 per Share and reached its low for the period on February 24, 2014 at $68.80 per Share.

The benchmark’s decline of 8.3% for the nine months ended September 30, 2015, as compared to the benchmark’s decline of 12.3% for the nine months ended September 30, 2014, can be attributed to a lesser decrease in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(378,164	)	$	(453,626	)
Management fee		391,994			479,955
Brokerage commission		33			33
Net realized gain (loss)		7,379,053			(1,278,772	)
Change in net unrealized appreciation/depreciation		(1,107,105	)		14,577,833
Net income (loss)	$	5,893,784		$	12,845,435

The Fund’s net income decreased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a lesser decrease in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2015.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	14,021,804		$	8,896,842
NAV end of period	$	34,211,934		$	17,336,789
Percentage change in NAV		144.0	%		94.9	%
Shares outstanding beginning of period		350,005			250,005
Shares outstanding end of period		800,005			450,005
Percentage change in shares outstanding		128.6	%		80.0	%
Shares created		550,000			250,000
Shares redeemed		100,000			50,000
Per share NAV beginning of period	$	40.06		$	35.59

190


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Per share NAV end of period	$	42.76		$	38.53
Percentage change in per share NAV		6.7	%		8.3	%
Percentage change in benchmark		(7.7	)%		(8.2	)%
Benchmark annualized volatility		12.5	%		5.0	%

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. By comparison, during the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 250,005 outstanding Shares at December 31, 2013 to 450,005 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.7% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 8.3% for the nine months ended September 30, 2014, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $38.53 per Share and reached its low for the period on May 6, 2014 at $35.07 per Share.

The benchmark’s decline of 7.7% for the nine months ended September 30, 2015, as compared to the benchmark’s decline of 8.2% for the nine months ended September 30, 2014, can be attributed to a lesser decline in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(131,854	)	$	(81,283	)
Management fee		132,555			83,705
Brokerage commission		2,951			1,262
Net realized gain (loss)		1,196,111			926,106
Change in net unrealized appreciation/depreciation		(224,430	)		463,426
Net income (loss)	$	839,827		$	1,308,249

The Fund’s net income decreased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a lesser decline in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2015.

191

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	23,120,790		$	27,983,279
NAV end of period	$	22,583,663		$	20,645,274
Percentage change in NAV		(2.3	)%		(26.2	)%
Shares outstanding beginning of period		450,005			600,005
Shares outstanding end of period		350,005			450,005
Percentage change in shares outstanding		(22.2	)%		(25.0	)%
Shares created		50,000			—
Shares redeemed		150,000			150,000
Per share NAV beginning of period	$	51.38		$	46.64
Per share NAV end of period	$	64.52		$	45.88
Percentage change in per share NAV		25.6	%		(1.6	)%
Percentage change in benchmark		(14.0	)%		(2.0	)%
Benchmark annualized volatility		12.3	%		7.7	%

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. By comparison, during the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,005 outstanding Shares at December 31, 2013 to 450,005 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the 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, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 25.6% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 1.6% for the nine months ended September 30, 2014, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 24, 2014 at $48.83 per Share and reached its low for the period on July 1, 2014 at $39.67 per Share.

The benchmark’s decline of 14.0% for the nine months ended September 30, 2015, as compared to the benchmark’s decline of 2.0% for the nine months ended September 30, 2014, can be attributed to a greater decline in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(158,141	)	$	(159,320	)
Management fee		149,028			157,466
Brokerage commission		12,027			9,220
Net realized gain (loss)		5,931,063			(1,375,251	)
Change in net unrealized appreciation/depreciation		(693,541	)		966,993
Net income (loss)	$	5,079,381		$	(567,578	)

The Fund’s net income increased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a greater decline in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2015.

192

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	517,191,349		$	418,001,115
NAV end of period	$	547,279,138		$	472,408,248
Percentage change in NAV		5.8	%		13.0	%
Shares outstanding beginning of period		23,950,014			24,500,014
Shares outstanding end of period		22,450,014			23,650,014
Percentage change in shares outstanding		(6.3	)%		(3.5	)%
Shares created		11,900,000			2,550,000
Shares redeemed		13,400,000			3,400,000
Per share NAV beginning of period	$	21.59		$	17.06
Per share NAV end of period	$	24.38		$	19.97
Percentage change in per share NAV		12.9	%		17.1	%
Percentage change in benchmark		(7.7	)%		(8.2	)%
Benchmark annualized volatility		12.5	%		5.0	%

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 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. By comparison, during the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the 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 24,500,014 outstanding Shares at December 31, 2013 to 23,650,014 outstanding Shares at September 30, 2014.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 12.9% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 17.1% for the nine months ended September 30, 2014, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $19.97 per Share and reached its low for the period on May 6, 2014 at $16.52 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(3,837,538	)	$	(2,919,876	)
Management fee		4,000,943			3,090,163
Net realized gain (loss)		69,786,875			25,749,214
Change in net unrealized appreciation/depreciation		(11,431,990	)		51,047,636
Net income (loss)	$	54,517,347		$	73,876,974

193

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	531,471,873		$	588,121,516
NAV end of period	$	302,929,598		$	435,500,662
Percentage change in NAV		(43.0	)%		(26.0	)%
Shares outstanding beginning of period		5,949,294			8,299,294
Shares outstanding end of period		3,449,294			5,749,294
Percentage change in shares outstanding		(42.0	)%		(30.7	)%
Shares created		1,350,000			1,350,000
Shares redeemed		3,850,000			3,900,000
Per share NAV beginning of period	$	89.33		$	70.86
Per share NAV end of period	$	87.82		$	75.75
Percentage change in per share NAV		(1.7	)%		6.9	%
Percentage change in benchmark		(0.2	)%		(4.0	)%
Benchmark annualized volatility		8.7	%		6.3	%

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. By comparison, during the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,299,294 outstanding Shares at December 31, 2013 to 5,749,294 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the 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, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.7% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV increase of 6.9% for the nine months ended September 30, 2014, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $75.75 per Share and reached its low for the period on July 17, 2014 at $64.75 per Share.

The benchmark’s decline of 0.2% for the nine months ended September 30, 2015, as compared to the benchmark’s decline of 4.0% for the nine months ended September 30, 2014, can be attributed to a lesser decline in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2015.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(2,955,236	)	$	(2,636,773	)
Management fee		3,069,183			2,800,653
Net realized gain (loss)		(6,896,574	)		15,965,501
Change in net unrealized appreciation/depreciation		686,993			5,712,611
Net income (loss)	$	(9,164,817	)	$	19,041,339

194

The Fund’s net income decreased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a lesser decline in the value of the Japanese yen versus the U.S. dollar in conjunction with share transactions during the nine months ended September 30, 2015.

ProShares Ultra Bloomberg Commodity*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	2,606,920		$	2,915,034
NAV end of period	$	3,582,769		$	3,405,894
Percentage change in NAV		37.4	%		16.8	%
Shares outstanding beginning of period		50,004			37,504
Shares outstanding end of period		99,965			50,004
Percentage change in shares outstanding		99.9	%		33.3	%
Shares created		75,000			12,500
Shares redeemed		25,039			—
Per share NAV beginning of period	$	52.13		$	77.73
Per share NAV end of period	$	35.84		$	68.11
Percentage change in per share NAV		(31.2	)%		(12.4	)%
Percentage change in benchmark		(15.8	)%		(5.6	)%
Benchmark annualized volatility		16.1	%		8.4	%

During the nine months ended September 30, 2015, the increase in the Fund’s NAV resulted from an increase from 50,004 outstanding Shares at December 31, 2014 to 99,965 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 Commodity Index. By comparison, during the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 37,504 outstanding Shares at December 31, 2013 to 50,004 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 31.2% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 12.4% for the nine months ended September 30, 2014, was due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

During the nine months ended September 30, 2015, the Fund’s per Share NAV reached its high for the period on May 14, 2015 at $52.57 per Share and reached its low for the period on August 26, 2015 at $33.85 per Share. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on April 29, 2014 at $93.80 per Share and reached its low for the period on September 23, 2014 at $68.04 per Share.

The benchmark’s decline of 15.8% for the nine months ended September 30, 2015, as compared to the benchmark’s decline of 5.6% for the nine months ended September 30, 2014, can be attributed to a greater depreciation of the underlying components of the index during the nine months ended September 30, 2015.

195

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(16,359	)	$	(23,639	)
Management fee		16,884			24,709
Net realized gain (loss)		(1,033,389	)		(274,820	)
Change in net unrealized appreciation/depreciation		271,020			(345,597	)
Net income (loss)	$	(778,728	)	$	(644,056	)

The Fund’s net income decreased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a greater decline in the Fund’s benchmark index during 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 reverse Share split for ProShares Ultra Bloomberg Commodity.

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	450,562,988		$	142,773,429
NAV end of period	$	787,261,737		$	179,175,918
Percentage change in NAV		74.7	%		25.5	%
Shares outstanding beginning of period		8,879,834			889,834
Shares outstanding end of period		35,227,867			1,189,834
Percentage change in shares outstanding		296.7	%		33.7	%
Shares created		54,530,000			2,080,000
Shares redeemed		28,181,967			1,780,000
Per share NAV beginning of period	$	50.74		$	160.45
Per share NAV end of period	$	22.35		$	150.59
Percentage change in per share NAV		(56.0	)%		(6.1	)%
Percentage change in benchmark		(27.3	)%		(1.8	)%
Benchmark annualized volatility		47.8	%		16.0	%

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. By comparison, during the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 889,834 outstanding Shares at December 31, 2013 to 1,189,834 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 56.0% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 6.1% for the nine months ended September 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on June 20, 2014 at $200.70 per Share and reached its low for the period on January 9, 2014 at $139.25 per Share.

The benchmark’s decline of 27.3% for the nine months ended September 30, 2015, as compared to the benchmark’s decline of 1.8% for the nine months ended September 30, 2014, can be attributed to a greater decrease in the price of WTI Crude Oil during the nine months ended September 30, 2015.

196

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(6,489,539	)	$	(887,576	)
Management fee		6,257,893			908,339
Brokerage commission		449,106			24,160
Net realized gain (loss)		(497,221,597	)		14,607,512
Change in net unrealized appreciation/depreciation		73,444,143			(9,838,947	)
Net income (loss)	$	(430,266,993	)	$	3,880,989

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

ProShares Ultra Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	70,433,207		$	62,915,779
NAV end of period	$	52,582,988		$	69,524,710
Percentage change in NAV		(25.3	)%		10.5	%
Shares outstanding beginning of period		1,142,485			404,985
Shares outstanding end of period		1,642,170			479,985
Percentage change in shares outstanding		43.7	%		18.5	%
Shares created		1,687,500			512,500
Shares redeemed		1,187,815			437,500
Per share NAV beginning of period	$	61.65		$	155.35
Per share NAV end of period	$	32.02		$	144.85
Percentage change in per share NAV		(48.1	)%		(6.8	)%
Percentage change in benchmark		(23.0	)%		2.6	%
Benchmark annualized volatility		40.2	%		39.3	%

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. By comparison, during the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 404,985 outstanding Shares at December 31, 2013 to 479,985 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 48.1% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 6.8% for the nine months ended September 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

197

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 29, 2014 at $255.12 per Share and reached its low for the period on September 5, 2014 at $127.08 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(620,187	)	$	(297,487	)
Management fee		479,185			264,587
Brokerage commission		156,022			44,280
Net realized gain (loss)		(58,399,470	)		9,882,248
Change in net unrealized appreciation/depreciation		21,001,958			8,010,121
Net income (loss)	$	(38,017,699	)	$	17,594,882

The Fund’s net income decreased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a decrease in the price of Henry Hub Natural Gas during 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 reverse Share split for ProShares Ultra Bloomberg Natural Gas.

ProShares Ultra Gold^†

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	102,003,345		$	132,017,405
NAV end of period	$	81,225,498		$	113,006,432
Percentage change in NAV		(20.4	)%		(14.4	)%
Shares outstanding beginning of period		2,550,014			3,200,014
Shares outstanding end of period		2,450,014			2,750,014
Percentage change in shares outstanding		(3.9	)%		(14.1	)%
Shares created		100,000			250,000
Shares redeemed		200,000			700,000
Per share NAV beginning of period	$	40.00		$	41.26
Per share NAV end of period	$	33.15		$	41.09
Percentage change in per share NAV		(17.1	)%		(0.4	)%
Percentage change in benchmark		(7.6	) %		1.0	%
Benchmark annualized volatility		14.3	%		12.4	%

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^†. By comparison, during the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,200,014 outstanding Shares at December 31, 2013 to 2,750,014 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

198

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.1% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 0.4% for the nine months ended September 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on March 14, 2014 at $54.16 per Share and reached its low for the period on September 22, 2014 at $40.91 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(630,215	)	$	(908,315	)
Management fee		657,667			953,309
Brokerage commission		33			32
Net realized gain (loss)		(12,230,086	)		3,321,383
Change in net unrealized appreciation/depreciation		(3,349,294	)		(1,312,308	)
Net income (loss)	$	(16,209,595	)	$	1,100,760

The Fund’s net income decreased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2015.

^†

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	291,169,743		$	465,479,519
NAV end of period	$	245,181,213		$	357,175,403
Percentage change in NAV		(15.8	)%		(23.3	)%
Shares outstanding beginning of period		7,396,533			7,350,007
Shares outstanding end of period		7,896,533			7,696,533
Percentage change in shares outstanding		6.8	%		4.7	%
Shares created		2,000,000			2,087,500
Shares redeemed		1,500,000			1,740,974
Per share NAV beginning of period	$	39.37		$	63.33
Per share NAV end of period	$	31.05		$	46.41
Percentage change in per share NAV		(21.1	)%		(26.7	)%
Percentage change in benchmark		(8.3	) %		(12.3	)%
Benchmark annualized volatility		24.3	%		19.5	%

199

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. By comparison, during the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 7,350,007 outstanding Shares at December 31, 2013 to 7,696,533 outstanding Shares at September 30, 2014.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 21.1% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 26.7% for the nine months ended September 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 24, 2014 at $80.11 per Share and reached its low for the period on September 30, 2014 at $46.41 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(1,975,441	)	$	(3,195,942	)
Management fee		2,085,125			3,351,080
Brokerage commission		42			35
Net realized gain (loss)		(72,523,674	)		(22,790,907	)
Change in net unrealized appreciation/depreciation		12,283,450			(89,127,152	)
Net income (loss)	$	(62,215,665	)	$	(115,114,001	)

The Fund’s net income increased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a lesser decrease in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2015.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	2,981,441		$	2,603,827
NAV end of period	$	10,754,497		$	2,176,269
Percentage change in NAV		260.7	%		(16.4	)%

200


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Shares outstanding beginning of period		150,014			100,014
Shares outstanding end of period		650,014			100,014
Percentage change in shares outstanding		333.3	%		0.0	%
Shares created		800,000			—
Shares redeemed		300,000			—
Per share NAV beginning of period	$	19.87		$	26.03
Per share NAV end of period	$	16.55		$	21.76
Percentage change in per share NAV		(16.7	)%		(16.4	)%
Percentage change in benchmark		(7.7	)%		(8.2	)%
Benchmark annualized volatility		12.5	%		5.0	%

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. By comparison, during the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2013 to September 30, 2014.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.7% for the nine months ended September 30, 2015, as compared to Fund’s per Share NAV decrease of 16.4% for the nine months ended September 30, 2014, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on March 18, 2014 at $26.63 per Share and reached its low for the period on September 30, 2014 at $21.76 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(76,611	)	$	(16,972	)
Management fee		78,687			17,908
Net realized gain (loss)		(559,454	)		(127,660	)
Change in net unrealized appreciation/depreciation		(39,308	)		(282,926	)
Net income (loss)	$	(675,373	)	$	(427,558	)

201

ProShares Ultra Yen*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
NAV beginning of period	$	2,118,028		$	2,795,026
NAV end of period	$	5,534,391		$	1,697,164
Percentage change in NAV		161.3	%		(39.3	)%
Shares outstanding beginning of period		37,504			37,504
Shares outstanding end of period		99,974			25,004
Percentage change in shares outstanding		166.6	%		(33.3	)%
Shares created		75,000			—
Shares redeemed		12,530			12,500
Per share NAV beginning of period	$	56.47		$	74.53
Per share NAV end of period	$	55.36		$	67.88
Percentage change in per share NAV		(2.0	)%		(8.9	)%
Percentage change in benchmark		(0.2	)%		(4.0	)%
Benchmark annualized volatility		8.7	%		6.3	%

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. By comparison, during the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 37,504 outstanding Shares at December 31, 2013 to 25,004 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the nine months ended September 30, 2015 and 2014, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.0% for the nine months ended September 30, 2015, as compared to the Fund’s per Share NAV decrease of 8.9% for the nine months ended September 30, 2014, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2015.

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. By comparison, during the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 3, 2014 at $80.84 per Share and reached its low for the period on September 30, 2014 at $67.88 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2015 and 2014:


	Nine Months Ended September 30, 2015			Nine Months Ended September 30, 2014
Net investment income (loss)	$	(33,316	)	$	(16,867	)
Management fee		35,135			17,855
Net realized gain (loss)		(174,875	)		(107,963	)
Change in net unrealized appreciation/depreciation		28,220			2,618
Net income (loss)	$	(179,971	)	$	(122,212	)

The Fund’s net income decreased for the nine months ended September 30, 2015, as compared to the nine months ended September 30, 2014, primarily due to a lesser decline in the value of the Japanese yen versus the U.S. dollar during 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 reverse Share split for ProShares Ultra Yen.

202

Item 3.

Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Since the ProShares Managed Futures Strategy commenced investment operations on October 1, 2014, comparisons of positions in certain Financial Instruments held by ProShares Managed Futures Strategy as of September 30, 2014 have not been provided.

Commodity Price Sensitivity and Exchange Rate Sensitivity

The Managed Futures Fund is exposed to commodity price risk through its holdings of commodity futures contracts and exchange rate risk through its holdings of currency and U.S. Treasury futures contracts. The following table provides information about the Managed Futures Fund’s Financial Instruments, which were sensitive to both commodity price and exchange rate risk. As of September 30, 2015, the Managed Futures Fund’s positions were as follows:

ProShares Managed Futures Strategy:

As of September 30, 2015, the Managed Futures Fund was exposed to commodity price and exchange rate risk through its holdings of Financial Instruments linked to the S&P Strategic Futures Index. The following table provides information about the Fund’s commodity and currency futures contracts as of September 30, 2015, which were sensitive to commodity price risk and exchange rate price risk.

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)	Long	December 2015		3	$	1.12		125,000	$	419,213
Japanese Yen Fx Currency Futures (CME)	Long	December 2015		6		83.43		1,250		625,725
US 10 YR Note Futures (CBT)	Long	December 2015		11		128.73		1,000		1,416,078
US Treasury Long Bond Futures (CBT)	Long	December 2015		6		157.34		1,000		944,063
Natural Gas Futures (NYMEX)	Short	November 2015		7		2.52		10,000		176,680
NY Harbor ULSD Futures (NYMEX)	Short	November 2015		2		1.54		42,000		129,142
RBOB Gasoline Futures (NYMEX)	Short	November 2015		2		1.37		42,000		114,803
Soybean Futures (CBT)	Short	November 2015		6		8.92		5,000		267,600
WTI Crude Oil Futures (NYMEX)	Short	November 2015		2		45.09		1,000		90,180
Australian Dollar Fx Currency Futures (CME)	Short	December 2015		5		69.88		1,000		349,400
British Pound Fx Currency Futures (CME)	Short	December 2015		6		151.13		625		566,738
Canadian Dollar Fx Currency Futures (CME)	Short	December 2015		6		74.88		1,000		449,280
Cocoa Futures (ICE)	Short	December 2015		14		3,114.00		10		435,960
Coffee ‘C’ Futures (ICE)	Short	December 2015		4		1.21		37,500		182,025
Copper Futures (COMEX)	Short	December 2015		5		2.34		25,000		292,625
Corn Futures (CBT)	Short	December 2015		13		3.88		5,000		252,037
Cotton No. 2 Futures (ICE)	Short	December 2015		10		0.60		50,000		302,200
Gold 100 OZ Futures (COMEX)	Short	December 2015		2		1,115.20		100		223,040
Gold Mini Futures (ICE)	Short	December 2015		2		1,115.20		32.15		71,707
Lean Hogs Futures (CME)	Short	December 2015		14		0.68		40,000		373,660
Live Cattle Futures (CME)	Short	December 2015		8		1.31		40,000		418,960
Silver Futures (COMEX)	Short	December 2015		2		14.52		5,000		145,180
Swiss Franc Fx Currency Futures (CME)	Short	December 2015		2		102.82		1,250		257,050
Wheat Futures (CBT)	Short	December 2015		10		5.13		5,000		256,375
Sugar #11 Futures (CBT)	Short	March 2016		18		0.13		112,000		259,661

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

203

efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2014 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 2, 2015 (the “Form 10-K”), for additional information regarding performance for periods longer than a single day.

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, 2015 and 2014, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of September 30, 2015 and 2014, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2015 and 2014, which were sensitive to equity market volatility risk.

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

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2014		5,102	$	16.30		1,000	$	83,162,600
VIX Futures (CBOE)	Long	November 2014		3,402		16.65		1,000		56,643,300

The September 30, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Mid-Term Futures ETF

As of September 30, 2015 and 2014, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2015 and 2014, which were sensitive to equity market volatility risk.

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

204

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	January 2015		506	$	17.45		1,000	$	8,829,700
VIX Futures (CBOE)	Long	February 2015		844		17.90		1,000		15,107,600
VIX Futures (CBOE)	Long	March 2015		844		18.25		1,000		15,403,000
VIX Futures (CBOE)	Long	April 2015		338		18.60		1,000		6,286,800

ProShares Short VIX Short-Term Futures ETF

As of September 30, 2015 and 2014, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2015 and 2014, which were sensitive to equity market volatility risk.

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	)

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Short	October 2014		11,352	$	16.30		1,000	$	(185,037,600	)
VIX Futures (CBOE)	Short	November 2014		7,575		16.65		1,000		(126,123,750	)

The September 30, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra VIX Short-Term Futures ETF

As of September 30, 2015 and 2014, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these VIX futures contracts as of September 30, 2015 and 2014, which were sensitive to equity market volatility risk.

205

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

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2014		18,828	$	16.30		1,000	$	306,896,400
VIX Futures (CBOE)	Long	November 2014		12,550		16.65		1,000		208,957,500

The September 30, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

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, 2015 and 2014, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort Bloomberg Commodity:

As of September 30, 2015 and 2014, the ProShares UltraShort Bloomberg Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s short swap positions as of September 30, 2015 and 2014, which were sensitive to commodity price risk.

Swap Agreements as of September 30, 2015


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Index	Deutsche Bank AG	Short	$	87.8214	$	(5,121,176	)
Bloomberg Commodity Index	Goldman Sachs International	Short		87.8214		(5,231,008	)
Bloomberg Commodity Index	UBS AG	Short		87.8214		(3,530,230	)

Swap Agreements as of September 30, 2014


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Index	Deutsche Bank AG	Short	$	118.6922	$	(3,142,104	)
Bloomberg Commodity Index	Goldman Sachs International	Short		118.6922		(3,692,948	)
Bloomberg Commodity Index	UBS AG	Short		118.6922		(1,467,635	)

206

The September 30, 2015 and 2014 short swap notional values are calculated by multiplying units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K, for additional information regarding performance for periods longer than a single day.

Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Bloomberg Crude Oil:

As of September 30, 2015 and 2014, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to commodity price risk.

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	)

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	November 2014		1,835	$	91.16		1,000	$	(167,278,600	)

Swap Agreements as of September 30, 2014


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Short	$	240.0850	$	(62,351,907	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		240.0850		(69,441,497	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Short		240.0850		(23,563,233	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		240.0850		(69,653,790	)

207

The September 30, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2015 and 2014 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 2015 and 2014, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to commodity price risk.

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	)

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	November 2014		955	$	4.12		10,000	$	(39,355,550	)

The September 30, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Gold:

As of September 30, 2015 and 2014, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to commodity price risk.

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	)

208

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	)

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	December 2014		2	$	1,211.60		100	$	(242,320	)

Forward Agreements as of September 30, 2014


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short	$	1,216.53	$	(82,724,040	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,216.53		(32,843,877	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,216.53		(16,666,461	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,216.53		(31,690,607	)

The September 30, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2015 and 2014 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Silver:

As of September 30, 2015 and 2014, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to commodity price risk.

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	)

209

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	)

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	December 2014		1	$	17.06		5,000	$	(85,285	)

Forward Agreements as of September 30, 2014


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short	$	17.1113	$	(58,914,206	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		17.1110		(20,644,422	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		17.1110		(11,755,257	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		17.1111		(28,233,315	)

The September 30, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2015 and 2014 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

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, 2015 and 2014, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of September 30, 2015 and 2014, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to exchange rate price risk.

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	)

210

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short	December 2014		110	$	1.26		125,000	$	(17,373,125	)

The September 30, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Australian Dollar:

As of September 30, 2015 and 2014, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to exchange rate price risk.

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	)

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	December 2014		473	$	86.97		1,000	$	(41,136,810	)

The September 30, 2015 and 2014 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of September 30, 2015 and 2014, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to exchange rate price risk.

211

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	)

Foreign Currency Forward Contracts as of September 30, 2014


Reference Currency	Counterparty	Long or Short		Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International		Long		10/03/14		50,953,400			1.2630	$	64,354,521
Euro	UBS AG		Long		10/03/14		16,358,400			1.2630		20,660,780
Euro	Goldman Sachs International		Short		10/03/14		(407,363,625	)		1.2630		(514,503,272	)
Euro	UBS AG		Short		10/03/14		(408,335,300	)		1.2630		(515,730,505	)

The September 30, 2015 and 2014 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

As of September 30, 2015 and 2014, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to exchange rate price risk.

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	)

212

Foreign Currency Forward Contracts as of September 30, 2014


Reference Currency	Counterparty	Long or Short		Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International		Long		10/03/14		2,823,176,700			0.009118	$	25,741,849
Yen	UBS AG		Long		10/03/14		2,754,478,000			0.009118		25,115,452
Yen	Goldman Sachs International		Short		10/03/14		(51,996,123,300	)		0.009118		(474,102,939	)
Yen	UBS AG		Short		10/03/14		(49,151,071,100	)		0.009118		(448,161,628	)

The September 30, 2015 and 2014 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Commodity Price Sensitivity

ProShares Ultra Bloomberg Commodity:

As of September 30, 2015 and 2014, the ProShares Ultra Bloomberg Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s swap positions as of September 30, 2015 and 2014, which were sensitive to commodity price risk.

Swap Agreements as of September 30, 2015

Reference Index

Counterparty

Long or
Short

Index
Close

Notional Amount at
Value

Bloomberg Commodity Index

Deutsche Bank AG

Long

87.8214

5,278,242

Bloomberg Commodity Index

Goldman Sachs
International

Long

87.8214

1,530,959

Bloomberg Commodity Index

UBS AG

Long

87.8214

358,496

Swap Agreements as of September 30, 2014

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount at
Value

Bloomberg Commodity Index

Deutsche Bank AG

Long

118.6922

2,826,697

Bloomberg Commodity Index

Goldman Sachs
International

Long

118.6922

3,040,456

Bloomberg Commodity Index

UBS AG

Long

118.6922

938,766

The September 30, 2015 and 2014 swap notional values are calculated by multiplying units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated

213

simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2015 and 2014, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to commodity price risk.

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

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

Futures Positions as of September 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Long

November 2014

1,693

91.16

1,000

154,333,880

Swap Agreements as of September 30, 2014

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg WTI Crude Oil Subindex

Deutsche Bank AG

Long

240.0850

66,036,469

Bloomberg WTI Crude Oil Subindex

Goldman Sachs
International

Long

240.0850

52,389,330

Bloomberg WTI Crude Oil Subindex

Societe Generale S.A.

Long

240.0850

24,059,224

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

240.0850

61,519,125

The September 30, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2015 and 2014 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

214

ProShares Ultra Bloomberg Natural Gas:

As of September 30, 2015 and 2014, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to commodity price risk.

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

Futures Positions as of September 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

November 2014

3,374

4.12

10,000

139,042,540

The September 30, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

As of September 30, 2015 and 2014, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to commodity price risk.

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

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

Futures Positions as of September 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

December 2014

1,211.60

100

242,320

215

Forward Agreements as of September 30, 2014

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Deutsche Bank AG

Long

1,216.53

117,395,145

0.995 Fine Troy Ounce Gold

Goldman Sachs
International

Long

1,216.53

47,833,960

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,216.53

18,491,256

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,216.53

42,091,938

The September 30, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2015 and 2014 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of September 30, 2015 and 2014, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to commodity price risk.

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

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

Futures Positions as of September 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

December 2014

17.06

5,000

170,570

Forward Agreements as of September 30, 2014

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Deutsche Bank AG

Long

17.1113

369,963,417

0.999 Fine Troy Ounce Silver

Goldman Sachs
International

Long

17.1110

140,358,111

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

17.1110

79,189,708

0.999 Fine Troy Ounce Silver

UBS AG

Long

17.1111

124,654,364

216

The September 30, 2015 and 2014 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2015 and 2014 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account.

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

Exchange Rate Sensitivity

ProShares Ultra Euro:

As of September 30, 2015 and 2014, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to exchange rate price risk.

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	)

Foreign Currency Forward Contracts as of September 30, 2014


Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	10/03/14		621,725			1.2630	$	785,243
Euro	UBS AG	Long	10/03/14		2,994,100			1.2630		3,781,570
Euro	Goldman Sachs International	Short	10/03/14		(72,700	)		1.2630		(91,821	)
Euro	UBS AG	Short	10/03/14		(97,300	)		1.2630		(122,891	)

The September 30, 2015 and 2014 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by

217

estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Yen:

As of September 30, 2015 and 2014, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2015 and 2014, which were sensitive to exchange rate price risk.

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	)

Foreign Currency Forward Contracts as of September 30, 2014


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	10/03/14		79,232,400			0.009118	$	722,445
Yen	UBS AG	Long	10/03/14		312,531,500			0.009118		2,849,676
Yen	Goldman Sachs International	Short	10/03/14		(12,190,700	)		0.009118		(111,155	)
Yen	UBS AG	Short	10/03/14		(7,374,200	)		0.009118		(67,238	)

The September 30, 2015 and 2014 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Qualitative Disclosure

As described above in Item 2 of this Quarterly Report on Form 10-Q, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. Each Short Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period

218

returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by two or negative two. Each Matching VIX Fund and the Managed Futures Fund seek investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. The Matching VIX Funds seek to achieve their stated objectives both over a single day and over time.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and direct exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 of this Quarterly Report on Form 10-Q, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Managed Futures Fund, the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying the Managed Futures Fund, a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Managed Futures Fund and the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

219

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-1x, -2x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described above in Item 2 of this Quarterly Report on Form 10-Q, these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the Index’s movements during the day also affects whether the Fund’s portfolio needs to be re-positioned. For example, if the index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds or UltraShort Funds will generally decrease when the index rises on a given day. As a result, the Fund’s short exposure may need to be decreased. Conversely, if the index has fallen on a given day, a Short Fund’s or an UltraShort Fund’s assets should rise. As a result, the Fund’s short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in a non-interest bearing demand deposit account. The Funds 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).

220

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, 2015, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2015, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

221

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, 2014, filed on March 2, 2015 and on the Trust’s Quarterly Report on Form 10-Q for the quarter ended June 30, 2015, filed on August 10, 2015.

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

(a)

None.

(b)

The Trust initially registered Shares on its Registration Statement on Form S-1 (File No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (File No. 333-156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all registered Shares and re-allocated the remaining amount of the registered Shares among the Funds listed on its Registration Statement on Form S-3 (File No. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on Form S-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on Form S-1 (File No. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on Form S-3 (File No. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on Form S-1 (File No. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on Form S-1 (File No. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (File No. 333-183672) was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-176878). On September 27, 2012, a Registration Statement on Form S-3 (File No. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro. This registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on Form S-1 (File No. 333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on Form S-1 (File No. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statements (File Nos. 333-183672 and 333-178707). Also, on January 30, 2013, a Registration Statement on Form S-3 (File No. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statement (File No. 333-193672) and Form S-3 Registration Statement (File No. 333-183674). On April 24, 2013, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on Form S-3 (File No. 333-187820) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude 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

222

Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-185288). On July 30, 2013, a Registration Statement on Form S-3 (File No. 333-189967) was declared effective, which registered additional Shares for ProShares Bloomberg Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-187820). On May 6, 2014, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-188215) was declared effective, updating the Form S-1 Registration Statement by, among other things, incorporating by reference the audited financial statements for the fiscal year ended December 31, 2013. The post-effective amendment did not register any additional shares. On July 30, 2014, a Registration Statement on Form S-1 (File No. 333-196884) was declared effective, which partially terminated registered and unissued Shares of ProShares VIX Mid-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Euro, ProShares Ultra Yen and ProShares UltraShort Bloomberg Commodity. That registration statement was a combined prospectus and acted as a post-effective amendment to two Form S-1 registration statements (File Nos. 333-188215 and 333-185288). On July 30, 2014, a Registration Statement on Form S-3 (File No. 333-196885) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro and partially terminated registered and unissued Shares of ProShares Ultra Gold, ProShares Ultra Silver and ProShares UltraShort Silver. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the Form S-1 to the Form S-3. On September 29, 2014, a Registration Statement on Form S-1 (File No. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the Form S-1 Registration Statement (File No. 333-196884). On November 25, 2014, a Registration Statement on Form S-1 (File No. 333-199642) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Silver. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-198189) and the Form S-3 registration statement (333-196885). On November 25, 2014, a Registration Statement on Form S-3 (File No. 333-199641) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-196885). Through the November 25, 2014 filings, ProShares UltraShort Silver was transferred from the Form S-3 to the Form S-1. On March 31, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective, which registered additional Shares for ProShares VIX Mid-Term Futures ETF, ProShares Managed Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Silver, ProShares Ultra Australian Dollar, ProShares UltraShort Australian Dollar, ProShares Ultra Euro, ProShares Short Euro and ProShares Ultra Yen. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-199642). On March 31, 2015, a Registration Statement on Form S-3 (File No. 333-202725) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-199641). 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. 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. Thus, as of September 30, 2015, the Trust continued to have two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-202724); and 2) a Form S-3 Registration Statement (No. 333-199641).

223

Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may in part be used for direct investment or deposited with the FCMs as margin in connection with futures contracts or in segregated accounts at the Funds’ custodian bank as collateral for swap agreements or forward contracts, as applicable. The Managed Futures Fund and each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.


Title of Securities Registered	Amount Registered As of September 30, 2015		Shares Sold For the Three Months Ended September 30, 2015		Sale Price of Shares Sold For the Three Months Ended September 30, 2015
ProShares Managed Futures Strategy Common Units of Beneficial Interest	$	507,983,561		150,000	$	3,080,176
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	2,068,623,063		1,875,000	$	20,937,604
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	613,778,983		—	$	—
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	3,589,767,641		14,150,000	$	826,161,803
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	4,255,550,774		21,300,000	$	838,745,150
ProShares UltraShort Bloomberg Commodity Common Units of Beneficial Interest	$	172,839,931		—	$	—
ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest	$	2,114,776,247		1,050,000	$	99,211,989
ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest	$	400,500,384		100,000	$	7,060,999
ProShares UltraShort Gold Common Units of Beneficial Interest	$	503,545,611		—	$	—
ProShares UltraShort Silver Common Units of Beneficial Interest	$	2,059,037,461		50,000	$	5,960,131
ProShares Short Euro Common Units of Beneficial Interest	$	174,672,977		450,000	$	19,144,661
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest	$	172,771,084		—	$	—
ProShares UltraShort Euro Common Units of Beneficial Interest	$	1,888,450,946		—	$	—
ProShares UltraShort Yen Common Units of Beneficial Interest	$	951,962,134		300,000	$	28,570,612
ProShares Ultra Bloomberg Commodity Common Units of Beneficial Interest	$	128,403,776		50,000	$	1,787,264
ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest	$	3,838,773,188		17,850,000	$	501,920,309
ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest	$	520,169,061		700,000	$	27,259,407
ProShares Ultra Gold Common Units of Beneficial Interest	$	683,270,223		50,000	$	1,757,621
ProShares Ultra Silver Common Units of Beneficial Interest	$	2,251,471,600		500,000	$	16,861,806
ProShares Ultra Euro Common Units of Beneficial Interest	$	126,652,323		—	$	—
ProShares Ultra Yen Common Units of Beneficial Interest	$	138,726,333		—	$	—
Total:	$	27,161,727,301		58,575,000	$	2,398,459,532

224

(b)

From July 1, 2015 to September 30, 2015, the number of Shares redeemed and average price per Share for each Fund were as follows:


Fund	Total Number of Shares Redeemed		Average Price Per Share
ProShares Managed Futures Strategy
07/01/15 to 07/30/15		—	$	—
08/01/15 to 08/31/15		—	$	—
09/01/15 to 09/30/15		150,000	$	20.33
ProShares VIX Short-Term Futures ETF
07/01/15 to 07/30/15		1,450,000	$	13.52
08/01/15 to 08/31/15		5,400,000	$	16.58
09/01/15 to 09/30/15		1,150,000	$	18.64
ProShares VIX Mid-Term Futures ETF
07/01/15 to 07/30/15		—	$	—
08/01/15 to 08/31/15		—	$	—
09/01/15 to 09/30/15		—	$	—
ProShares Short VIX Short-Term Futures ETF
07/01/15 to 07/30/15		2,250,000	$	92.26
08/01/15 to 08/31/15		150,000	$	90.38
09/01/15 to 09/30/15		800,000	$	54.74
ProShares Ultra VIX Short-Term Futures ETF
07/01/15 to 07/30/15		8,550,000	$	34.81
08/01/15 to 08/31/15		9,950,000	$	40.07
09/01/15 to 09/30/15		6,650,000	$	63.17
ProShares UltraShort Bloomberg Commodity
07/01/15 to 07/30/15		—	$	—
08/01/15 to 08/31/15		—	$	—
09/01/15 to 09/30/15		—	$	—
ProShares UltraShort Bloomberg Crude Oil
07/01/15 to 07/30/15		1,250,000	$	72.59
08/01/15 to 08/31/15		800,000	$	104.07
09/01/15 to 09/30/15		550,000	$	89.28
ProShares UltraShort Bloomberg Natural Gas
07/01/15 to 07/30/15		150,000	$	77.81
08/01/15 to 08/31/15		—	$	—
09/01/15 to 09/30/15		—	$	—
ProShares UltraShort Gold
07/01/15 to 07/30/15		—	$	—
08/01/15 to 08/31/15		—	$	—
09/01/15 to 09/30/15		50,000	$	104.02
ProShares UltraShort Silver
07/01/15 to 07/30/15		100,000	$	121.08
08/01/15 to 08/31/15		—	$	—
09/01/15 to 09/30/15		50,000	$	120.73
ProShares Short Euro
07/01/15 to 07/30/15		—	$	—
08/01/15 to 08/31/15		—	$	—
09/01/15 to 09/30/15		100,000	$	42.13
ProShares UltraShort Australian Dollar
07/01/15 to 07/30/15		—	$	—
08/01/15 to 08/31/15		—	$	—
09/01/15 to 09/30/15		—	$	—
ProShares UltraShort Euro
07/01/15 to 07/30/15		1,500,000	$	25.19
08/01/15 to 08/31/15		900,000	$	23.92
09/01/15 to 09/30/15		600,000	$	23.93
ProShares UltraShort Yen
07/01/15 to 07/30/15		150,000	$	93.35
08/01/15 to 08/31/15		650,000	$	88.59
09/01/15 to 09/30/15		450,000	$	87.99
ProShares Ultra Bloomberg Commodity

225


07/01/15 to 07/30/15	—	$	—
08/01/15 to 08/31/15	—	$	—
09/01/15 to 09/30/15	—	$	—
ProShares Ultra Bloomberg Crude Oil
07/01/15 to 07/30/15	200,000	$	35.65
08/01/15 to 08/31/15	2,950,000	$	26.86
09/01/15 to 09/30/15	1,350,000	$	24.50
ProShares Ultra Bloomberg Natural Gas
07/01/15 to 07/30/15	50,000	$	41.12
08/01/15 to 08/31/15	—	$	—
09/01/15 to 09/30/15	400,000	$	35.09
ProShares Ultra Gold
07/01/15 to 07/30/15	—	$	—
08/01/15 to 08/31/15	—	$	—
09/01/15 to 09/30/15	—	$	—
ProShares Ultra Silver
07/01/15 to 07/30/15	150,000	$	31.71
08/01/15 to 08/31/15	—	$	—
09/01/15 to 09/30/15	300,000	$	31.84
ProShares Ultra Euro
07/01/15 to 07/30/15	100,000	$	16.57
08/01/15 to 08/31/15	50,000	$	17.88
09/01/15 to 09/30/15	—	$	—
ProShares Ultra Yen
07/01/15 to 07/30/15	—	$	—
08/01/15 to 08/31/15	—	$	—
09/01/15 to 09/30/15	—	$	—

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

226

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.

227

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, 2015

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: November 9, 2015

Large accelerated filer

Accelerated filer

Non-accelerated filer

¨ (Do not check if a smaller reporting company)

Smaller reporting company