10-Q

Large accelerated filer

Accelerated filer

Non-accelerated filer

¨ (Do not check if a smaller reporting company)

Smaller reporting company

10-Q 1 d123800d10q.htm 10-Q 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

for the quarterly period ended March 31, 2016.

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

for the transition period from to .

Commission file number: 001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)


Delaware		87-6284802
(State or other jurisdiction of		(I.R.S. Employer
incorporation or organization)		Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip Code)

(240) 497-6400

(Registrant’s telephone number, including area code)

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


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

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

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

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

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

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		139

Item 3. Quantitative and Qualitative Disclosures About Market Risk		167

Item 4. Controls and Procedures		185

Part II. OTHER INFORMATION

Item 1. Legal Proceedings		186

Item 1A. Risk Factors		186

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds		186

Item 3. Defaults Upon Senior Securities		190

Item 4. Mine Safety Disclosures		190

Item 5. Other Information		190

Item 6. Exhibits		191

Part I. FINANCIAL INFORMATION

Item 1. Condensed Financial Statements.

Index


Documents	Page
Statements of Financial Condition, Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows:
ProShares VIX Short-Term Futures ETF		2
ProShares VIX Mid-Term Futures ETF		7
ProShares Short VIX Short-Term Futures ETF		12
ProShares Ultra VIX Short-Term Futures ETF		17
ProShares UltraShort Bloomberg Commodity		22
ProShares UltraShort Bloomberg Crude Oil		27
ProShares UltraShort Bloomberg Natural Gas		32
ProShares UltraShort Gold		37
ProShares UltraShort Silver		42
ProShares Short Euro		47
ProShares UltraShort Australian Dollar		52
ProShares UltraShort Euro		57
ProShares UltraShort Yen		62
ProShares Ultra Bloomberg Commodity		67
ProShares Ultra Bloomberg Crude Oil		72
ProShares Ultra Bloomberg Natural Gas		77
ProShares Ultra Gold		82
ProShares Ultra Silver		87
ProShares Ultra Euro		92
ProShares Ultra Yen		97
ProShares Trust II		102
Notes to Financial Statements		106

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,818,492	$	2,124,103
Segregated cash balances with brokers for futures contracts		11,936,145		5,888,545
Short-term U.S. government and agency obligations (Note 3) (cost $122,310,913 and $96,075,481, respectively)		122,329,689		96,073,659
Receivable from capital shares sold		21,446,247		—
Receivable on open futures contracts		1,622,381		1,263,933

Total assets		159,152,954		105,350,240

Liabilities and shareholders’ equity
Liabilities
Management fee payable		75,960		77,417

Total liabilities		75,960		77,417

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		159,076,994		105,272,823

Total liabilities and shareholders’ equity	$	159,152,954	$	105,350,240

Shares outstanding		13,674,811		7,949,812

Net asset value per share	$	11.63	$	13.24

Market value per share (Note 2)	$	11.68	$	13.33

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (77% of shareholders’ equity)
U.S. Treasury Bills^^:
0.236% due 04/14/16	$	7,314,000	$	7,313,736
0.175% due 04/21/16		5,487,000		5,486,680
0.252% due 04/28/16		2,000,000		1,999,745
0.251% due 05/05/16		3,511,000		3,510,702
0.290% due 05/12/16†		27,320,000		27,317,044
0.253% due 05/19/16		6,460,000		6,458,880
0.366% due 05/26/16†		10,459,000		10,457,002
0.271% due 06/02/16†		18,025,000		18,020,189
0.171% due 06/09/16		3,621,000		3,619,786
0.231% due 06/16/16†		14,198,000		14,192,454
0.250% due 07/07/16†		23,968,000		23,953,471

Total short-term U.S. government and agency obligations (cost $122,310,913)			$	122,329,689

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires April 2016		5,157	$	82,125,225	$	(14,521,731	)
VIX Futures - CBOE, expires May 2016		4,373		77,074,125		(2,867,269	)

					$	(17,389,000	)

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

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

††	Cash collateral in the amount of $11,936,145 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	46,149		$	9,907

Expenses
Management fee		215,103			243,400
Brokerage commissions and fees		52,335			40,979

Total expenses		267,438			284,379

Net investment income (loss)		(221,289	)		(274,472	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		7,706,149			(8,978,330	)
Short-term U.S. government and agency obligations		(2,542	)		2,154

Net realized gain (loss)		7,703,607			(8,976,176	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(16,310,375	)		(11,370,731	)
Short-term U.S. government and agency obligations		20,598			(1,144	)

Change in net unrealized appreciation/depreciation		(16,289,777	)		(11,371,875	)

Net realized and unrealized gain (loss)		(8,586,170	)		(20,348,051	)

Net income (loss)	$	(8,807,459	)	$	(20,622,523	)

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	105,272,823
Addition of 8,575,000 shares		109,580,353
Redemption of 2,850,001 shares		(46,968,723	)

Net addition (redemption) of 5,724,999 shares		62,611,630

Net investment income (loss)		(221,289	)
Net realized gain (loss)		7,703,607
Change in net unrealized appreciation/depreciation		(16,289,777	)

Net income (loss)		(8,807,459	)

Shareholders’ equity, at March 31, 2016	$	159,076,994

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(8,807,459	)	$	(20,622,523	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(6,047,600	)		7,419,585
Purchases of short-term U.S. government and agency obligations		(125,016,889	)		(192,103,431	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		98,825,064			143,018,030
Net amortization and accretion on short-term U.S government and agency obligations		(46,149	)		(9,310	)
Net realized gain (loss) on investments		2,542			(2,154	)
Change in unrealized appreciation/depreciation on investments		(20,598	)		1,144
Decrease (Increase) in receivable on futures contracts		(358,448	)		4,098,028
Increase (Decrease) in management fee payable		(1,457	)		20,605

Net cash provided by (used in) operating activities		(41,470,994	)		(58,180,026	)

Cash flow from financing activities
Proceeds from addition of shares		88,134,106			84,542,261
Payment on shares redeemed		(46,968,723	)		(25,891,554	)

Net cash provided by (used in) financing activities		41,165,383			58,650,707

Net increase (decrease) in cash		(305,611	)		470,681
Cash, beginning of period		2,124,103			1,694,791

Cash, end of period	$	1,818,492		$	2,165,472

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,011,587	$	671,791
Segregated cash balances with brokers for futures contracts		510,460		980,750
Short-term U.S. government and agency obligations (Note 3) (cost $28,109,481 and $25,975,462, respectively)		28,114,658		25,976,287
Receivable on open futures contracts		32,366		42,188

Total assets		29,669,071		27,671,016

Liabilities and shareholders’ equity
Liabilities
Management fee payable		18,104		20,378

Total liabilities		18,104		20,378

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		29,650,967		27,650,638

Total liabilities and shareholders’ equity	$	29,669,071	$	27,671,016

Shares outstanding		562,403		512,404

Net asset value per share	$	52.72	$	53.96

Market value per share (Note 2)	$	52.87	$	53.99

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (95% of shareholders’ equity)
U.S. Treasury Bills^^:
0.292% due 05/12/16†	$	12,177,000	$	12,175,683
0.210% due 05/19/16		8,159,000		8,157,586
0.281% due 06/09/16†		7,784,000		7,781,389

Total short-term U.S. government and agency obligations (cost $28,109,481)			$	28,114,658

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2016		274	$	5,226,550	$	(662,200	)
VIX Futures - CBOE, expires August 2016		506		9,753,150		(1,380,760	)
VIX Futures - CBOE, expires September 2016		506		10,031,450		(978,740	)
VIX Futures - CBOE, expires October 2016		231		4,637,325		(138,360	)

					$	(3,160,060	)

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

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

††	Cash collateral in the amount of $510,460 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	12,259		$	2,714

Expenses
Management fee		57,998			58,236
Brokerage commissions and fees		5,756			8,037

Total expenses		63,754			66,273

Net investment income (loss)		(51,495	)		(63,559	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		2,594,460			126,671
Short-term U.S. government and agency obligations		49			1,238

Net realized gain (loss)		2,594,509			127,909

Change in net unrealized appreciation/depreciation on
Futures contracts		(2,815,700	)		(761,055	)
Short-term U.S. government and agency obligations		4,352			(567	)

Change in net unrealized appreciation/depreciation		(2,811,348	)		(761,622	)

Net realized and unrealized gain (loss)		(216,839	)		(633,713	)

Net income (loss)	$	(268,334	)	$	(697,272	)

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	27,650,638
Addition of 150,000 shares		8,345,497
Redemption of 100,001 shares		(6,076,834	)

Net addition (redemption) of 49,999 shares		2,268,663

Net investment income (loss)		(51,495	)
Net realized gain (loss)		2,594,509
Change in net unrealized appreciation/depreciation		(2,811,348	)

Net income (loss)		(268,334	)

Shareholders’ equity, at March 31, 2016	$	29,650,967

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(268,334	)	$	(697,272	)
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		470,290			(227,100	)
Purchases of short-term U.S. government and agency obligations		(33,074,275	)		(25,898,531	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		30,952,564			22,332,410
Net amortization and accretion on short-term U.S government and agency obligations		(12,259	)		(2,714	)
Net realized gain (loss) on investments		(49	)		(1,238	)
Change in unrealized appreciation/depreciation on investments		(4,352	)		567
Decrease (Increase) in receivable on futures contracts		9,822			1,462,009
Increase (Decrease) in management fee payable		(2,274	)		(1,158	)

Net cash provided by (used in) operating activities		(1,928,867	)		(3,033,027	)

Cash flow from financing activities
Proceeds from addition of shares		8,345,497			12,344,563
Payment on shares redeemed		(6,076,834	)		(9,641,724	)

Net cash provided by (used in) financing activities		2,268,663			2,702,839

Net increase (decrease) in cash		339,796			(330,188	)
Cash, beginning of period		671,791			1,634,082

Cash, end of period	$	1,011,587		$	1,303,894

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	8,209,952	$	5,150,976
Segregated cash balances with brokers for futures contracts		131,498,670		123,528,405
Short-term U.S. government and agency obligations (Note 3) (cost $414,334,305 and $535,381,199, respectively)		414,415,794		535,392,718
Receivable from capital shares sold		7,594,775		10,164,157

Total assets		561,719,191		674,236,256

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		50,548,181		29,497,107
Payable on open futures contracts		1,897,819		1,420,271
Management fee payable		410,825		507,517

Total liabilities		52,856,825		31,424,895

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		508,862,366		642,811,361

Total liabilities and shareholders’ equity	$	561,719,191	$	674,236,256

Shares outstanding		10,050,000		12,650,040

Net asset value per share	$	50.63	$	50.81

Market value per share (Note 2)	$	50.53	$	50.45

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (81% of shareholders’ equity)
U.S. Treasury Bills^^:
0.175% due 04/21/16	$	41,141,000	$	41,138,601
0.225% due 04/28/16		40,117,000		40,111,885
0.278% due 05/19/16		55,105,000		55,095,450
0.364% due 05/26/16†		137,956,000		137,929,650
0.275% due 06/02/16†		20,893,000		20,887,424
0.196% due 06/09/16		28,664,000		28,654,386
0.288% due 06/16/16†		45,024,000		45,006,414
0.171% due 07/07/16		15,479,000		15,469,617
0.310% due 07/21/16		30,147,000		30,122,367

Total short-term U.S. government and agency obligations (cost $414,334,305)			$	414,415,794

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires April 2016		16,500	$	262,762,500	$	52,769,004
VIX Futures - CBOE, expires May 2016		13,930		245,516,250		11,954,890

					$	64,723,894

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

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

††	Cash collateral in the amount of $131,498,670 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	317,712		$	29,929

Expenses
Management fee		1,391,819			1,039,580
Brokerage commissions and fees		480,747			482,841

Total expenses		1,872,566			1,522,421

Net investment income (loss)		(1,554,854	)		(1,492,492	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(92,182,809	)		23,811,285
Short-term U.S. government and agency obligations		(27,578	)		23,269

Net realized gain (loss)		(92,210,387	)		23,834,554

Change in net unrealized appreciation/depreciation on
Futures contracts		53,977,479			23,344,133
Short-term U.S. government and agency obligations		69,970			518

Change in net unrealized appreciation/depreciation		54,047,449			23,344,651

Net realized and unrealized gain (loss)		(38,162,938	)		47,179,205

Net income (loss)	$	(39,717,792	)	$	45,686,713

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	642,811,361
Addition of 14,900,000 shares		601,501,561
Redemption of 17,500,040 shares		(695,732,764	)

Net addition (redemption) of (2,600,040) shares		(94,231,203	)

Net investment income (loss)		(1,554,854	)
Net realized gain (loss)		(92,210,387	)
Change in net unrealized appreciation/depreciation		54,047,449

Net income (loss)		(39,717,792	)

Shareholders’ equity, at March 31, 2016	$	508,862,366

See accompanying notes to financial statements.

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(39,717,792	)	$	45,686,713
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		(7,970,265	)		29,744,690
Purchases of short-term U.S. government and agency obligations		(603,823,043	)		(489,373,955	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		725,160,071			713,482,948
Net amortization and accretion on short-term U.S government and agency obligations		(317,712	)		(29,929	)
Net realized gain (loss) on investments		27,578			(23,269	)
Change in unrealized appreciation/depreciation on investments		(69,970	)		(518	)
Increase (Decrease) in management fee payable		(96,692	)		(120,822	)
Increase (Decrease) in payable on futures contracts		477,548			(29,594,238	)

Net cash provided by (used in) operating activities		73,669,723			269,771,620

Cash flow from financing activities
Proceeds from addition of shares		604,070,943			118,885,967
Payment on shares redeemed		(674,681,690	)		(393,636,613	)

Net cash provided by (used in) financing activities		(70,610,747	)		(274,750,646	)

Net increase (decrease) in cash		3,058,976			(4,979,026	)
Cash, beginning of period		5,150,976			9,122,219

Cash, end of period	$	8,209,952		$	4,143,193

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,025,535	$	9,081,964
Segregated cash balances with brokers for futures contracts		67,425,795		62,348,600
Short-term U.S. government and agency obligations (Note 3) (cost $740,607,723 and $438,333,277, respectively)		740,769,431		438,357,849
Receivable from capital shares sold		85,295,450		32,987,472
Receivable on open futures contracts		—		17,995,478

Total assets		894,516,211		560,771,363

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		12,635,235
Payable on open futures contracts		1,498,969		—
Management fee payable		585,487		427,388

Total liabilities		2,084,456		13,062,623

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		892,431,755		547,708,740

Total liabilities and shareholders’ equity	$	894,516,211	$	560,771,363

Shares outstanding		46,352,448		19,502,448

Net asset value per share	$	19.25	$	28.08

Market value per share (Note 2)	$	19.33	$	28.35

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (83% of shareholders’ equity)
U.S. Treasury Bills^^:
0.253% due 04/14/16†	$	84,197,000	$	84,193,961
0.256% due 05/05/16†		15,984,000		15,982,641
0.261% due 05/12/16†		162,728,000		162,710,393
0.284% due 05/19/16†		14,201,000		14,198,539
0.342% due 05/26/16†		156,704,000		156,674,070
0.275% due 06/02/16†		39,005,000		38,994,590
0.275% due 06/16/16†		64,707,000		64,681,725
0.313% due 06/30/16†		173,744,000		173,652,784
0.310% due 07/21/16†		29,705,000		29,680,728

Total short-term U.S. government and agency obligations (cost $740,607,723)			$	740,769,431

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires April 2016		57,867	$	921,531,975	$	(171,773,795	)
VIX Futures - CBOE, expires May 2016		49,020		863,977,500		(39,673,977	)

					$	(211,447,772	)

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

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

††	Cash collateral in the amount of $67,425,795 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	298,805		$	32,459

Expenses
Management fee		1,211,901			1,178,762
Brokerage commissions and fees		735,911			903,310

Total expenses		1,947,812			2,082,072

Net investment income (loss)		(1,649,007	)		(2,049,613	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		11,205,618			(135,093,226	)
Short-term U.S. government and agency obligations		(26,968	)		4,072

Net realized gain (loss)		11,178,650			(135,089,154	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(223,342,238	)		(88,510,946	)
Short-term U.S. government and agency obligations		137,136			12

Change in net unrealized appreciation/depreciation		(223,205,102	)		(88,510,934	)

Net realized and unrealized gain (loss)		(212,026,452	)		(223,600,088	)

Net income (loss)	$	(213,675,459	)	$	(225,649,701	)

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	547,708,740
Addition of 47,700,000 shares		1,394,232,078
Redemption of 20,850,000 shares		(835,833,604	)

Net addition (redemption) of 26,850,000 shares		558,398,474

Net investment income (loss)		(1,649,007	)
Net realized gain (loss)		11,178,650
Change in net unrealized appreciation/depreciation		(223,205,102	)

Net income (loss)		(213,675,459	)

Shareholders’ equity, at March 31, 2016	$	892,431,755

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(213,675,459	)	$	(225,649,701	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(5,077,195	)		43,254,330
Purchases of short-term U.S. government and agency obligations		(1,184,631,327	)		(1,312,064,328	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		882,626,631			924,839,995
Net amortization and accretion on short-term U.S government and agency obligations		(296,718	)		(32,459	)
Net realized gain (loss) on investments		26,968			(4,072	)
Change in unrealized appreciation/depreciation on investments		(137,136	)		(12	)
Decrease (Increase) in receivable on futures contracts		17,995,478			5,180,769
Increase (Decrease) in management fee payable		158,099			260,562
Increase (Decrease) in payable on futures contracts		1,498,969			—

Net cash provided by (used in) operating activities		(501,511,690	)		(564,214,916	)

Cash flow from financing activities
Proceeds from addition of shares		1,341,924,100			970,798,327
Payment on shares redeemed		(848,468,839	)		(404,841,950	)

Net cash provided by (used in) financing activities		493,455,261			565,956,377

Net increase (decrease) in cash		(8,056,429	)		1,741,461
Cash, beginning of period		9,081,964			3,737,292

Cash, end of period	$	1,025,535		$	5,478,753

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	1,348,960	$	831,440
Segregated cash balances with brokers for swap agreements		236,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $6,618,738 and $7,517,328, respectively)		6,619,348		7,518,119
Unrealized appreciation on swap agreements		58,775		224,491

Total assets		8,263,083		8,574,050

Liabilities and shareholders’ equity
Liabilities
Management fee payable		6,611		6,844
Unrealized depreciation on swap agreements		994		53,167

Total liabilities		7,605		60,011

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		8,255,478		8,514,039

Total liabilities and shareholders’ equity	$	8,263,083	$	8,574,050

Shares outstanding		59,995		59,997

Net asset value per share	$	137.60	$	141.91

Market value per share (Note 2)	$	134.26	$	140.41

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (80% of shareholders’ equity)
U.S. Treasury Bills^^:
0.252% due 04/28/16†	$	4,000,000	$	3,999,490
0.310% due 07/21/16†		2,622,000		2,619,858

Total short-term U.S. government and agency obligations (cost $6,618,738)			$	6,619,348

Swap Agreements^


	Rate Paid (Received)*			Termination Date		Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Swap agreement with Citibank N.A. based on Bloomberg Commodity Index		0.18	%		04/06/16	$	(4,811,471	)	$	(994	)
Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index		0.25			04/06/16		(4,180,637	)		24,172
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index		0.25			04/06/16		(5,228,697	)		30,339
Swap agreement with UBS AG based on Bloomberg Commodity Index		0.60			04/06/16		(2,282,668	)		4,264

									$	57,781

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

^	The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

*	Reflects the floating financing rate, as of March 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	3,900		$	528

Expenses
Management fee		20,825			12,846

Total expenses		20,825			12,846

Net investment income (loss)		(16,925	)		(12,318	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(127,591	)		856,549

Net realized gain (loss)		(127,591	)		856,549

Change in net unrealized appreciation/depreciation on
Swap agreements		(113,543	)		(290,634	)
Short-term U.S. government and agency obligations		(181	)		60

Change in net unrealized appreciation/depreciation		(113,724	)		(290,574	)

Net realized and unrealized gain (loss)		(241,315	)		565,975

Net income (loss)	$	(258,240	)	$	553,657

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	8,514,039
Redemption of 2 shares		(321	)

Net addition (redemption) of (2) shares		(321	)

Net investment income (loss)		(16,925	)
Net realized gain (loss)		(127,591	)
Change in net unrealized appreciation/depreciation		(113,724	)

Net income (loss)		(258,240	)

Shareholders’ equity, at March 31, 2016	$	8,255,478

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(258,240	)	$	553,657
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for swap agreements		(236,000	)		—
Purchases of short-term U.S. government and agency obligations		(8,744,526	)		(1,982,691	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		9,647,000			1,226,000
Net amortization and accretion on short-term U.S government and agency obligations		(3,884	)		(528	)
Change in unrealized appreciation/depreciation on investments		113,724			290,574
Increase (Decrease) in management fee payable		(233	)		685

Net cash provided by (used in) operating activities		517,841			87,697

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

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

Net increase (decrease) in cash		517,520			87,697
Cash, beginning of period		831,440			467,766

Cash, end of period	$	1,348,960		$	555,463

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	1,962,205	$	598,645
Segregated cash balances with brokers for futures contracts		13,621,300		10,154,430
Short-term U.S. government and agency obligations (Note 3) (cost $187,746,838 and $79,694,797, respectively)		187,777,500		79,692,642
Unrealized appreciation on swap agreements		7,104,834		6,412,656
Receivable from capital shares sold		12,979,719		—

Total assets		223,445,558		96,858,373

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		70,760		850,883
Brokerage commissions and fees payable		8,521		8,453
Management fee payable		138,273		101,143

Total liabilities		217,554		960,479

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		223,228,004		95,897,894

Total liabilities and shareholders’ equity	$	223,445,558	$	96,858,373

Shares outstanding		1,719,942		719,944

Net asset value per share	$	129.79	$	133.20

Market value per share (Note 2)	$	130.94	$	133.64

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (84% of shareholders’ equity)
U.S. Treasury Bills^^:
0.245% due 04/07/16	$	12,840,000	$	12,839,775
0.226% due 04/14/16†		18,318,000		18,317,339
0.245% due 04/21/16†		19,223,000		19,221,879
0.225% due 04/28/16†		3,814,000		3,813,514
0.259% due 05/05/16		17,807,000		17,805,487
0.292% due 05/12/16†		10,786,000		10,784,833
0.282% due 05/19/16†		30,127,000		30,121,779
0.353% due 05/26/16†		8,591,000		8,589,359
0.276% due 06/02/16†		4,371,000		4,369,833
0.171% due 06/09/16†		4,099,000		4,097,625
0.299% due 06/16/16†		24,224,000		24,214,538
0.290% due 06/30/16†		12,446,000		12,439,466
0.266% due 07/14/16†		21,174,000		21,162,073

Total short-term U.S. government and agency obligations (cost $187,746,838)			$	187,777,500

Futures Contracts Sold††


					Unrealized
	Number of		Notional Amount		Appreciation
	Contracts		at Value		(Depreciation)
WTI Crude Oil - NYMEX, expires May 2016		3,538	$	135,646,920	$	(14,997,628	)

Swap Agreements^


	Rate Paid (Received)*			Termination Date		Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Swap agreement with Citibank N.A. based on Bloomberg WTI Crude Oil Subindex		0.18	%		04/06/16	$	(98,080,126	)	$	2,056,877
Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Subindex		0.25			04/06/16		(17,672,671	)		679,190
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25			04/06/16		(94,336,118	)		2,394,738
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25			04/06/16		(7,342,178	)		282,172
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25			04/06/16		(93,281,947	)		1,691,857

									$	7,104,834

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

††	Cash collateral in the amount of $13,621,300 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

^	The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

*	Reflects the floating financing rate, as of March 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	89,112		$	20,512

Expenses
Management fee		368,250			603,835
Brokerage commissions and fees		57,864			44,285

Total expenses		426,114			648,120

Net investment income (loss)		(337,002	)		(627,608	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		23,757,635			18,106,720
Swap agreements		(1,436,037	)		26,543,152
Short-term U.S. government and agency obligations		(14,646	)		7,884

Net realized gain (loss)		22,306,952			44,657,756

Change in net unrealized appreciation/depreciation on
Futures contracts		(17,462,141	)		1,599,658
Swap agreements		692,178			(160,604	)
Short-term U.S. government and agency obligations		32,817			(6,267	)

Change in net unrealized appreciation/depreciation		(16,737,146	)		1,432,787

Net realized and unrealized gain (loss)		5,569,806			46,090,543

Net income (loss)	$	5,232,804		$	45,462,935

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	95,897,894
Addition of 2,700,000 shares		462,946,925
Redemption of 1,700,002 shares		(340,849,619	)

Net addition (redemption) of 999,998 shares		122,097,306

Net investment income (loss)		(337,002	)
Net realized gain (loss)		22,306,952
Change in net unrealized appreciation/depreciation		(16,737,146	)

Net income (loss)		5,232,804

Shareholders’ equity, at March 31, 2016	$	223,228,004

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	5,232,804		$	45,462,935
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(3,466,870	)		(8,301,630	)
Purchases of short-term U.S. government and agency obligations		(407,223,784	)		(469,603,643	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		299,246,209			281,486,383
Net amortization and accretion on short-term U.S government and agency obligations		(89,112	)		(20,512	)
Net realized gain (loss) on investments		14,646			(7,884	)
Change in unrealized appreciation/depreciation on investments		(724,995	)		166,871
Decrease (Increase) in receivable on futures contracts		—			(3,528,588	)
Increase (Decrease) in management fee payable		37,130			109,424
Increase (Decrease) in brokerage commissions and fees payable		68			—
Increase (Decrease) in payable on futures contracts		(780,123	)		—

Net cash provided by (used in) operating activities		(107,754,027	)		(154,236,644	)

Cash flow from financing activities
Proceeds from addition of shares		449,967,206			372,664,934
Payment on shares redeemed		(340,849,619	)		(212,552,651	)

Net cash provided by (used in) financing activities		109,117,587			160,112,283

Net increase (decrease) in cash		1,363,560			5,875,639
Cash, beginning of period		598,645			994,268

Cash, end of period	$	1,962,205		$	6,869,907

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	117,237	$	1,099,140
Segregated cash balances with brokers for futures contracts		1,009,800		2,046,660
Short-term U.S. government and agency obligations (Note 3) (cost $3,809,251 and $8,114,653, respectively)		3,810,409		8,115,004
Receivable on open futures contracts		70,660		—

Total assets		5,008,106		11,260,804

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		785,170
Brokerage commissions and fees payable		2,084		1,908
Management fee payable		12,491		10,870

Total liabilities		14,575		797,948

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		4,993,531		10,462,856

Total liabilities and shareholders’ equity	$	5,008,106	$	11,260,804

Shares outstanding		24,944		74,952

Net asset value per share	$	200.19	$	139.59

Market value per share (Note 2)	$	197.78	$	139.66

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (76% of shareholders’ equity)
U.S. Treasury Bills^^:
0.386% due 05/26/16	$	2,433,000	$	2,432,536
0.310% due 07/21/16		1,379,000		1,377,873

Total short-term U.S. government and agency obligations (cost $3,809,251)			$	3,810,409

Futures Contracts Sold††


					Unrealized
	Number of		Notional Amount		Appreciation
	Contracts		at Value		(Depreciation)
Natural Gas - NYMEX, May 2016		510	$	9,990,900	$	(367,096	)

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

††	Cash collateral in the amount of $1,009,800 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	9,568		$	985

Expenses
Management fee		36,919			28,373
Brokerage commissions and fees		28,947			14,199

Total expenses		65,866			42,572

Net investment income (loss)		(56,298	)		(41,587	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		4,114,349			5,179,268
Short-term U.S. government and agency obligations		1,110			448

Net realized gain (loss)		4,115,459			5,179,716

Change in net unrealized appreciation/depreciation on
Futures contracts		2,104,068			(3,081,725	)
Short-term U.S. government and agency obligations		807			(175	)

Change in net unrealized appreciation/depreciation		2,104,875			(3,081,900	)

Net realized and unrealized gain (loss)		6,220,334			2,097,816

Net income (loss)	$	6,164,036		$	2,056,229

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	10,462,856
Addition of 50,000 shares		7,446,378
Redemption of 100,008 shares		(19,079,739	)

Net addition (redemption) of (50,008) shares		(11,633,361	)

Net investment income (loss)		(56,298	)
Net realized gain (loss)		4,115,459
Change in net unrealized appreciation/depreciation		2,104,875

Net income (loss)		6,164,036

Shareholders’ equity, at March 31, 2016	$	4,993,531

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	6,164,036		$	2,056,229
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		1,036,860			2,697,794
Purchases of short-term U.S. government and agency obligations		(18,575,327	)		(15,361,445	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		22,891,407			15,055,915
Net amortization and accretion on short-term U.S government and agency obligations		(9,568	)		(985	)
Net realized gain (loss) on investments		(1,110	)		(448	)
Change in unrealized appreciation/depreciation on investments		(807	)		175
Decrease (Increase) in receivable on futures contracts		(70,660	)		923,531
Increase (Decrease) in management fee payable		1,621			(1,889	)
Increase (Decrease) in brokerage commissions and fees payable		176			—
Increase (Decrease) in payable on futures contracts		(785,170	)		5,985

Net cash provided by (used in) operating activities		10,651,458			5,374,862

Cash flow from financing activities
Proceeds from addition of shares		7,446,378			10,858,377
Payment on shares redeemed		(19,079,739	)		(16,671,600	)

Net cash provided by (used in) financing activities		(11,633,361	)		(5,813,223	)

Net increase (decrease) in cash		(981,903	)		(438,361	)
Cash, beginning of period		1,099,140			696,743

Cash, end of period	$	117,237		$	258,382

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	136,290	$	151,638
Segregated cash balances with brokers for futures contracts		9,900		91,250
Segregated cash balances with brokers for swap agreements		309,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $67,371,507 and $72,981,653, respectively)		67,384,423		72,979,905
Unrealized appreciation on forward agreements		1,724,551		1,808,942

Total assets		69,564,164		75,031,735

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		1,400		80
Management fee payable		46,957		59,891

Total liabilities		48,357		59,971

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		69,515,807		74,971,764

Total liabilities and shareholders’ equity	$	69,564,164	$	75,031,735

Shares outstanding		846,978		646,978

Net asset value per share	$	82.08	$	115.88

Market value per share (Note 2)	$	83.03	$	115.83

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (97% of shareholders’ equity)
U.S. Treasury Bills^^:
0.252% due 04/28/16	$	279,000	$	278,964
0.251% due 05/05/16		2,754,000		2,753,766
0.210% due 05/19/16		7,435,000		7,433,711
0.353% due 05/26/16†		4,870,000		4,869,070
0.289% due 06/09/16†		15,325,000		15,319,859
0.105% due 06/16/16		3,437,000		3,435,658
0.331% due 06/30/16†		4,167,000		4,164,812
0.266% due 07/14/16†		29,145,000		29,128,583

Total short-term U.S. government and agency obligations (cost $67,371,507)			$	67,384,423

Futures Contracts Sold††

Unrealized

Number of

Notional Amount

Appreciation

Contracts

at Value

(Depreciation)

Gold Futures - COMEX, expires June 2016

247,120

6,880

Forward Agreements^


	Rate Paid (Received)*			Settlement Date		Commitment to (Deliver)/Receive			Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Forward agreements with Citibank N.A. based on 0.995 Fine Troy Ounce Gold		(0.30	)%		04/06/16	$	(16,500	)	$	(20,412,315	)	$	156,095
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold		(0.55	)		04/06/16		(53,100	)		(65,694,258	)		838,378
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		(0.15	)		04/06/16		(22,298	)		(27,585,079	)		106,635
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		(0.08	)		04/06/16		(4,000	)		(4,948,480	)		122,750
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		(0.11	)		04/06/16		(16,250	)		(20,103,038	)		500,693

												$	1,724,551

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

††	Cash collateral in the amount of $9,900 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

^	The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

*	Reflects the floating financing rate, as of March 31, 2016, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	29,189		$	8,196

Expenses
Management fee		146,112			193,876
Brokerage commissions and fees		17			16

Total expenses		146,129			193,892

Net investment income (loss)		(116,940	)		(185,696	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(36,440	)		2,000
Forward agreements		(19,375,567	)		1,916,530
Short-term U.S. government and agency obligations		(1,149	)		(600	)

Net realized gain (loss)		(19,413,156	)		1,917,930

Change in net unrealized appreciation/depreciation on
Futures contracts		1,660			(1,520	)
Forward agreements		(84,391	)		700,697
Short-term U.S. government and agency obligations		14,664			(1,236	)

Change in net unrealized appreciation/depreciation		(68,067	)		697,941

Net realized and unrealized gain (loss)		(19,481,223	)		2,615,871

Net income (loss)	$	(19,598,163	)	$	2,430,175

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	74,971,764
Addition of 600,000 shares		49,855,817
Redemption of 400,000 shares		(35,713,611	)

Net addition (redemption) of 200,000 shares		14,142,206

Net investment income (loss)		(116,940	)
Net realized gain (loss)		(19,413,156	)
Change in net unrealized appreciation/depreciation		(68,067	)

Net income (loss)		(19,598,163	)

Shareholders’ equity, at March 31, 2016	$	69,515,807

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(19,598,163	)	$	2,430,175
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		81,350			—
Decrease (Increase) in segregated cash balances with brokers for swap agreements		(309,000	)		—
Purchases of short-term U.S. government and agency obligations		(108,280,051	)		(61,429,003	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		113,918,239			66,037,251
Net amortization and accretion on short-term U.S government and agency obligations		(29,191	)		(8,196	)
Net realized gain (loss) on investments		1,149			600
Change in unrealized appreciation/depreciation on investments		69,727			(699,461	)
Decrease (Increase) in receivable on futures contracts		—			2,868
Increase (Decrease) in management fee payable		(13,014	)		(1,228	)
Increase (Decrease) in payable on futures contracts		1,400			—

Net cash provided by (used in) operating activities		(14,157,554	)		6,333,006

Cash flow from financing activities
Proceeds from addition of shares		49,855,817			8,523,330
Payment on shares redeemed		(35,713,611	)		(14,854,653	)

Net cash provided by (used in) financing activities		14,142,206			(6,331,323	)

Net increase (decrease) in cash		(15,348	)		1,683
Cash, beginning of period		151,638			162,434

Cash, end of period	$	136,290		$	164,117

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	1,218,993	$	514,784
Segregated cash balances with brokers for futures contracts		11,440		11,440
Short-term U.S. government and agency obligations (Note 3) (cost $46,247,796 and $50,730,044, respectively)		46,253,752		50,730,230
Unrealized appreciation on forward agreements		931,308		4,778,279
Receivable from capital shares sold		2,482,135		—
Receivable on open futures contracts		—		390

Total assets		50,897,628		56,035,123

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		2,740		—
Management fee payable		32,715		47,185
Unrealized depreciation on forward agreements		383,067		—

Total liabilities		418,522		47,185

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		50,479,106		55,987,938

Total liabilities and shareholders’ equity	$	50,897,628	$	56,035,123

Shares outstanding		1,016,976		866,978

Net asset value per share	$	49.64	$	64.58

Market value per share (Note 2)	$	49.42	$	64.55

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (92% of shareholders’ equity)
U.S. Treasury Bills^^:
0.175% due 04/21/16†	$	11,867,000	$	11,866,308
0.252% due 04/28/16		7,000,000		6,999,108
0.286% due 05/19/16†		1,500,000		1,499,740
0.386% due 05/26/16†		2,281,000		2,280,564
0.229% due 06/09/16†		8,498,000		8,495,150
0.305% due 06/16/16†		7,592,000		7,589,035
0.310% due 07/21/16†		7,530,000		7,523,847

Total short-term U.S. government and agency obligations (cost $46,247,796)			$	46,253,752

Futures Contracts Sold††

Unrealized

Number of

Notional Amount

Appreciation

Contracts

at Value

(Depreciation)

Silver Futures - COMEX, expires May 2016

154,640

1,910

Forward Agreements^


	Rate Paid (Received)*			Settlement Date		Commitment to (Deliver)/Receive			Notional Amount at Value**			Unrealized Appreciation (Depreciation)
Forward agreements with Citibank N.A. based on 0.999 Fine Troy Ounce Silver		(0.55	)%		04/06/16	$	(1,775,000	)	$	(27,303,228	)	$	147,959
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver		(0.67	)		04/06/16		(3,050,000	)		(46,916,625	)		626,482
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		(0.30	)		04/06/16		(1,172,500	)		(18,035,161	)		(383,067	)
Forward agreements with Societe Generale based on 0.999 Fine Troy Ounce Silver		(0.22	)		04/06/16		(156,000	)		(2,399,561	)		43,989
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		(0.28	)		04/06/16		(399,000	)		(6,137,378	)		112,878

												$	548,241

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

††	Cash collateral in the amount of $11,440 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

^	The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

*	Reflects the floating financing rate, as of March 31, 2016, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	19,684		$	6,143

Expenses
Management fee		95,411			124,355
Brokerage commissions and fees		8			8

Total expenses		95,419			124,363

Net investment income (loss)		(75,735	)		(118,220	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(12,850	)		(11,200	)
Forward agreements		(5,335,654	)		(1,350,505	)
Short-term U.S. government and agency obligations		(2,961	)		(158	)

Net realized gain (loss)		(5,351,465	)		(1,361,863	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(4,060	)		1,535
Forward agreements		(4,230,038	)		(4,331,136	)
Short-term U.S. government and agency obligations		5,770			267

Change in net unrealized appreciation/depreciation		(4,228,328	)		(4,329,334	)

Net realized and unrealized gain (loss)		(9,579,793	)		(5,691,197	)

Net income (loss)	$	(9,655,528	)	$	(5,809,417	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	55,987,938
Addition of 750,000 shares		39,832,736
Redemption of 600,002 shares		(35,686,040	)

Net addition (redemption) of 149,998 shares		4,146,696

Net investment income (loss)		(75,735	)
Net realized gain (loss)		(5,351,465	)
Change in net unrealized appreciation/depreciation		(4,228,328	)

Net income (loss)		(9,655,528	)

Shareholders’ equity, at March 31, 2016	$	50,479,106

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(9,655,528	)	$	(5,809,417	)
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		—			(2,640	)
Purchases of short-term U.S. government and agency obligations		(55,036,538	)		(39,859,194	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		59,535,509			42,090,468
Net amortization and accretion on short-term U.S government and agency obligations		(19,684	)		(6,143	)
Net realized gain (loss) on investments		2,961			158
Change in unrealized appreciation/depreciation on investments		4,224,268			4,330,869
Decrease (Increase) in receivable on futures contracts		390			6,010
Increase (Decrease) in management fee payable		(14,470	)		696
Increase (Decrease) in payable on futures contracts		2,740			—

Net cash provided by (used in) operating activities		(960,352	)		750,807

Cash flow from financing activities
Proceeds from addition of shares		37,350,601			14,996,733
Payment on shares redeemed		(35,686,040	)		(15,809,627	)

Net cash provided by (used in) financing activities		1,664,561			(812,894	)

Net increase (decrease) in cash		704,209			(62,087	)
Cash, beginning of period		514,784			207,506

Cash, end of period	$	1,218,993		$	145,419

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	276,889	$	1,783,802
Segregated cash balances with brokers for futures contracts		398,310		503,745
Short-term U.S. government and agency obligations (Note 3) (cost $13,990,976 and $15,153,202, respectively)		13,992,459		15,153,211
Receivable on open futures contracts		—		84,235

Total assets		14,667,658		17,524,993

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		59,557		—
Management fee payable		13,573		14,095

Total liabilities		73,130		14,095

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		14,594,528		17,510,898

Total liabilities and shareholders’ equity	$	14,667,658	$	17,524,993

Shares outstanding		350,000		400,005

Net asset value per share	$	41.70	$	43.78

Market value per share (Note 2)	$	41.66	$	43.74

See accompanying notes to financial statements.

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (96% of shareholders’ equity)
U.S. Treasury Bills^^:
0.175% due 04/21/16	$	4,999,000	$	4,998,709
0.252% due 04/28/16		3,000,000		2,999,617
0.310% due 05/19/16		1,000,000		999,827
0.275% due 06/02/16		2,108,000		2,107,437
0.275% due 06/16/16		538,000		537,790
0.310% due 07/21/16		2,351,000		2,349,079

Total short-term U.S. government and agency obligations (cost $13,990,976)			$	13,992,459

Futures Contracts Sold††


					Unrealized
	Number of		Notional Amount		Appreciation
	Contracts		at Value		(Depreciation)
Euro Fx Currency Futures - CME, expires June 2016		102	$	14,550,300	$	(465,069	)

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

††	Cash collateral in the amount of $398,310 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	6,138		$	1,380

Expenses
Management fee		40,533			38,859
Brokerage commissions and fees		750			868

Total expenses		41,283			39,727

Net investment income (loss)		(35,145	)		(38,347	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(54,194	)		2,057,094
Short-term U.S. government and agency obligations		33			—

Net realized gain (loss)		(54,161	)		2,057,094

Change in net unrealized appreciation/depreciation on
Futures contracts		(708,507	)		(275,562	)
Short-term U.S. government and agency obligations		1,474			183

Change in net unrealized appreciation/depreciation		(707,033	)		(275,379	)

Net realized and unrealized gain (loss)		(761,194	)		1,781,715

Net income (loss)	$	(796,339	)	$	1,743,368

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	17,510,898
Redemption of 50,005 shares		(2,120,031	)

Net addition (redemption) of (50,005) shares		(2,120,031	)

Net investment income (loss)		(35,145	)
Net realized gain (loss)		(54,161	)
Change in net unrealized appreciation/depreciation		(707,033	)

Net income (loss)		(796,339	)

Shareholders’ equity, at March 31, 2016	$	14,594,528

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(796,339	)	$	1,743,368
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		105,435			(268,620	)
Purchases of short-term U.S. government and agency obligations		(17,038,538	)		(11,217,039	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		18,206,935			5,293,000
Net amortization and accretion on short-term U.S government and agency obligations		(6,138	)		(1,380	)
Net realized gain (loss) on investments		(33	)		—
Change in unrealized appreciation/depreciation on investments		(1,474	)		(183	)
Decrease (Increase) in receivable on futures contracts		84,235			(78,075	)
Increase (Decrease) in management fee payable		(522	)		4,123
Increase (Decrease) in payable on futures contracts		59,557			—

Net cash provided by (used in) operating activities		613,118			(4,524,806	)

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

Net cash provided by (used in) financing activities		(2,120,031	)		4,418,831

Net increase (decrease) in cash		(1,506,913	)		(105,975	)
Cash, beginning of period		1,783,802			1,640,225

Cash, end of period	$	276,889		$	1,534,250

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	2,109,733	$	1,958,996
Segregated cash balances with brokers for futures contracts		281,830		57,065
Short-term U.S. government and agency obligations (Note 3) (cost $15,668,552 and $18,409,449, respectively)		15,670,829		18,408,894
Receivable on open futures contracts		—		52,491

Total assets		18,062,392		20,477,446

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		18,920		—
Management fee payable		15,273		16,767

Total liabilities		34,193		16,767

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		18,028,199		20,460,679

Total liabilities and shareholders’ equity	$	18,062,392	$	20,477,446

Shares outstanding		350,000		350,005

Net asset value per share	$	51.51	$	58.46

Market value per share (Note 2)	$	51.65	$	58.15

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (87% of shareholders’ equity)
U.S. Treasury Bills^^:
0.310% due 05/19/16†	$	1,000,000	$	999,827
0.310% due 07/21/16†		14,683,000		14,671,002

Total short-term U.S. government and agency obligations (cost $15,668,552)			$	15,670,829

Futures Contracts Sold††


					Unrealized
	Number of		Notional Amount		Appreciation
	Contracts		at Value		(Depreciation)
Australian Dollar Fx Currency Futures - CME, expires June 2016		473	$	36,184,500	$	(1,121,800	)

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

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

††	Cash collateral in the amount of $281,830 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	7,785		$	1,107

Expenses
Management fee		48,844			52,824
Brokerage commissions and fees		3,970			3,997

Total expenses		52,814			56,821

Net investment income (loss)		(45,029	)		(55,714	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,688,439	)		2,979,670
Short-term U.S. government and agency obligations		—			219

Net realized gain (loss)		(1,688,439	)		2,979,889

Change in net unrealized appreciation/depreciation on
Futures contracts		(701,530	)		(323,631	)
Short-term U.S. government and agency obligations		2,832			109

Change in net unrealized appreciation/depreciation		(698,698	)		(323,522	)

Net realized and unrealized gain (loss)		(2,387,137	)		2,656,367

Net income (loss)	$	(2,432,166	)	$	2,600,653

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	20,460,679
Redemption of 5 shares		(314	)

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

Net investment income (loss)		(45,029	)
Net realized gain (loss)		(1,688,439	)
Change in net unrealized appreciation/depreciation		(698,698	)

Net income (loss)		(2,432,166	)

Shareholders’ equity, at March 31, 2016	$	18,028,199

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(2,432,166	)	$	2,600,653
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		(224,765	)		638,092
Purchases of short-term U.S. government and agency obligations		(18,645,318	)		(19,509,823	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		21,394,000			22,846,444
Net amortization and accretion on short-term U.S government and agency obligations		(7,785	)		(1,107	)
Net realized gain (loss) on investments		—			(219	)
Change in unrealized appreciation/depreciation on investments		(2,832	)		(109	)
Decrease (Increase) in receivable on futures contracts		52,491			(119,754	)
Increase (Decrease) in management fee payable		(1,494	)		(2,802	)
Increase (Decrease) in payable on futures contracts		18,920			—

Net cash provided by (used in) operating activities		151,051			6,451,375

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

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

Net increase (decrease) in cash		150,737			834,867
Cash, beginning of period		1,958,996			1,788,757

Cash, end of period	$	2,109,733		$	2,623,624

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	228,525	$	10,372,583
Short-term U.S. government and agency obligations (Note 3) (cost $439,883,970 and $546,177,230, respectively)		439,966,790		546,166,776
Unrealized appreciation on foreign currency forward contracts		3,357,544		—

Total assets		443,552,859		556,539,359

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		5,108,230
Management fee payable		334,062		414,275
Unrealized depreciation on foreign currency forward contracts		44,270,278		28,710,336

Total liabilities		44,604,340		34,232,841

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		398,948,519		522,306,518

Total liabilities and shareholders’ equity	$	443,552,859	$	556,539,359

Shares outstanding		17,200,000		20,450,014

Net asset value per share	$	23.19	$	25.54

Market value per share (Note 2)	$	23.19	$	25.53

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (110% of shareholders’ equity)
U.S. Treasury Bills^^:
0.292% due 05/12/16	$	77,264,000	$	77,255,640
0.353% due 05/26/16†		88,841,000		88,824,031
0.275% due 06/02/16		8,611,000		8,608,702
0.281% due 06/09/16†		68,769,000		68,745,935
0.105% due 06/16/16		34,300,000		34,286,602
0.250% due 07/07/16		62,340,000		62,302,210
0.266% due 07/14/16†		100,000,000		99,943,670

Total short-term U.S. government and agency obligations (cost $439,883,970)			$	439,966,790

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		04/08/16		89,144,000		$	101,449,638		$	2,006,374
Euro with UBS AG		04/08/16		77,106,900			87,750,910			1,351,170

									$	3,357,544

Contracts to Sell
Euro with Goldman Sachs International		04/08/16		(431,465,225	)	$	(491,025,655	)	$	(21,728,963	)
Euro with UBS AG		04/08/16		(435,284,100	)		(495,371,696	)		(22,541,315	)

									$	(44,270,278	)

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

^	The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	261,439		$	67,590

Expenses
Management fee		1,066,392			1,257,145

Total expenses		1,066,392			1,257,145

Net investment income (loss)		(804,953	)		(1,189,555	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(28,914,132	)		107,515,818
Short-term U.S. government and agency obligations		(7,912	)		12,521

Net realized gain (loss)		(28,922,044	)		107,528,339

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(12,202,398	)		6,627,201
Short-term U.S. government and agency obligations		93,274			4,268

Change in net unrealized appreciation/depreciation		(12,109,124	)		6,631,469

Net realized and unrealized gain (loss)		(41,031,168	)		114,159,808

Net income (loss)	$	(41,836,121	)	$	112,970,253

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	522,306,518
Addition of 250,000 shares		5,936,565
Redemption of 3,500,014 shares		(87,458,443	)

Net addition (redemption) of (3,250,014) shares		(81,521,878	)

Net investment income (loss)		(804,953	)
Net realized gain (loss)		(28,922,044	)
Change in net unrealized appreciation/depreciation		(12,109,124	)

Net income (loss)		(41,836,121	)

Shareholders’ equity, at March 31, 2016	$	398,948,519

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(41,836,121	)	$	112,970,253
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		(457,470,451	)		(350,542,565	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		564,017,239			288,286,630
Net amortization and accretion on short-term U.S government and agency obligations		(261,440	)		(67,590	)
Net realized gain (loss) on investments		7,912			(12,521	)
Change in unrealized appreciation/depreciation on investments		12,109,124			(6,631,469	)
Increase (Decrease) in management fee payable		(80,213	)		51,813

Net cash provided by (used in) operating activities		76,486,050			44,054,551

Cash flow from financing activities
Proceeds from addition of shares		5,936,565			114,034,597
Payment on shares redeemed		(92,566,673	)		(158,560,439	)

Net cash provided by (used in) financing activities		(86,630,108	)		(44,525,842	)

Net increase (decrease) in cash		(10,144,058	)		(471,291	)
Cash, beginning of period		10,372,583			746,454

Cash, end of period	$	228,525		$	275,163

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	1,670,090	$	276,968
Short-term U.S. government and agency obligations (Note 3) (cost $179,366,795 and $260,014,650, respectively)		179,382,334		259,997,001
Unrealized appreciation on foreign currency forward contracts		50,445		933,727

Total assets		181,102,869		261,207,696

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		8,794,729
Management fee payable		141,485		210,888
Unrealized depreciation on foreign currency forward contracts		5,033,729		14,829,179

Total liabilities		5,175,214		23,834,796

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		175,927,655		237,372,900

Total liabilities and shareholders’ equity	$	181,102,869	$	261,207,696

Shares outstanding		2,299,290		2,699,294

Net asset value per share	$	76.51	$	87.94

Market value per share (Note 2)	$	76.50	$	87.89

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (102% of shareholders’ equity)
U.S. Treasury Bills^^:
0.235% due 04/07/16	$	92,592,000	$	92,590,380
0.207% due 04/21/16†		14,814,000		14,813,136
0.252% due 04/28/16		1,003,000		1,002,872
0.251% due 05/05/16†		30,025,000		30,022,448
0.292% due 05/12/16†		5,133,000		5,132,444
0.310% due 05/19/16†		1,000,000		999,827
0.366% due 05/26/16†		10,194,000		10,192,053
0.281% due 06/09/16†		5,488,000		5,486,159
0.305% due 06/16/16†		2,903,000		2,901,866
0.250% due 07/07/16†		16,251,000		16,241,149

Total short-term U.S. government and agency obligations (cost $179,366,795)			$	179,382,334

Foreign Currency Forward Contracts^


									Unrealized
						Notional Amount			Appreciation
	Settlement Date		Local Currency			at Value (USD)			(Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		04/08/16		2,385,377,000		$	21,199,635		$	50,445
Yen with UBS AG		04/08/16		3,131,185,600			27,827,883			(70,338	)

									$	(19,893	)

Contracts to Sell
Yen with Goldman Sachs International		04/08/16		(21,973,527,200	)	$	(195,286,011	)	$	(2,472,115	)
Yen with UBS AG		04/08/16		(23,150,283,500	)		(205,744,233	)		(2,491,276	)

									$	(4,963,391	)

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

^	The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	68,348		$	45,048

Expenses
Management fee		469,145			1,161,592

Total expenses		469,145			1,161,592

Net investment income (loss)		(400,797	)		(1,116,544	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(37,616,676	)		(5,107,734	)
Short-term U.S. government and agency obligations		(6,135	)		2,443

Net realized gain (loss)		(37,622,811	)		(5,105,291	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		8,912,168			2,246,532
Short-term U.S. government and agency obligations		33,188			(8,606	)

Change in net unrealized appreciation/depreciation		8,945,356			2,237,926

Net realized and unrealized gain (loss)		(28,677,455	)		(2,867,365	)

Net income (loss)	$	(29,078,252	)	$	(3,983,909	)

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	237,372,900
Addition of 50,000 shares		3,910,497
Redemption of 450,004 shares		(36,277,490	)

Net addition (redemption) of (400,004) shares		(32,366,993	)

Net investment income (loss)		(400,797	)
Net realized gain (loss)		(37,622,811	)
Change in net unrealized appreciation/depreciation		8,945,356

Net income (loss)		(29,078,252	)

Shareholders’ equity, at March 31, 2016	$	175,927,655

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(29,078,252	)	$	(3,983,909	)
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		(182,386,068	)		(418,583,374	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		263,096,137			507,489,222
Net amortization and accretion on short-term U.S government and agency obligations		(68,349	)		(45,048	)
Net realized gain (loss) on investments		6,135			(2,443	)
Change in unrealized appreciation/depreciation on investments		(8,945,356	)		(2,237,926	)
Increase (Decrease) in management fee payable		(69,403	)		(45,873	)

Net cash provided by (used in) operating activities		42,554,844			82,590,649

Cash flow from financing activities
Proceeds from addition of shares		3,910,497			58,116,062
Payment on shares redeemed		(45,072,219	)		(140,793,326	)

Net cash provided by (used in) financing activities		(41,161,722	)		(82,677,264	)

Net increase (decrease) in cash		1,393,122			(86,615	)
Cash, beginning of period		276,968			532,706

Cash, end of period	$	1,670,090		$	446,091

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	1,047,660	$	211,629
Segregated cash balances with brokers for swap agreements		117,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $4,582,632 and $7,084,754, respectively)		4,583,420		7,084,065
Unrealized appreciation on swap agreements		—		32,372

Total assets		5,748,080		7,328,066

Liabilities and shareholders’ equity
Liabilities
Management fee payable		4,607		5,794
Unrealized depreciation on swap agreements		78,039		216,288

Total liabilities		82,646		222,082

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		5,665,434		7,105,984

Total liabilities and shareholders’ equity	$	5,748,080	$	7,328,066

Shares outstanding		199,961		249,965

Net asset value per share	$	28.33	$	28.43

Market value per share (Note 2)	$	29.78	$	28.07

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (81% of shareholders’ equity)
U.S. Treasury Bills^^:
0.251% due 05/05/16†	$	2,559,000	$	2,558,782
0.270% due 05/12/16†		1,517,000		1,516,836
0.275% due 06/16/16†		508,000		507,802

Total short-term U.S. government and agency obligations (cost $4,582,632)			$	4,583,420

Swap Agreements^


	Rate Paid (Received)*			Termination Date		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Swap agreement with Citibank N.A. based on Bloomberg Commodity Index		0.18	%		04/06/16	$	2,970,943	$	(24,712	)
Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index		0.25			04/06/16		3,186,346		(19,477	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index		0.25			04/06/16		3,655,071		(22,064	)
Swap agreement with UBS AG based on Bloomberg Commodity Index		0.60			04/06/16		1,528,768		(11,786	)

								$	(78,039	)

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

^	The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

*	Reflects the floating financing rate, as of March 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	1,500		$	254

Expenses
Management fee		13,438			5,773

Total expenses		13,438			5,773

Net investment income (loss)		(11,938	)		(5,519	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(290,068	)		(520,459	)
Short-term U.S. government and agency obligations		(194	)		14

Net realized gain (loss)		(290,262	)		(520,445	)

Change in net unrealized appreciation/depreciation on
Swap agreements		105,877			201,905
Short-term U.S. government and agency obligations		1,477			47

Change in net unrealized appreciation/depreciation		107,354			201,952

Net realized and unrealized gain (loss)		(182,908	)		(318,493	)

Net income (loss)	$	(194,846	)	$	(324,012	)

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


Shareholders’ equity, at December 31, 2015	$	7,105,984
Redemption of 50,004 shares		(1,245,704	)

Net addition (redemption) of (50,004) shares		(1,245,704	)

Net investment income (loss)		(11,938	)
Net realized gain (loss)		(290,262	)
Change in net unrealized appreciation/depreciation		107,354

Net income (loss)		(194,846	)

Shareholders’ equity, at March 31, 2016	$	5,665,434

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(194,846	)	$	(324,012	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for swap agreements		(117,000	)		—
Purchases of short-term U.S. government and agency obligations		(4,581,378	)		(1,859,579	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		7,084,806			2,371,985
Net amortization and accretion on short-term U.S government and agency obligations		(1,500	)		(254	)
Net realized gain (loss) on investments		194			(14	)
Change in unrealized appreciation/depreciation on investments		(107,354	)		(201,952	)
Increase (Decrease) in management fee payable		(1,187	)		(415	)

Net cash provided by (used in) operating activities		2,081,735			(14,241	)

Cash flow from financing activities
Payment on shares redeemed		(1,245,704	)		—

Net cash provided by (used in) financing activities		(1,245,704	)		—

Net increase (decrease) in cash		836,031			(14,241	)
Cash, beginning of period		211,629			185,684

Cash, end of period	$	1,047,660		$	171,443

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	4,046,533	$	4,008,379
Segregated cash balances with brokers for futures contracts		41,202,700		47,571,810
Segregated cash balances with brokers for swap agreements		2,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $798,161,730 and $797,652,302, respectively)		798,292,983		797,650,543
Receivable from capital shares sold		14,373,650		4,894,509
Receivable on open futures contracts		1,573,204		5,150,763

Total assets		859,491,070		859,276,004

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		2,514,956
Brokerage commissions and fees payable		27,818		25,000
Management fee payable		705,935		636,984
Unrealized depreciation on swap agreements		50,822,915		72,176,589

Total liabilities		51,556,668		75,353,529

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		807,934,402		783,922,475

Total liabilities and shareholders’ equity	$	859,491,070	$	859,276,004

Shares outstanding		89,827,866		62,327,867

Net asset value per share	$	8.99	$	12.58

Market value per share (Note 2)	$	8.91	$	12.54

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (99% of shareholders’ equity)
U.S. Treasury Bills^^:
0.236% due 04/07/16	$	32,418,000	$	32,417,433
0.251% due 04/14/16		10,422,000		10,421,624
0.250% due 04/21/16		48,188,000		48,185,191
0.252% due 04/28/16		15,000,000		14,998,087
0.270% due 05/05/16†		180,571,000		180,555,651
0.266% due 05/12/16		113,406,000		113,393,729
0.296% due 05/19/16†		38,860,000		38,853,266
0.353% due 05/26/16†		142,209,000		142,181,838
0.257% due 06/02/16†		100,000,000		99,973,310
0.281% due 06/09/16†		3,232,000		3,230,916
0.275% due 06/16/16†		23,000,000		22,991,016
0.171% due 07/07/16		73,021,000		72,976,735
0.310% due 07/21/16†		18,129,000		18,114,187

Total short-term U.S. government and agency obligations (cost $798,161,730)			$	798,292,983

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
WTI Crude Oil - NYMEX, expires May 2016		10,702	$	410,314,680	$	55,846,555

Swap Agreements^


	Rate Paid (Received)*			Termination Date		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Swap agreement with Citibank N.A. based on Bloomberg WTI Crude Oil Subindex		0.18	%		04/06/16	$	317,395,142	$	(16,292,669	)
Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Subindex		0.25			04/06/16		262,836,687		(10,190,997	)
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25			04/06/16		258,118,575		(10,332,313	)
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25			04/06/16		89,071,976		(3,453,598	)
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25			04/06/16		277,873,304		(10,553,338	)

								$	(50,822,915	)

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

††	Cash collateral in the amount of $41,202,700 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

^	The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

*	Reflects the floating financing rate, as of March 31, 2016, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	451,064		$	76,242

Expenses
Management fee		1,812,678			1,843,701
Brokerage commissions and fees		164,313			77,253

Total expenses		1,976,991			1,920,954

Net investment income (loss)		(1,525,927	)		(1,844,712	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(106,357,669	)		(60,398,614	)
Swap agreements		(146,978,331	)		(113,284,505	)
Short-term U.S. government and agency obligations		(28,659	)		44,196

Net realized gain (loss)		(253,364,659	)		(173,638,923	)

Change in net unrealized appreciation/depreciation on
Futures contracts		73,775,869			(17,388,654	)
Swap agreements		21,353,674			(2,293,122	)
Short-term U.S. government and agency obligations		133,012			1,128

Change in net unrealized appreciation/depreciation		95,262,555			(19,680,648	)

Net realized and unrealized gain (loss)		(158,102,104	)		(193,319,571	)

Net income (loss)	$	(159,628,031	)	$	(195,164,283	)

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	783,922,475
Addition of 53,400,000 shares		422,801,911
Redemption of 25,900,001 shares		(239,161,953	)

Net addition (redemption) of 27,499,999 shares		183,639,958

Net investment income (loss)		(1,525,927	)
Net realized gain (loss)		(253,364,659	)
Change in net unrealized appreciation/depreciation		95,262,555

Net income (loss)		(159,628,031	)

Shareholders’ equity, at March 31, 2016	$	807,934,402

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended March 31, 2016			Three months ended March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(159,628,031	)	$	(195,164,283	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		6,369,110			21,184,809
Decrease (Increase) in segregated cash balances with brokers for swap agreements		(2,000	)		—
Purchases of short-term U.S. government and agency obligations		(1,045,075,237	)		(1,278,618,856	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		1,044,988,214			679,826,989
Net amortization and accretion on short-term U.S government and agency obligations		(451,064	)		(76,242	)
Net realized gain (loss) on investments		28,659			(44,196	)
Change in unrealized appreciation/depreciation on investments		(21,486,686	)		2,291,994
Decrease (Increase) in receivable on futures contracts		3,577,559			—
Increase (Decrease) in management fee payable		68,951			469,641
Increase (Decrease) in brokerage commissions and fees payable		2,818			—
Increase (Decrease) in payable on futures contracts		—			8,223,488

Net cash provided by (used in) operating activities		(171,607,707	)		(761,906,656	)

Cash flow from financing activities
Proceeds from addition of shares		413,322,770			1,033,639,301
Payment on shares redeemed		(241,676,909	)		(269,057,623	)

Net cash provided by (used in) financing activities		171,645,861			764,581,678

Net increase (decrease) in cash		38,154			2,675,022
Cash, beginning of period		4,008,379			2,349,384

Cash, end of period	$	4,046,533		$	5,024,406

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	1,300,783	$	1,411,137
Segregated cash balances with brokers for futures contracts		5,783,580		7,595,280
Short-term U.S. government and agency obligations (Note 3) (cost $24,679,418 and $26,806,648, respectively)		24,682,700		26,807,731
Receivable from capital shares sold		222		—
Receivable on open futures contracts		—		3,065,769

Total assets		31,767,285		38,879,917

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		2,228,193		—
Payable on open futures contracts		899,028		—
Brokerage commissions and fees payable		3,973		3,623
Management fee payable		23,575		25,110

Total liabilities		3,154,769		28,733

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		28,612,516		38,851,184

Total liabilities and shareholders’ equity	$	31,767,285	$	38,879,917

Shares outstanding		2,642,169		2,092,170

Net asset value per share	$	10.83	$	18.57

Market value per share (Note 2)	$	10.88	$	18.48

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (86% of shareholders’ equity)
U.S. Treasury Bills^^:
0.180% due 04/07/16	$	2,912,000	$	2,911,949
0.305% due 05/12/16		4,529,000		4,528,510
0.275% due 06/02/16		5,216,000		5,214,608
0.179% due 06/16/16		7,069,000		7,066,239
0.305% due 06/30/16		4,964,000		4,961,394

Total short-term U.S. government and agency obligations (cost $24,679,418)			$	24,682,700

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, May 2016		2,921	$	57,222,390	$	(884,266	)

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

††	Cash collateral in the amount of $5,783,580 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended March 31, 2016			Three months ended March 31, 2015
Investment Income
Interest	$	11,732		$	5,642

Expenses
Management fee		68,744			172,808
Brokerage commissions and fees		31,749			39,718

Total expenses		100,493			212,526

Net investment income (loss)		(88,761	)		(206,884	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(5,857,221	)		(45,836,964	)
Short-term U.S. government and agency obligations		(1,498	)		4,455

Net realized gain (loss)		(5,858,719	)		(45,832,509	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(7,197,145	)		27,451,658
Short-term U.S. government and agency obligations		2,199			(689	)

Change in net unrealized appreciation/depreciation		(7,194,946	)		27,450,969

Net realized and unrealized gain (loss)		(13,053,665	)		(18,381,540	)

Net income (loss)	$	(13,142,426	)	$	(18,588,424	)

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	38,851,184
Addition of 1,100,000 shares		10,168,033
Redemption of 550,001 shares		(7,264,275	)

Net addition (redemption) of 549,999 shares		2,903,758

Net investment income (loss)		(88,761	)
Net realized gain (loss)		(5,858,719	)
Change in net unrealized appreciation/depreciation		(7,194,946	)

Net income (loss)		(13,142,426	)

Shareholders’ equity, at March 31, 2016	$	28,612,516

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended March 31, 2016			Three months ended March 31, 2015
Cash flow from operating activities
Net income (loss)	$	(13,142,426	)	$	(18,588,424	)
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		1,811,700			17,291,600
Purchases of short-term U.S. government and agency obligations		(29,493,479	)		(102,091,788	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		31,630,943			98,341,582
Net amortization and accretion on short-term U.S government and agency obligations		(11,732	)		(5,642	)
Net realized gain (loss) on investments		1,498			(4,455	)
Change in unrealized appreciation/depreciation on investments		(2,199	)		689
Decrease (Increase) in receivable on futures contracts		3,065,769			—
Increase (Decrease) in management fee payable		(1,535	)		(10,942	)
Increase (Decrease) in brokerage commissions and fees payable		350			—
Increase (Decrease) in payable on futures contracts		899,028			(9,388,126	)

Net cash provided by (used in) operating activities		(5,242,083	)		(14,455,506	)

Cash flow from financing activities
Proceeds from addition of shares		10,167,811			31,430,074
Payment on shares redeemed		(5,036,082	)		(18,115,142	)

Net cash provided by (used in) financing activities		5,131,729			13,314,932

Net increase (decrease) in cash		(110,354	)		(1,140,574	)
Cash, beginning of period		1,411,137			1,653,582

Cash, end of period	$	1,300,783		$	513,008

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	4,726,061	$	251,524
Segregated cash balances with brokers for futures contracts		9,900		8,250
Short-term U.S. government and agency obligations (Note 3) (cost $92,214,957 and $71,908,280, respectively)		92,230,590		71,912,587
Receivable on open futures contracts		1,400		80

Total assets		96,967,951		72,172,441

Liabilities and shareholders’ equity
Liabilities
Management fee payable		75,749		57,031
Unrealized depreciation on forward agreements		5,167,647		2,250,595

Total liabilities		5,243,396		2,307,626

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		91,724,555		69,864,815

Total liabilities and shareholders’ equity	$	96,967,951	$	72,172,441

Shares outstanding		2,300,000		2,350,014

Net asset value per share	$	39.88	$	29.73

Market value per share (Note 2)	$	39.69	$	29.73

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (101% of shareholders’ equity)
U.S. Treasury Bills^^:
0.210% due 04/14/16	$	11,902,000	$	11,901,570
0.175% due 04/21/16†		7,963,000		7,962,536
0.251% due 05/05/16		2,737,000		2,736,767
0.270% due 05/12/16†		1,915,000		1,914,793
0.353% due 05/26/16†		7,749,000		7,747,520
0.276% due 06/02/16†		35,006,000		34,996,657
0.145% due 06/16/16		4,278,000		4,276,329
0.331% due 06/30/16		2,142,000		2,140,875
0.266% due 07/14/16		18,564,000		18,553,543

Total short-term U.S. government and agency obligations (cost $92,214,957)			$	92,230,590

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires June 2016		2	$	247,120	$	(6,880	)

Forward Agreements^


	Rate Paid (Received)*			Settlement Date		Commitment to (Deliver)/Receive		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Forward agreements with Citibank, N.A. based on 0.995 Fine Troy Ounce gold		0.80	%		04/06/16	$	28,900	$	35,752,479	$	(889,683	)
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold		1.15			04/06/16		48,700		60,250,666		(1,916,754	)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		1.00			04/06/16		29,820		36,890,620		(1,082,108	)
Forward agreements with Societe Generale based on 0.995 Fine Troy Ounce Gold		1.08			04/06/16		15,400		19,051,648		(485,602	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		0.91			04/06/16		25,200		31,175,172		(793,500	)

										$	(5,167,647	)

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

††	Cash collateral in the amount of $9,900 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

^	The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

*	Reflects the floating financing rate, as of March 31, 2016, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended March 31, 2016			Three months ended March 31, 2015
Investment Income
Interest	$	46,386		$	12,738

Expenses
Management fee		198,822			240,465
Brokerage commissions and fees		17			16

Total expenses		198,839			240,481

Net investment income (loss)		(152,453	)		(227,743	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		36,560			(2,040	)
Forward agreements		25,947,056			(2,985,716	)
Short-term U.S. government and agency obligations		(74	)		1,908

Net realized gain (loss)		25,983,542			(2,985,848	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(1,680	)		1,440
Forward agreements		(2,917,052	)		(390,186	)
Short-term U.S. government and agency obligations		11,326			373

Change in net unrealized appreciation/depreciation		(2,907,406	)		(388,373	)

Net realized and unrealized gain (loss)		23,076,136			(3,374,221	)

Net income (loss)	$	22,923,683		$	(3,601,964	)

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	69,864,815
Addition of 100,000 shares		4,103,970
Redemption of 150,014 shares		(5,167,913	)

Net addition (redemption) of (50,014) shares		(1,063,943	)

Net investment income (loss)		(152,453	)
Net realized gain (loss)		25,983,542
Change in net unrealized appreciation/depreciation		(2,907,406	)

Net income (loss)		22,923,683

Shareholders’ equity, at March 31, 2016	$	91,724,555

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended March 31, 2016			Three months ended March 31, 2015
Cash flow from operating activities
Net income (loss)	$	22,923,683		$	(3,601,964	)
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		(1,650	)		—
Purchases of short-term U.S. government and agency obligations		(96,073,781	)		(43,016,834	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		75,813,416			50,725,124
Net amortization and accretion on short-term U.S government and agency obligations		(46,386	)		(12,738	)
Net realized gain (loss) on investments		74			(1,908	)
Change in unrealized appreciation/depreciation on investments		2,905,726			389,813
Decrease (Increase) in receivable on futures contracts		(1,400	)		—
Increase (Decrease) in management fee payable		18,718			(8,971	)
Increase (Decrease) in payable on futures contracts		80			(2,840	)

Net cash provided by (used in) operating activities		5,538,480			4,469,682

Cash flow from financing activities
Proceeds from addition of shares		4,103,970			2,093,762
Payment on shares redeemed		(5,167,913	)		(6,545,401	)

Net cash provided by (used in) financing activities		(1,063,943	)		(4,451,639	)

Net increase (decrease) in cash		4,474,537			18,043
Cash, beginning of period		251,524			104,145

Cash, end of period	$	4,726,061		$	122,188

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016 (unaudited)		December 31, 2015
Assets
Cash	$	2,742,218	$	243,900
Segregated cash balances with brokers for futures contracts		11,440		17,160
Segregated cash balances with brokers for forward agreements		2,282,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $274,524,305 and $238,900,176, respectively)		274,576,762		238,899,626
Receivable on open futures contracts		1,920		—

Total assets		279,614,340		239,160,686

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		4,906,945		—
Payable on open futures contracts		—		1,875
Management fee payable		212,533		181,068
Unrealized depreciation on forward agreements		11,156,389		22,561,101

Total liabilities		16,275,867		22,744,044

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		263,338,473		216,416,642

Total liabilities and shareholders’ equity	$	279,614,340	$	239,160,686

Shares outstanding		8,046,526		7,996,533

Net asset value per share	$	32.73	$	27.06

Market value per share (Note 2)	$	32.82	$	27.08

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (104% of shareholders’ equity)
U.S. Treasury Bills^^:
0.210% due 04/14/16†	$	31,224,000	$	31,222,873
0.220% due 04/21/16		3,139,000		3,138,817
0.252% due 04/28/16		1,248,000		1,247,841
0.251% due 05/05/16†		36,537,000		36,533,894
0.292% due 05/12/16†		27,098,000		27,095,068
0.356% due 05/26/16†		20,284,000		20,280,126
0.279% due 06/02/16†		93,238,000		93,213,115
0.266% due 06/09/16†		12,653,000		12,648,756
0.266% due 07/14/16†		49,224,000		49,196,272

Total short-term U.S. government and agency obligations (cost $274,524,305)			$	274,576,762

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires May 2016		2	$	154,640	$	(2,611	)

Forward Agreements^


	Rate Paid (Received)*			Settlement Date		Commitment to (Deliver)/Receive		Notional Amount at Value**		Unrealized Appreciation (Depreciation)
Forward agreements with Citibank N.A. based on 0.999 Fine Troy Ounce Silver		1.05	%		04/06/16	$	8,503,000	$	130,793,996	$	(2,824,664	)
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver		1.27			04/06/16		6,764,800		104,059,536		(2,376,471	)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		1.15			04/06/16		8,619,800		132,588,040		(2,933,929	)
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		1.22			04/06/16		3,484,000		53,590,191		(1,018,791	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		1.18			04/06/16		6,851,000		105,381,397		(2,002,534	)

										$	(11,156,389	)

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

††	Cash collateral in the amount of $11,440 was pledged to cover margin requirements for open futures contracts as of March 31, 2016.

^	The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

*	Reflects the floating financing rate, as of March 31, 2016, on the notional amount of the forward agreement paid to the counterparty or received from the counterparty, excluding any commissions.

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

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	121,610		$	38,246

Expenses
Management fee		580,470			738,077
Brokerage commissions and fees		10			8

Total expenses		580,480			738,085

Net investment income (loss)		(458,870	)		(699,839	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		19,200			11,150
Forward agreements		34,095,244			(17,780,243	)
Short-term U.S. government and agency obligations		(580	)		4,743

Net realized gain (loss)		34,113,864			(17,764,350	)

Change in net unrealized appreciation/depreciation on
Futures contracts		6,419			(1,760	)
Forward agreements		11,404,712			35,015,988
Short-term U.S. government and agency obligations		53,007			907

Change in net unrealized appreciation/depreciation		11,464,138			35,015,135

Net realized and unrealized gain (loss)		45,578,002			17,250,785

Net income (loss)	$	45,119,132		$	16,550,946

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	216,416,642
Addition of 650,000 shares		21,276,467
Redemption of 600,007 shares		(19,473,768	)

Net addition (redemption) of 49,993 shares		1,802,699

Net investment income (loss)		(458,870	)
Net realized gain (loss)		34,113,864
Change in net unrealized appreciation/depreciation		11,464,138

Net income (loss)		45,119,132

Shareholders’ equity, at March 31, 2016	$	263,338,473

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	45,119,132		$	16,550,946
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		5,720			(2,640	)
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(2,282,000	)		—
Purchases of short-term U.S. government and agency obligations		(311,185,299	)		(205,022,601	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		275,682,212			216,039,075
Net amortization and accretion on short-term U.S government and agency obligations		(121,622	)		(38,246	)
Net realized gain (loss) on investments		580			(4,743	)
Change in unrealized appreciation/depreciation on investments		(11,457,719	)		(35,016,895	)
Decrease (Increase) in receivable on futures contracts		(1,920	)		—
Increase (Decrease) in management fee payable		31,465			(8,608	)
Increase (Decrease) in payable on futures contracts		(1,875	)		(6,010	)

Net cash provided by (used in) operating activities		(4,211,326	)		(7,509,722	)

Cash flow from financing activities
Proceeds from addition of shares		21,276,467			28,733,984
Payment on shares redeemed		(14,566,823	)		(21,239,648	)

Net cash provided by (used in) financing activities		6,709,644			7,494,336

Net increase (decrease) in cash		2,498,318			(15,386	)
Cash, beginning of period		243,900			305,004

Cash, end of period	$	2,742,218		$	289,618

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	201,134	$	227,310
Short-term U.S. government and agency obligations (Note 3) (cost $9,772,647 and $11,605,665, respectively)		9,774,752		11,605,262
Unrealized appreciation on foreign currency forward contracts		1,001,532		604,920

Total assets		10,977,418		12,437,492

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		1,569,718
Management fee payable		8,470		10,044
Unrealized depreciation on foreign currency forward contracts		7,170		—

Total liabilities		15,640		1,579,762

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		10,961,778		10,857,730

Total liabilities and shareholders’ equity	$	10,977,418	$	12,437,492

Shares outstanding		650,000		700,014

Net asset value per share	$	16.86	$	15.51

Market value per share (Note 2)	$	16.87	$	15.51

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (89% of shareholders’ equity)
U.S. Treasury Bills^^:
0.310% due 05/19/16	$	575,000	$	574,900
0.286% due 06/02/16†		7,946,000		7,943,879
0.310% due 07/21/16		1,257,000		1,255,973

Total short-term U.S. government and agency obligations (cost $9,772,647)			$	9,774,752

Foreign Currency Forward Contracts^


									Unrealized
						Notional Amount			Appreciation
	Settlement Date		Local Currency			at Value (USD)			(Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		04/08/16		9,584,125		$	10,907,140		$	488,861
Euro with UBS AG		04/08/16		10,055,900			11,444,039			512,671

									$	1,001,532

Contracts to Sell
Euro with Goldman Sachs International		04/08/16		(208,900	)	$	(237,737	)	$	(4,988	)
Euro with UBS AG		04/08/16		(166,300	)		(189,256	)		(2,182	)

									$	(7,170	)

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

^	The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	4,963		$	534

Expenses
Management fee		25,706			16,232

Total expenses		25,706			16,232

Net investment income (loss)		(20,743	)		(15,698	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		504,670			(1,065,216	)
Short-term U.S. government and agency obligations		(70	)		14

Net realized gain (loss)		504,600			(1,065,202	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		389,442			(675,379	)
Short-term U.S. government and agency obligations		2,508			44

Change in net unrealized appreciation/depreciation		391,950			(675,335	)

Net realized and unrealized gain (loss)		896,550			(1,740,537	)

Net income (loss)	$	875,807		$	(1,756,235	)

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	10,857,730
Redemption of 50,014 shares		(771,759	)

Net addition (redemption) of (50,014) shares		(771,759	)

Net investment income (loss)		(20,743	)
Net realized gain (loss)		504,600
Change in net unrealized appreciation/depreciation		391,950

Net income (loss)		875,807

Shareholders’ equity, at March 31, 2016	$	10,961,778

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	875,807		$	(1,756,235	)
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		(17,943,173	)		(14,072,502	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		19,781,084			1,245,923
Net amortization and accretion on short-term U.S government and agency obligations		(4,963	)		(534	)
Net realized gain (loss) on investments		70			(14	)
Change in unrealized appreciation/depreciation on investments		(391,950	)		675,335
Increase (Decrease) in management fee payable		(1,574	)		7,761

Net cash provided by (used in) operating activities		2,315,301			(13,900,266	)

Cash flow from financing activities
Proceeds from addition of shares		—			13,540,570
Payment on shares redeemed		(2,341,477	)		—

Net cash provided by (used in) financing activities		(2,341,477	)		13,540,570

Net increase (decrease) in cash		(26,176	)		(359,696	)
Cash, beginning of period		227,310			671,117

Cash, end of period	$	201,134		$	311,421

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	615,161	$	147,371
Short-term U.S. government and agency obligations (Note 3) (cost $5,422,963 and $5,069,206, respectively)		5,423,600		5,069,491
Unrealized appreciation on foreign currency forward contracts		161,880		267,014

Total assets		6,200,641		5,483,876

Liabilities and shareholders’ equity
Liabilities
Management fee payable		4,956		4,325
Unrealized depreciation on foreign currency forward contracts		1,678		5,703

Total liabilities		6,634		10,028

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		6,194,007		5,473,848

Total liabilities and shareholders’ equity	$	6,200,641	$	5,483,876

Shares outstanding		99,970		99,974

Net asset value per share	$	61.96	$	54.75

Market value per share (Note 2)	$	61.98	$	54.70

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2016

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (88% of shareholders’ equity)
U.S. Treasury Bills^^:
0.252% due 04/28/16†	$	1,500,000	$	1,499,809
0.310% due 07/21/16†		3,927,000		3,923,791

Total short-term U.S. government and agency obligations (cost $5,422,963)			$	5,423,600

Foreign Currency Forward Contracts^


									Unrealized
						Notional Amount			Appreciation
	Settlement Date		Local Currency			at Value (USD)			(Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		04/08/16		899,107,100		$	7,990,662		$	103,707
Yen with UBS AG		04/08/16		536,458,900			4,767,688			58,173

									$	161,880

Contracts to Sell
Yen with Goldman Sachs International		04/08/16		(13,926,600	)	$	(123,770	)	$	(531	)
Yen with UBS AG		04/08/16		(29,031,300	)		(258,011	)		(1,147	)

									$	(1,678	)

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

^	The positions and counterparties herein are as of March 31, 2016. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Investment Income
Interest	$	2,894		$	291

Expenses
Management fee		14,000			9,381

Total expenses		14,000			9,381

Net investment income (loss)		(11,106	)		(9,090	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		832,221			(80,612	)
Short-term U.S. government and agency obligations		—			(14	)

Net realized gain (loss)		832,221			(80,626	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(101,109	)		(25,933	)
Short-term U.S. government and agency obligations		352			(194	)

Change in net unrealized appreciation/depreciation		(100,757	)		(26,127	)

Net realized and unrealized gain (loss)		731,464			(106,753	)

Net income (loss)	$	720,358		$	(115,843	)

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016

(unaudited)


Shareholders’ equity, at December 31, 2015	$	5,473,848
Redemption of 4 shares		(199	)

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

Net investment income (loss)		(11,106	)
Net realized gain (loss)		832,221
Change in net unrealized appreciation/depreciation		(100,757	)

Net income (loss)		720,358

Shareholders’ equity, at March 31, 2016	$	6,194,007

See accompanying notes to financial statements.

100

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016			March 31, 2015
Cash flow from operating activities
Net income (loss)	$	720,358		$	(115,843	)
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		(9,570,863	)		(4,808,211	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		9,220,000			885,972
Net amortization and accretion on short-term U.S government and agency obligations		(2,894	)		(291	)
Net realized gain (loss) on investments		—			14
Change in unrealized appreciation/depreciation on investments		100,757			26,127
Increase (Decrease) in management fee payable		631			3,144

Net cash provided by (used in) operating activities		467,989			(4,009,088	)

Cash flow from financing activities
Proceeds from addition of shares		—			4,285,016
Payment on shares redeemed		(199	)		(687,120	)

Net cash provided by (used in) financing activities		(199	)		3,597,896

Net increase (decrease) in cash		467,790			(411,192	)
Cash, beginning of period		147,371			846,919

Cash, end of period	$	615,161		$	435,727

See accompanying notes to financial statements.

101

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION


	March 31, 2016
	(unaudited)		December 31, 2015
Assets
Cash	$	35,814,038	$	48,049,225
Segregated cash balances with brokers for futures contracts		273,711,270		261,083,712
Segregated cash balances with brokers for swap agreements		664,000		—
Segregated cash balances with brokers for forward agreements		2,282,000		—
Short-term U.S. government and agency obligations (Note 3) (cost $3,475,425,497 and $3,313,585,456, respectively)		3,476,052,223		3,313,591,600
Unrealized appreciation on swap agreements		7,163,609		6,669,519
Unrealized appreciation on forward agreements		2,655,859		6,587,221
Unrealized appreciation on foreign currency forward contracts		4,571,401		1,805,661
Receivable from capital shares sold		144,172,198		48,046,138
Receivable on open futures contracts		3,301,931		27,655,327

Total assets		3,950,388,529		3,713,488,403

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		57,683,319		60,119,975
Payable on open futures contracts		4,449,193		3,078,269
Brokerage commissions and fees payable		42,396		39,148
Management fee payable		2,867,641		2,839,305
Unrealized depreciation on swap agreements		50,901,948		72,446,044
Unrealized depreciation on forward agreements		16,707,103		24,811,696
Unrealized depreciation on foreign currency forward contracts		49,312,855		43,545,218

Total liabilities		181,964,455		206,879,655

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		3,768,424,074		3,506,608,748
Total liabilities and shareholders’ equity	$	3,950,388,529	$	3,713,488,403

Shares outstanding		198,274,279		143,049,418

See accompanying notes to financial statements.

102

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016*			March 31, 2015**
Investment Income
Interest	$	1,810,237		$	360,671

Expenses
Management fee		7,893,721			9,026,117
Brokerage commissions and fees		1,564,121			1,617,240
Offering costs		—			16,221
Limitation by Sponsor		—			(1,534	)

Total expenses		9,457,842			10,658,044

Net investment income (loss)		(7,647,605	)		(10,297,373	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(156,804,469	)		(198,303,422	)
Swap agreements		(148,832,027	)		(86,405,263	)
Forward agreements		35,331,079			(20,199,934	)
Foreign currency forward contracts		(65,193,917	)		101,262,256
Short-term U.S. government and agency obligations		(119,774	)		108,816

Net realized gain (loss)		(335,619,108	)		(203,537,547	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(138,735,060	)		(69,298,843	)
Swap agreements		22,038,186			(2,542,455	)
Forward agreements		4,173,231			30,995,363
Foreign currency forward contracts		(3,001,897	)		8,172,421
Short-term U.S. government and agency obligations		620,582			(10,974	)

Change in net unrealized appreciation/depreciation		(114,904,958	)		(32,684,488	)

Net realized and unrealized gain (loss)		(450,524,066	)		(236,222,035	)

Net income (loss)	$	(458,171,671	)	$	(246,519,408	)

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

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

See accompanying notes to financial statements.

103

PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2016*

(unaudited)


Shareholders’ equity, at December 31, 2015	$	3,506,608,748
Addition of 130,975,000 shares		3,141,938,788
Redemption of 75,750,139 shares		(2,421,951,791	)

Net addition (redemption) of 55,224,861 shares		719,986,997

Net investment income (loss)		(7,647,605	)
Net realized gain (loss)		(335,619,108	)
Change in net unrealized appreciation/depreciation		(114,904,958	)

Net income (loss)		(458,171,671	)

Shareholders’ equity, at March 31, 2016	$	3,768,424,074

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

See accompanying notes to financial statements.

104

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2016 AND 2015

(unaudited)


	Three months ended			Three months ended
	March 31, 2016*			March 31, 2015**
Cash flow from operating activities
Net income (loss)	$	(458,171,671	)	$	(246,519,408	)
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		(12,627,558	)		113,321,830
Decrease (Increase) in segregated cash balances with brokers for swap agreements		(664,000	)		—
Decrease (Increase) in segregated cash balances with brokers for forward agreements		(2,282,000	)		—
Purchases of short-term U.S. government and agency obligations		(4,733,869,345	)		(5,057,019,394	)
Proceeds from sales or maturities of short-term U.S government and agency obligations		4,573,717,680			4,083,125,326
Net amortization and accretion on short-term U.S government and agency obligations		(1,808,150	)		(360,074	)
Net realized gain (loss) on investments		119,774			(108,806	)
Change in unrealized appreciation/depreciation on investments		(23,830,102	)		(36,614,355	)
Decrease (Increase) in receivable on futures contracts		24,353,316			7,927,230
Decrease (Increase) in Limitation by Sponsor		—			(1,534	)
Change in offering cost		—			16,220
Increase (Decrease) in management fee payable		28,256			725,494
Increase (Decrease) in brokerage commissions and fees payable		3,248			—
Increase (Decrease) in payable on futures contracts		1,371,084			(30,746,878	)

Net cash provided by (used in) operating activities		(633,659,468	)		(1,166,254,349	)

Cash flow from financing activities
Proceeds from addition of shares		3,045,812,728			2,890,975,532
Payment on shares redeemed		(2,424,388,447	)		(1,719,419,849	)

Net cash provided by (used in) financing activities		621,424,281			1,171,555,683

Net increase (decrease) in cash		(12,235,187	)		5,301,334
Cash, beginning of period		48,049,225			35,899,231

Cash, end of period	$	35,814,038		$	41,200,565

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

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

See accompanying notes to financial statements.

105

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

March 31, 2016

(unaudited)

NOTE 1 – ORGANIZATION

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2016, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

On 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.

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

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

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

106

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

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

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than a single day should not be expected to be a simple multiple (e.g., -1x, -2x or 2x) of the period return of the corresponding benchmark and will likely differ significantly.

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

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

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the year ended December 31, 2015. There were no Share splits or reverse Share splits during the three months ended March 31, 2016. The ticker symbols for these Funds did not change, and each Fund continues to trade on the NYSE Arca.


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

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

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

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NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

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

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the SEC. In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2015, as filed with the SEC on February 29, 2016.

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated March 31, 2016, and represents non-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

The cut-off times and the times of the calculation of the Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2016 were as follows. All times are Eastern Standard Time:

Create/
Redeem

NAV
Calculation

NAV

Cut-off*

Time

Calculation Date

UltraShort Silver, Ultra Silver

6:30 a.m.

7:00 a.m.

March 31

UltraShort Gold, Ultra Gold

9:30 a.m.

10:00 a.m.

March 31

UltraShort Bloomberg Crude Oil,

Ultra Bloomberg Crude Oil

2:00 p.m.

2:30 p.m.

March 31

UltraShort Bloomberg Natural Gas,

Ultra Bloomberg Natural Gas

2:00 p.m.

2:30 p.m.

March 31

UltraShort Bloomberg Commodity,

10:45 a.m.

2:30 p.m.

March 31

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Ultra Bloomberg Commodity

UltraShort Australian Dollar

3:00 p.m.

4:00 p.m.

March 31

Short Euro,

UltraShort Euro,

Ultra Euro

3:00 p.m.

4:00 p.m.

March 31

UltraShort Yen,

Ultra Yen

3:00 p.m.

4:00 p.m.

March 31

VIX Short-Term Futures ETF,

Ultra VIX Short-Term Futures ETF,

Short VIX Short-Term Futures ETF

2:00 p.m.

4:15 p.m.

March 31

VIX Mid-Term Futures ETF

2:00 p.m.

4:15 p.m.

March 31

*	Although the Funds’ shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2016.

Market value per Share is determined at the close of the NYSE Arca and may be later than when the Funds’ NAV per Share is calculated.

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain of the Funds’ final creation/redemption NAV for the three months ended March 31, 2016.

Investment Valuation

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

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

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

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Fair Value of Financial Instruments

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

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

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

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

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

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

The following table summarizes the valuation of investments at March 31, 2016 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements		Foreign Currency Forward Contracts		Swap Agreements		Total
VIX Short-Term Futures ETF	$	122,329,689	$	(17,389,000	)	$	—	$	—	$	—	$	104,940,689
VIX Mid-Term Futures ETF		28,114,658		(3,160,060	)		—		—		—		24,954,598
Short VIX Short-Term Futures ETF		414,415,794		64,723,894			—		—		—		479,139,688
Ultra VIX Short-Term Futures ETF		740,769,431		(211,447,772	)		—		—		—		529,321,659
UltraShort Bloomberg Commodity		6,619,348		—			—		—		57,781		6,677,129
UltraShort Bloomberg Crude Oil		187,777,500		(14,997,628	)		—		—		7,104,834		179,884,706
UltraShort Bloomberg Natural Gas		3,810,409		(367,096	)		—		—		—		3,443,313
UltraShort Gold		67,384,423		6,880			1,724,551		—		—		69,115,854
UltraShort Silver		46,253,752		1,910			548,241		—		—		46,803,903
Short Euro		13,992,459		(465,069	)		—		—		—		13,527,390

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UltraShort Australian Dollar		15,670,829		(1,121,800	)		—			—			—			14,549,029
UltraShort Euro		439,966,790		—			—			(40,912,734	)		—			399,054,056
UltraShort Yen		179,382,334		—			—			(4,983,284	)		—			174,399,050
Ultra Bloomberg Commodity		4,583,420		—			—			—			(78,039	)		4,505,381
Ultra Bloomberg Crude Oil		798,292,983		55,846,555			—			—			(50,822,915	)		803,316,623
Ultra Bloomberg Natural Gas		24,682,700		(884,266	)		—			—			—			23,798,434
Ultra Gold		92,230,590		(6,880	)		(5,167,647	)		—			—			87,056,063
Ultra Silver		274,576,762		(2,611	)		(11,156,389	)		—			—			263,417,762
Ultra Euro		9,774,752		—			—			994,362			—			10,769,114
Ultra Yen		5,423,600		—			—			160,202			—			5,583,802

Total Trust	$	3,476,052,223	$	(129,262,943	)	$	(14,051,244	)	$	(44,741,454	)	$	(43,738,339	)	$	3,244,258,243

*	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 March 31, 2016, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

At March 31, 2016, there were no significant transfers in or out of Level I and Level II fair value measurements. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those securities.

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


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements		Foreign Currency Forward Contracts		Swap Agreements		Total
VIX Short-Term Futures ETF	$	96,073,659	$	(1,078,625	)	$	—	$	—	$	—	$	94,995,034
VIX Mid-Term Futures ETF		25,976,287		(344,360	)		—		—		—		25,631,927
Short VIX Short-Term Futures ETF		535,392,718		10,746,415			—		—		—		546,139,133
Ultra VIX Short-Term Futures ETF		438,357,849		11,894,466			—		—		—		450,252,315
UltraShort Bloomberg Commodity		7,518,119		—			—		—		171,324		7,689,443
UltraShort Bloomberg Crude Oil		79,692,642		2,464,513			—		—		6,412,656		88,569,811
UltraShort Bloomberg Natural Gas		8,115,004		(2,471,164	)		—		—		—		5,643,840
UltraShort Gold		72,979,905		5,220			1,808,942		—		—		74,794,067

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	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
UltraShort Silver		50,730,230		5,970			4,778,279			—			—			55,514,479
Short Euro		15,153,211		243,438			—			—			—			15,396,649
UltraShort Australian Dollar		18,408,894		(420,270	)		—			—			—			17,988,624
UltraShort Euro		546,166,776		—			—			(28,710,336	)		—			517,456,440
UltraShort Yen		259,997,001		—			—			(13,895,452	)		—			246,101,549
Ultra Bloomberg Commodity		7,084,065		—			—			—			(183,916	)		6,900,149
Ultra Bloomberg Crude Oil		797,650,543		(17,929,314	)		—			—			(72,176,589	)		707,544,640
Ultra Bloomberg Natural Gas		26,807,731		6,312,879			—			—			—			33,120,610
Ultra Gold		71,912,587		(5,200	)		(2,250,595	)		—			—			69,656,792
Ultra Silver		238,899,626		(9,030	)		(22,561,101	)		—			—			216,329,495
Ultra Euro		11,605,262		—			—			604,920			—			12,210,182
Ultra Yen		5,069,491		—			—			261,311			—			5,330,802

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

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

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

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

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

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

Investment Transactions and Related Income

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

Brokerage Commissions and Fees

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

112

Federal Income Tax

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

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

NOTE 3 – INVESTMENTS

Short-Term Investments

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

Accounting for Derivative Instruments

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

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

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

Futures Contracts

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

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

113

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

Futures contracts involve, to varying degrees, elements of market risk (specifically commodity price risk or equity market volatility risk) and exposure to loss in excess of the amount of variation margin. The face or contract amounts reflect the extent of the total exposure each Fund has in the particular classes of instruments. Additional risks associated with the use of futures contracts are imperfect correlation between movements in the price of the futures contracts and the market value of the underlying index or commodity and the possibility of an illiquid market for a futures contract. With futures contracts, there is minimal but some counterparty risk to the Funds since futures contracts are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures contracts, guarantees the futures contracts against default. Many futures exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day. Once the daily limit has been reached in a particular contract, no trades may be made that day at a price beyond that limit or trading may be suspended for specified times during the trading day. Futures contracts prices could move to the limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting a Fund to substantial losses. If trading is not possible, or if a Fund determines not to close a futures position in anticipation of adverse price movements, the Fund will be required to make daily cash payments of variation margin. The risk the Fund will be unable to close out a futures position will be minimized by entering into such transactions on a national exchange with an active and liquid secondary market.

Swap Agreements

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

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

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

114

aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by the Fund’s Custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

The Trust, on behalf of a Fund, may enter into agreements with certain counterparties for derivative transactions. These agreements contain various conditions, events of default, termination events, covenants and representations. The triggering of certain events or the default on certain terms of the agreement could allow a party to terminate a transaction under the agreement and request immediate payment in an amount equal to the net positions owed the party under the agreement. This could cause a Fund to have to enter into a new transaction with the same counterparty, enter into a transaction with a different counterparty or seek to achieve its investment objective through any number of different investments or investment techniques.

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, 2016 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with uncleared swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2016, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

115

Forward Contracts

Certain of the Funds enter into forward contracts for purposes of pursuing their investment objectives and as a substitute for investing directly in (or shorting) commodities and/or currencies. A forward contract is an agreement between two parties to purchase or sell a specified quantity of an asset at or before a specified date in the future at a specified price. Forward contracts are typically traded in OTC markets and all details of the contract are negotiated between the counterparties to the agreement. Accordingly, the forward contracts are valued by reference to the contracts traded in the OTC markets.

The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity or currency, establishing an opposite position in the contract and recognizing the profit or loss on both positions simultaneously on the delivery date or, in some instances, paying a cash settlement before the designated date of delivery. The forward contracts are adjusted by the daily fluctuation of the underlying commodity or currency and any gains or losses are recorded for financial statement purposes as unrealized gains or losses until the contract settlement date.

Forward contracts have traditionally not been cleared or guaranteed by a third party. As a result of the Dodd-Frank Act, the CFTC now regulates non-deliverable forwards (including deliverable forwards where the parties do not take delivery). Certain non-deliverable forward contracts, such as non-deliverable foreign exchange forwards, may be subject to regulation as swap agreements, including mandatory clearing. Changes in the forward markets may entail increased costs and result in burdensome reporting requirements.

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of 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 March 31, 2016, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

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

116

117

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 March 31, 2016

Asset Derivatives

Liability Derivatives

Derivatives not

accounted for

as hedging

instruments

Statements of

Financial

Condition

Location

Fund

Unrealized
Appreciation

Statements of

Financial

Condition

Location

Fund

Unrealized
Depreciation

VIX Futures Contracts

Receivables on open futures contracts

ProShares Short VIX Short-Term Futures ETF

64,723,894

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

17,389,000

ProShares VIX Mid-Term Futures ETF

3,160,060

ProShares Ultra VIX Short-Term Futures ETF

211,447,772

Commodities Contracts

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

ProShares UltraShort Bloomberg Commodity

58,775

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

ProShares UltraShort Bloomberg Commodity

994

ProShares UltraShort Bloomberg Crude Oil

7,104,834

ProShares UltraShort Bloomberg Crude Oil

14,997,628

ProShares Ultra Bloomberg
Crude Oil

55,846,555

ProShares UltraShort Bloomberg Natural Gas

367,096

ProShares
UltraShort
Gold

1,731,431

ProShares Ultra Bloomberg Commodity

78,039

ProShares
UltraShort
Silver

933,218

ProShares Ultra Bloomberg Crude Oil

50,822,915

ProShares Ultra Bloomberg Natural Gas

884,266

ProShares Ultra Gold

5,174,527

ProShares UltraShort Silver

383,067

ProShares Ultra Silver

11,159,000

Foreign Exchange Contracts

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

ProShares UltraShort Euro

3,357,544

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

ProShares UltraShort Australian Dollar

1,121,800

ProShares UltraShort Yen

50,445

ProShares UltraShort Euro

44,270,278

ProShares
Ultra Euro

1,001,532

ProShares UltraShort Yen

5,033,729

ProShares Ultra Yen

161,880

ProShares Ultra Euro

7,170

ProShares Ultra Yen

1,678

ProShares Short Euro

465,069

Total Trust

134,970,108

Total Trust

366,764,088

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

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Fair Value of Derivative Instruments

as of December 31, 2015

Asset Derivatives

Liability Derivatives

Derivatives not

accounted for

as hedging

instruments

Statements of

Financial

Condition

Location

Fund

Unrealized
Appreciation

Statements of

Financial

Condition

Location

Fund

Unrealized
Depreciation

VIX Futures Contracts

Receivables on open futures contracts

ProShares VIX Mid-Term Futures ETF

10,005

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

1,078,625

ProShares Short VIX Short-Term ETF

10,805,245

ProShares VIX Mid-Term Futures ETF

354,365

ProShares Ultra VIX Short-Term Futures ETF

11,894,466

ProShares Short VIX Short-Term ETF

58,830

Commodities Contracts

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

ProShares UltraShort Bloomberg Commodity

224,491

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

ProShares UltraShort Bloomberg Commodity

53,167

ProShares UltraShort Bloomberg
Crude Oil

8,877,169

ProShares UltraShort Bloomberg Natural Gas

2,471,164

ProShares Ultra Bloomberg Commodity

32,372

ProShares Ultra Bloomberg Commodity

216,288

ProShares Ultra Bloomberg Natural Gas

6,312,879

ProShares Ultra Bloomberg Crude Oil

90,105,903

ProShares UltraShort Gold

1,814,162

ProShares
Ultra Gold

2,255,795

ProShares UltraShort Silver

4,784,249

ProShares
Ultra Silver

22,570,131

Foreign Exchange Contracts

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

ProShares
Short Euro

243,438

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

ProShares UltraShort Australian Dollar

420,270

ProShares UltraShort Yen

933,727

ProShares UltraShort Euro

28,710,336

ProShares
Ultra Euro

604,920

ProShares UltraShort Yen

14,829,179

ProShares Ultra Yen

267,014

ProShares Ultra Yen

5,703

Total Trust

46,804,137

Total Trust

163,129,756

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

119

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended March 31, 2016


Derivatives not accounted for as hedging instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation or 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	$	7,706,149		$	(16,310,375	)
		ProShares VIX Mid-Term Futures ETF		2,594,460			(2,815,700	)
		ProShares Short VIX Short-Term Futures ETF		(92,182,809	)		53,977,479
		ProShares Ultra VIX Short-Term Futures ETF		11,205,618			(223,342,238	)

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		(127,591	)		(113,543	)
		ProShares UltraShort Bloomberg Crude Oil		22,321,598			(16,769,963	)
		ProShares UltraShort Bloomberg Natural Gas		4,114,349			2,104,068
		ProShares UltraShort Gold		(19,412,007	)		(82,731	)
		ProShares UltraShort Silver		(5,348,504	)		(4,234,098	)
		ProShares Ultra Bloomberg Commodity		(290,068	)		105,877
		ProShares Ultra Bloomberg Crude Oil		(253,336,000	)		95,129,543
		ProShares Ultra Bloomberg Natural Gas		(5,857,221	)		(7,197,145	)
		ProShares Ultra Gold		25,983,616			(2,918,732	)
		ProShares Ultra Silver		34,114,444			11,411,131

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		(54,194	)		(708,507	)
		ProShares UltraShort Australian Dollar		(1,688,439	)		(701,530	)
		ProShares UltraShort Euro		(28,914,132	)		(12,202,398	)
		ProShares UltraShort Yen		(37,616,676	)		8,912,168
		ProShares Ultra Euro		504,670			389,442
		ProShares Ultra Yen		832,221			(101,109	)

		Total Trust*	$	(335,450,516	)	$	(115,468,361	)

*Amount excludes the activity of ProShares Managed Futures Strategy which liquidated in March 2016.

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended March 31, 2015


Derivatives not accounted for as hedging instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation or 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	$	(8,978,330	)	$	(11,370,731	)
		ProShares VIX Mid-Term Futures ETF		126,671			(761,055	)
		ProShares Short VIX Short-Term Futures ETF		23,811,285			23,344,133
		ProShares Ultra VIX Short-Term Futures ETF		(135,093,226	)		(88,510,946	)

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		856,549			(290,634	)
		ProShares UltraShort Bloomberg Crude Oil		44,649,872			1,439,054
		ProShares UltraShort Bloomberg Natural Gas		5,179,268			(3,081,725	)
		ProShares UltraShort Gold		1,918,530			699,177
		ProShares UltraShort Silver		(1,361,705	)		(4,329,601	)
		ProShares Ultra Bloomberg Commodity		(520,459	)		201,905
		ProShares Ultra Bloomberg Crude Oil		(173,683,119	)		(19,681,776	)
		ProShares Ultra Bloomberg Natural Gas		(45,836,964	)		27,451,658
		ProShares Ultra Gold		(2,987,756	)		(388,746	)
		ProShares Ultra Silver		(17,769,093	)		35,014,228

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		2,057,094			(275,562	)
		ProShares UltraShort Australian Dollar		2,979,670			(323,631	)
		ProShares UltraShort Euro		107,515,818			6,627,201
		ProShares UltraShort Yen		(5,107,734	)		2,246,532
		ProShares Ultra Euro		(1,065,216	)		(675,379	)
		ProShares Ultra Yen		(80,612	)		(25,933	)

		Total Trust*	$	(203,389,457	)	$	(32,691,831	)

*Amount excludes the activity of ProShares Managed Futures Strategy and ProShares Ultra Australian Dollar which liquidated in March 2016 and June 2015, respectively.

Offsetting Assets and Liabilities

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

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of March 31, 2016:

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Fair Values of Derivative Instruments as of March 31, 2016


	Assets						Liabilities
	Gross						Gross
	Amounts of						Amounts of
	Recognized		Gross		Net Amounts of		Recognized			Gross		Net Amounts of
	Assets		Amounts		Assets		Liabilities			Amounts		Liabilities
	presented in		Offset in the		presented in		presented in			Offset in the		presented in
	the Statements		Statements		the Statements		the Statements			Statements		the Statements
	of Financial		of Financial		of Financial		of Financial			of Financial		of Financial
	Condition		Condition		Condition		Condition			Condition		Condition
ProShares UltraShort Bloomberg Commodity
Swap agreements	$	58,775	$	—	$	58,775	$	(994	)	$	—	$	(994	)
ProShares UltraShort Bloomberg Crude Oil
Swap agreements		7,104,834		—		7,104,834		—			—		—
ProShares UltraShort Gold
Forward agreements		1,724,551		—		1,724,551		—			—		—
ProShares UltraShort Silver
Forward agreements		931,308		—		931,308		(383,067	)		—		(383,067	)
ProShares UltraShort Euro
Foreign currency forward contracts		3,357,544		—		3,357,544		(44,270,278	)		—		(44,270,278	)
ProShares UltraShort Yen
Foreign currency forward contracts		50,445		—		50,445		(5,033,729	)		—		(5,033,729	)
ProShares Ultra Bloomberg Commodity
Swap agreements		—		—		—		(78,039	)		—		(78,039	)
ProShares Ultra Bloomberg Crude Oil
Swap agreements		—		—		—		(50,822,915	)		—		(50,822,915	)
ProShares Ultra Gold
Forward agreements		—		—		—		(5,167,647	)		—		(5,167,647	)
ProShares Ultra Silver
Forward agreements		—		—		—		(11,156,389	)		—		(11,156,389	)
ProShares Ultra Euro
Foreign currency forward contracts		1,001,532		—		1,001,532		(7,170	)		—		(7,170	)
ProShares Ultra Yen
Foreign currency forward contracts		161,880		—		161,880		(1,678	)		—		(1,678	)

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at March 31, 2016. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Accounting for Derivative Instruments”.

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Gross Amounts Not Offset in the Statement of Financial Condition as of March 31, 2016


	Amounts of
	Recognized
	Assets /
	(Liabilities)			Financial
	presented in the			Instruments for			Cash Collateral
	Statements of			the Benefit of			for the Benefit of
	Financial			(the Funds) /the			(the Funds) / the
	Condition			Counterparties			Counterparties			Net Amount
ProShares UltraShort Bloomberg Commodity
Citibank N.A.	$	(994	)	$	—		$	994		$	—
Deutsche Bank AG		24,172			—			—			24,172
Goldman Sachs International		30,339			—			—			30,339
UBS AG		4,264			—			—			4,264
ProShares UltraShort Bloomberg Crude Oil
Citibank N.A.		2,056,877			—			—			2,056,877
Deutsche Bank AG		679,190			—			(679,190	)		—
Goldman Sachs International		2,394,738			—			—			2,394,738
Societe Generale S.A.		282,172			(282,172	)		—			—
UBS AG		1,691,857			(1,672,413	)		(19,444	)		—
ProShares UltraShort Gold
Citibank N.A.		156,095			—			—			156,095
Deutsche Bank AG		838,378			—			(838,378	)		—
Goldman Sachs International		106,635			(91,009	)		—			15,626
Societe Generale S.A.		122,750			(122,750	)		—			—
UBS AG		500,693			(496,209	)		(4,484	)		—
ProShares UltraShort Silver
Citibank N.A.		147,959			—			—			147,959
Deutsche Bank AG		626,482			—			(600,000	)		26,482
Goldman Sachs International		(383,067	)		383,067			—			—
Societe Generale S.A.		43,989			(43,989	)		—			—
UBS AG		112,878			—			—			112,878
ProShares UltraShort Euro
Goldman Sachs International		(19,722,589	)		19,722,589			—			—
UBS AG		(21,190,145	)		21,190,145			—			—
ProShares UltraShort Yen
Goldman Sachs International		(2,421,670	)		2,421,670			—			—
UBS AG		(2,561,614	)		2,561,614			—			—
ProShares Ultra Bloomberg Commodity
Citibank N.A.		(24,712	)		—			24,712			—
Deutsche Bank AG		(19,477	)		19,477			—			—
Goldman Sachs International		(22,064	)		22,064			—			—
UBS AG		(11,786	)		11,786			—			—
ProShares Ultra Bloomberg Crude Oil
Citibank N.A.		(16,292,669	)		16,292,669			—			—
Deutsche Bank AG		(10,190,997	)		10,190,997			—			—
Goldman Sachs International		(10,332,313	)		10,332,313			—			—
Societe Generale S.A.		(3,453,598	)		3,451,598			2,000			—
UBS AG		(10,553,338	)		10,553,338			—			—
ProShares Ultra Gold
Citibank N.A.		(889,683	)		889,683			—			—
Deutsche Bank AG		(1,916,754	)		1,916,754			—			—
Goldman Sachs International		(1,082,108	)		1,082,108			—			—
Societe Generale S.A.		(485,602	)		485,602			—			—
UBS AG		(793,500	)		793,500			—			—
ProShares Ultra Silver
Citibank N.A.		(2,824,664	)		2,575,664			249,000			—
Deutsche Bank AG		(2,376,471	)		463,471			1,913,000			—
Goldman Sachs International		(2,933,929	)		2,933,929			—			—
Societe Generale S.A.		(1,018,791	)		1,018,791			—			—
UBS AG		(2,002,534	)		2,002,534			—			—
ProShares Ultra Euro
Goldman Sachs International		483,373			(289,276	)		—			194,097
UBS AG		510,489			(352,951	)		(3,602	)		153,936
ProShares Ultra Yen
Goldman Sachs International		103,176			(103,176	)		—			—
UBS AG		57,026			(7,289	)		(74	)		49,663

123

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

Fair Values of Derivative Instruments as of December 31, 2015


	Assets						Liabilities
	Gross						Gross
	Amounts of						Amounts of
	Recognized		Gross		Net Amounts of		Recognized		Gross		Net Amounts of
	Assets		Amounts		Assets		Liabilities		Amounts		Liabilities
	presented in		Offset in the		presented in		presented in		Offset in the		presented in
	the Statements		Statements		the Statements		the Statements		Statements		the Statements
	of Financial		of Financial		of Financial		of Financial		of Financial		of Financial
	Condition		Condition		Condition		Condition		Condition		Condition
ProShares UltraShort Bloomberg Commodity
Swap agreements	$	224,491	$	—	$	224,491	$	53,167	$	—	$	53,167
ProShares UltraShort Bloomberg Crude Oil
Swap agreements		6,412,656		—		6,412,656		—		—		—
ProShares UltraShort Gold
Forward agreements		1,808,942		—		1,808,942		—		—		—
ProShares UltraShort Silver
Forward agreements		4,778,279		—		4,778,279		—		—		—
ProShares UltraShort Euro
Foreign currency forward contracts		—		—		—		28,710,336		—		28,710,336
ProShares UltraShort Yen
Foreign currency forward contracts		933,727		—		933,727		14,829,179		—		14,829,179
ProShares Ultra Bloomberg Commodity
Swap agreements		32,372		—		32,372		216,288		—		216,288
ProShares Ultra Bloomberg Crude Oil
Swap agreements		—		—		—		72,176,589		—		72,176,589
ProShares Ultra Gold
Forward agreements		—		—		—		2,250,595		—		2,250,595
ProShares Ultra Silver
Forward agreements		—		—		—		22,561,101		—		22,561,101
ProShares Ultra Euro
Foreign currency forward contracts		604,920		—		604,920		—		—		—
ProShares Ultra Yen
Foreign currency forward contracts		267,014		—		267,014		5,703		—		5,703

124

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

Gross Amounts Not Offset in the Statement of Financial Condition as of December 31, 2015


	Amounts of
	Recognized
	Assets /
	(Liabilities)			Financial
	presented in the			Instruments for			Cash Collateral
	Statements of			the Benefit of			for the Benefit of
	Financial			(the Funds) /the			(the Funds) / the
	Condition			Counterparties			Counterparties			Net Amount
ProShares UltraShort Bloomberg Commodity
Citibank N.A.	$	(53,167	)	$	53,167		$	—		$	—
Deutsche Bank AG		84,161			—			(50,000	)		34,161
Goldman Sachs International		36,878			(28,466	)		—			8,412
UBS AG		103,452			(103,452	)		—			—
ProShares UltraShort Bloomberg Crude Oil
Citibank N.A.		1,098,278			—			—			1,098,278
Deutsche Bank AG		1,722,894			—			(1,722,894	)		—
Goldman Sachs International		1,595,552			(1,595,552	)		—			—
Societe Generale S.A.		521,142			(521,142	)		—			—
UBS AG		1,474,790			(1,474,790	)		—			—
ProShares UltraShort Gold
Citibank N.A.		3,915			—			—			3,915
Deutsche Bank AG		1,046,664			—			(1,046,664	)		—
Goldman Sachs International		158,827			—			—			158,827
Societe Generale S.A.		212,680			(212,680	)		—			—
UBS AG		386,856			(386,856	)		—			—
ProShares UltraShort Silver
Deutsche Bank AG		2,500,263			—			(2,500,000	)		263
Goldman Sachs International		1,044,986			(858,460	)		—			186,526
Societe Generale S.A.		438,975			(438,975	)		—			—
UBS AG		794,055			(582,692	)		—			211,363
ProShares UltraShort Euro
Goldman Sachs International		(14,992,024	)		14,992,024			—			—
UBS AG		(13,718,312	)		13,718,312			—			—
ProShares UltraShort Yen
Goldman Sachs International		(6,470,405	)		6,470,405			—			—
UBS AG		(7,425,047	)		7,425,047			—			—
ProShares Ultra Bloomberg Commodity
Citibank N.A.		32,372			—			—			32,372
Deutsche Bank AG		(82,976	)		82,976			—			—

125


	Amounts of
	Recognized
	Assets /
	(Liabilities)			Financial
	presented in the			Instruments for			Cash Collateral
	Statements of			the Benefit of			for the Benefit of
	Financial			(the Funds) / the			(the Funds) / the
	Condition			Counterparties			Counterparties		Net Amount
Goldman Sachs International		(60,830	)		60,830			—		—
UBS AG		(72,482	)		72,482			—		—
ProShares Ultra Bloomberg Crude Oil
Citibank N.A.		(2,509,989	)		2,509,989			—		—
Deutsche Bank AG		(20,221,872	)		20,221,872			—		—
Goldman Sachs International		(20,806,119	)		20,806,119			—		—
Societe Generale S.A.		(6,357,459	)		6,357,459			—		—
UBS AG		(22,281,150	)		22,281,150			—		—
ProShares Ultra Gold
Citibank N.A.		(4,614	)		—			—		(4,614	)
Deutsche Bank AG		(1,049,383	)		1,049,383			—		—
Goldman Sachs International		(520,730	)		520,730			—		—
Societe Generale S.A.		(244,992	)		244,992			—		—
UBS AG		(430,876	)		430,876			—		—
ProShares Ultra Silver
Deutsche Bank AG		(9,355,945	)		9,355,945			—		—
Goldman Sachs International		(5,106,853	)		5,106,853			—		—
Societe Generale S.A.		(2,704,459	)		2,704,459			—		—
UBS AG		(5,393,844	)		5,393,844			—		—
ProShares Ultra Euro
Goldman Sachs International		315,354			(315,354	)		—		—
UBS AG		289,566			(289,566	)		—		—
ProShares Ultra Yen
Goldman Sachs International		169,787			—			—		169,787
UBS AG		91,524			—			—		91,524

NOTE 4 – AGREEMENTS

Management Fee

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

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

Non-Recurring Fees and Expenses

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

126

The Administrator

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

The Custodian

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

The Distributor

SEI Investments Distribution Co. (“SEI”), serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI. The Sponsor pays SEI for performing its duties on behalf of the Funds.

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor will not charge its Management Fee in the first year of operations of a Fund in an amount equal to the offering costs. Normal and expected expenses incurred in connection with the continuous offering of Shares of a Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements—such as references to the Transaction Fees imposed on purchases and redemptions—is not relevant to retail investors.

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.

127

Authorized Participants may pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co., as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% (and a variable transaction fee to the Matching VIX Funds of 0.05%) of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

Transaction fees for the three months ended March 31, 2016, which are included in the Addition and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:


	Three Months Ended
Fund	March 31, 2016
VIX Short-Term Futures ETF	$	47,405
VIX Mid-Term Futures ETF		4,317
Short VIX Short-Term Futures ETF		156,233
Ultra VIX Short-Term Futures ETF		543,008
UltraShort Bloomberg Commodity		—
UltraShort Bloomberg Crude Oil		174,892
UltraShort Bloomberg Natural Gas		2,655
UltraShort Gold		12,054
UltraShort Silver		16,729
Short Euro		—
UltraShort Australian Dollar		—
UltraShort Euro		—
UltraShort Yen		—
Ultra Bloomberg Commodity		273
Ultra Bloomberg Crude Oil		152,394
Ultra Bloomberg Natural Gas		1,756
Ultra Gold		2,032
Ultra Silver		8,914
Ultra Euro		—
Ultra Yen		—

Total Trust	$	1,122,662

128

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended March 31, 2016:

For the Three Months Ended March 31, 2016 (unaudited)


							Short VIX			Ultra VIX			UltraShort			UltraShort
Per Share Operating	VIX Short-Term			VIX Mid-Term			Short-Term			Short-Term			Bloomberg			Bloomberg
Performance	Futures ETF			Futures ETF			Futures ETF			Futures ETF			Commodity			Crude Oil
Net asset value, at December 31, 2015	$	13.2422		$	53.9626		$	50.8150		$	28.0841		$	141.9077		$	133.2019
Net investment income (loss)		(0.0332	)		(0.1114	)		(0.1045	)		(0.1007	)		(0.2821	)		(0.3317	)
Net realized and unrealized gain (loss)#		(1.5762	)		(1.1293	)		(0.0774	)		(8.7302	)		(4.0228	)		(3.0821	)
Change in net asset value from operations		(1.6094	)		(1.2407	)		(0.1819	)		(8.8309	)		(4.3049	)		(3.4138	)
Net asset value, at March 31, 2016	$	11.6328		$	52.7219		$	50.6331		$	19.2532		$	137.6028		$	129.7881
Market value per share, at December 31, 2015†	$	13.33		$	53.99		$	50.45		$	28.35		$	140.41		$	133.64
Market value per share, at March 31, 2016†	$	11.68		$	52.87		$	50.53		$	19.33		$	134.26		$	130.94
Total Return, at net asset value		(12.2	)%		(2.3	)%		(0.4	)%		(31.4	)%		(3.0	)%		(2.6	)%
Total Return, at market value		(12.4	)%		(2.1	)%		0.2	%		(31.8	)%		(4.4	)%		(2.0	)%
Ratios to Average Net Assets
Expense ratio		(1.06	)%		(0.93	)%		(1.28	)%		(1.53	)%		(0.95	)%		(1.10	)%
Expense ratio, excluding brokerage commissions		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.87	)%		(0.75	)%		(1.06	)%		(1.29	)%		(0.77	)%		(0.87	)%

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

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

129

For the three months Ended March 31, 2016 (unaudited)


	UltraShort												UltraShort
Per Share Operating	Bloomberg			UltraShort			UltraShort						Australian			UltraShort			UltraShort
Performance	Natural Gas			Gold			Silver			Short Euro			Dollar			Euro			Yen
Net asset value, at December 31, 2015	$	139.5941		$	115.8799		$	64.5783		$	43.7767		$	58.4582		$	25.5406		$	87.9389
Net investment income (loss)		(0.6593	)		(0.1751	)		(0.1034	)		(0.0882	)		(0.1287	)		(0.0442	)		(0.1633	)
Net realized and unrealized gain (loss)#		61.2549			(33.6297	)		(14.8384	)		(1.9898	)		(6.8204	)		(2.3017	)		(11.2617	)
Change in net asset value from operations		60.5956			(33.8048	)		(14.9418	)		(2.0780	)		(6.9491	)		(2.3459	)		(11.4250	)
Net asset value, at March 31, 2016	$	200.1897		$	82.0751		$	49.6365		$	41.6987		$	51.5091		$	23.1947		$	76.5139
Market value per share, at December 31, 2015†	$	139.66		$	115.83		$	64.55		$	43.74		$	58.15		$	25.53		$	87.89
Market value per share, at March 31, 2016†	$	197.78		$	83.03		$	49.42		$	41.66		$	51.65		$	23.19		$	76.50
Total Return, at net asset value		43.4	%		(29.2	)%		(23.1	)%		(4.7	)%		(11.9	)%		(9.2	)%		(13.0	)%
Total Return, at market value		41.6	%		(28.3	)%		(23.4	)%		(4.8	)%		(11.2	)%		(9.2	)%		(13.0	)%
Ratios to Average Net Assets
Expense ratio		(1.69	)%		(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)		(1.45	)%		(0.76	)%		(0.75	)%		(0.82	)%		(0.88	)%		(0.72	)%		(0.81	)%

#	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.

130

For the Three Months Ended March 31, 2016 (unaudited)


	Ultra			Ultra			Ultra
Per Share Operating	Bloomberg			Bloomberg			Bloomberg
Performance	Commodity			Crude Oil			Natural Gas			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen
Net asset value, at December 31, 2015	$	28.4279		$	12.5774		$	18.5698		$	29.7295		$	27.0638		$	15.5107		$	54.7527
Net investment income (loss)		(0.0567	)		(0.0173	)		(0.0389	)		(0.0664	)		(0.0577	)		(0.0303	)		(0.1111	)
Net realized and unrealized gain (loss)#		(0.0385	)		(3.5658	)		(7.7017	)		10.2171			5.7209			1.3839			7.3171
Change in net asset value from operations		(0.0952	)		(3.5831	)		(7.7406	)		10.1507			5.6632			1.3536			7.2060
Net asset value, at March 31, 2016	$	28.3327		$	8.9943		$	10.8292		$	39.8802		$	32.7270		$	16.8643		$	61.9587
Market value per share, at December 31, 2015†	$	28.07		$	12.54		$	18.48		$	29.73		$	27.08		$	15.51		$	54.70
Market value per share, at March 31, 2016†	$	29.78		$	8.91		$	10.88		$	39.69		$	32.82		$	16.87		$	61.98
Total Return, at net asset value		(0.3	)%		(28.5	)%		(41.7	)%		34.1	%		20.9	%		8.7	%		13.2	%
Total Return, at market value		6.1	%		(28.9	)%		(41.1	)%		33.5	%		21.2	%		8.8	%		13.3	%
Ratios to Average Net Assets
Expense ratio		(0.95	)%		(1.04	)%		(1.39	)%		(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)		(0.84	)%		(0.80	)%		(1.23	)%		(0.73	)%		(0.75	)%		(0.77	)%		(0.75	)%

#	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.

131

Selected data for a Share outstanding throughout the three months ended March 31, 2015:

For the Three Months Ended March 31, 2015 (unaudited)


							Short VIX			Ultra VIX Short-			UltraShort			UltraShort
Per Share Operating	VIX Short-Term			VIX Mid-Term			Short-Term			Term Futures			Bloomberg			Bloomberg
Performance	Futures ETF			Futures ETF			Futures ETF			ETF*			Commodity			Crude Oil
Net asset value, at December 31, 2014	$	20.9321		$	63.6020		$	61.4004		$	125.4591		$	87.7495		$	77.9790
Net investment income (loss)		(0.0467	)		(0.1452	)		(0.1987	)		(0.4056	)		(0.2053	)		(0.2022	)
Net realized and unrealized gain (loss)#		(3.8007	)		(2.0840	)		6.4726			(49.1045	)		9.4334			8.9543
Change in net asset value from operations		(3.8474	)		(2.2292	)		6.2739			(49.5101	)		9.2281			8.7521
Net asset value, at March 31, 2015	$	17.0847		$	61.3728		$	67.6743		$	75.9490		$	96.9776		$	86.7311
Market value per share, at December 31, 2014†	$	20.99		$	63.89		$	61.16		$	125.75		$	87.44		$	76.52
Market value per share, at March 31, 2015†	$	17.01		$	61.09		$	68.04		$	75.25		$	98.25		$	87.14
Total Return, at net asset value		(18.4	)%		(3.5	)%		10.2	%		(39.5	)%		10.5	%		11.2	%
Total Return, at market value		(19.0	)%		(4.4	)%		11.2	%		(40.2	)%		12.4	%		13.9	%
Ratios to Average Net Assets
Expense ratio		(0.99	)%		(0.97	)%		(1.39	)%		(1.68	)%		(0.95	)%		(1.02	)%
Expense ratio, excluding brokerage commissions		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.96	)%		(0.93	)%		(1.36	)%		(1.65	)%		(0.91	)%		(0.99	)%

*	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.

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For the three months Ended March 31, 2015 (unaudited)


	UltraShort												UltraShort
Per Share Operating	Bloomberg			UltraShort			UltraShort						Australian			UltraShort			UltraShort
Performance	Natural Gas			Gold			Silver*			Short Euro			Dollar			Euro			Yen
Net asset value, at December 31, 2014	$	83.9577		$	96.6516		$	57.8071		$	40.0617		$	51.3790		$	21.5946		$	89.3336
Net investment income (loss)		(0.2743	)		(0.2107	)		(0.1152	)		(0.0995	)		(0.1346	)		(0.0548	)		(0.1983	)
Net realized and unrealized gain (loss)#		3.8028			1.3794			(7.1050	)		4.8906			6.1975			5.4097			(0.1606	)
Change in net asset value from operations		3.5285			1.1687			(7.2202	)		4.7911			6.0629			5.3549			(0.3589	)
Net asset value, at March 31, 2015	$	87.4862		$	97.8203		$	50.5869		$	44.8528		$	57.4419		$	26.9495		$	88.9747
Market value per share, at December 31, 2014†	$	82.03		$	100.22		$	59.70		$	40.03		$	51.37		$	21.61		$	89.30
Market value per share, at March 31, 2015†	$	87.54		$	98.18		$	50.43		$	44.87		$	57.34		$	26.95		$	88.91
Total Return, at net asset value		4.2	%		1.2	%		(12.5	)%		12.0	%		11.8	%		24.8	%		(0.4	)%
Total Return, at market value		6.7	%		(2.0	)%		(15.5	)%		12.1	%		11.6	%		24.7	%		(0.4	)%
Ratios to Average Net Assets
Expense ratio		(1.43	)%		(0.95	)%		(0.95	)%		(0.97	)%		(1.02	)%		(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)		(1.39	)%		(0.91	)%		(0.90	)%		(0.94	)%		(1.00	)%		(0.90	)%		(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.

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For the three months Ended March 31, 2015 (unaudited)


	Ultra			Ultra			Ultra
Per Share Operating	Bloomberg			Bloomberg			Bloomberg
Performance	Commodity*			Crude Oil*			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)		(0.1104	)		(0.0920	)		(0.1548	)		(0.0903	)		(0.0938	)		(0.0375	)		(0.1283	)
Net realized and unrealized gain (loss)#		(6.3693	)		(16.5231	)		(15.8280	)		(1.5312	)		2.2087			(4.2942	)		(0.3478	)
Change in net asset value from operations		(6.4797	)		(16.6151	)		(15.9828	)		(1.6215	)		2.1149			(4.3317	)		(0.4761	)
Net asset value, at March 31, 2015	$	45.6545		$	34.1249		$	45.6663		$	38.3796		$	41.4806		$	15.5427		$	55.9986
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 March 31, 2015†	$	46.80		$	33.95		$	45.56		$	38.14		$	41.69		$	15.54		$	55.96
Total Return, at net asset value		(12.4	)%		(32.7	)%		(25.9	)%		(4.1	)%		5.4	%		(21.8	)%		(0.8	)%
Total Return, at market value		(9.0	)%		(34.5	)%		(27.8	)%		(0.7	)%		9.6	%		(21.5	)%		(0.9	)%
Ratios to Average Net Assets
Expense ratio		(0.95	)%		(0.99	)%		(1.17	)%		(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)		(0.91	)%		(0.95	)%		(1.14	)%		(0.90	)%		(0.90	)%		(0.92	)%		(0.92	)%

*	See Note 1 of these Notes to Financial Statements.

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

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

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NOTE 8 – RISK

Correlation and Compounding Risk

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

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

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

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

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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.

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The counterparty risk for cleared derivative transactions is generally lower than for uncleared OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members, will satisfy its obligations to the Fund.

Leverage Risk

The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions could result in the total loss of an investor’s investment.

For example, because the UltraShort Funds and Ultra Funds include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50% at any point in the day (for an UltraShort Fund or an UltraShort Fund) could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

“Contango” and “Backwardation” Risk

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

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

137

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

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

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Item 2.

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

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

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2016, the following twenty series of the Trust have commenced investment operations: (i) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”); (ii) ProShares Short VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iii) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); and (iv) ProShares Short Euro (the “Short Euro Fund”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q.

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

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 in the Commodity Exchange Act (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.

139

Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds”, “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

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

Each Geared Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share (“NAV”) to the time of the Fund’s next NAV calculation. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ from -1x, -2x or 2x of the return of the index to which such Fund is benchmarked for that period. In periods of higher market volatility, the volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds are riskier than similarly benchmarked exchange-traded funds that are not geared. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. The Geared VIX Funds do not seek to achieve their stated objective over a period greater than a single day. Each Matching VIX Fund seeks results (before fees and expenses), both over a single day and over time, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results (before fees and expenses) that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”).

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

Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares and each Matching VIX Fund continuously offers and redeems its Shares in blocks of 25,000 Shares (each such block a “Creation Unit”). Only Authorized Participants may purchase and redeem Shares from a Fund and then only in Creation Units. An Authorized Participant is an entity that has entered into an Authorized Participant Agreement with one or more of the Funds. Shares of the Funds are offered to Authorized Participants in Creation Units at each Fund’s respective NAV. Authorized Participants may then offer to the public, from time to time, Shares from any Creation Unit they create at a per-Share market price that varies depending on, among other factors, the trading price of the Shares of each Fund on the NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares

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from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the net assets of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements and each Fund’s trading in futures and forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three months ended March 31, 2016 and 2015 each of the Funds earned interest income as follows:


	Interest Income		Interest Income
	Three Months Ended		Three Months Ended
	March 31, 2016		March 31, 2015
ProShares VIX Short-Term Futures ETF	$	46,149	$	9,907
ProShares VIX Mid-Term Futures ETF		12,259		2,714
ProShares Short VIX Short-Term Futures ETF		317,712		29,929
ProShares Ultra VIX Short-Term Futures ETF		298,805		32,459
ProShares UltraShort Bloomberg Commodity		3,900		528
ProShares UltraShort Bloomberg Crude Oil		89,112		20,512
ProShares UltraShort Bloomberg Natural Gas		9,568		985
ProShares UltraShort Gold		29,189		8,196
ProShares UltraShort Silver		19,684		6,143
ProShares Short Euro		6,138		1,380
ProShares UltraShort Australian Dollar		7,785		1,107
ProShares UltraShort Euro		261,439		67,590
ProShares UltraShort Yen		68,348		45,048
ProShares Ultra Bloomberg Commodity		1,500		254
ProShares Ultra Bloomberg Crude Oil		451,064		76,242
ProShares Ultra Bloomberg Natural Gas		11,732		5,642
ProShares Ultra Gold		46,386		12,738
ProShares Ultra Silver		121,610		38,246
ProShares Ultra Euro		4,963		534
ProShares Ultra Yen		2,894		291

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.

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

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

Market Risk

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

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

Credit Risk

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

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

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.

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The Sponsor attempts to minimize certain of these market and credit risks by normally:

•

executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

•

limiting the outstanding amounts due from counterparties to the Funds;

•

not posting margin directly with a counterparty;

•

requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;

•

limiting the amount of margin or premium posted at a futures commission merchant (“FCM”); and

•

ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.

Off-Balance Sheet Arrangements and Contractual Obligations

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

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

Critical Accounting Policies

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

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

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

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

For financial reporting purposes, the Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Funds’ final creation/redemption NAV for the three months ended March 31, 2016.

143

last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. If there was no sale on that day, and for non-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or commodity and would be based on principles that the Sponsor deems fair and equitable so long as such principles are consistent with normal industry standards. When market closing prices are not available, the Sponsor may fair value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.

Fair value pricing may require subjective determinations about the value of an investment. While each Leveraged and VIX Fund’s policy is intended to result in a calculation of the Leveraged or the VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, the Leveraged and the VIX Funds cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Leveraged or the VIX Fund could obtain for an investment if it were to dispose of that investment as of the time of pricing (for instance, in a forced or distressed sale).

The prices used by the Leveraged or the VIX Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. See Note 2 in Item 1 of this Quarterly Report on Form 10-Q for further information.

Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. Through July 30, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

Results of Operations for the Three Months Ended March 31, 2016 Compared to the Three Months Ended March 31, 2015

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	105,272,823		$	111,459,325
NAV end of period	$	159,076,994		$	149,487,509
Percentage change in NAV		51.1	%		34.1	%
Shares outstanding beginning of period		7,949,812			5,324,812
Shares outstanding end of period		13,674,811			8,749,812
Percentage change in shares outstanding		72.0	%		64.3	%
Shares created		8,575,000			4,575,000
Shares redeemed		2,850,001			1,150,000

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	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Per share NAV beginning of period	$	13.24		$	20.93
Per share NAV end of period	$	11.63		$	17.08
Percentage change in per share NAV		(12.2	)%		(18.4	)%
Percentage change in benchmark		(11.7	)%		(18.2	)%
Benchmark annualized volatility		72.0	%		64.4	%

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted from an increase from 7,949,812 outstanding Shares at December 31, 2015 to 13,674,811 outstanding Shares at March 31, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 5,324,812 outstanding Shares at December 31, 2014 to 8,749,812 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.2% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 18.4% for the three months ended March 31, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $19.59 per Share and reached its low for the period on March 30, 2016 at $11.56 per Share. By comparison, during the three months ended March 31, 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 March 30, 2015 at $16.61 per Share.

The benchmark’s decline of 11.7% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 18.2% for the three months ended March 31, 2015, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2016.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(221,289	)	$	(274,472	)
Management fee		215,103			243,400
Brokerage commission		52,335			40,979
Net realized gain (loss)		7,703,607			(8,976,176	)
Change in net unrealized appreciation/depreciation		(16,289,777	)		(11,371,875	)
Net income (loss)	$	(8,807,459	)	$	(20,622,523	)

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2016.

145

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	27,650,638		$	21,459,575
NAV end of period	$	29,650,967		$	28,379,030
Percentage change in NAV		7.2	%		32.2	%
Shares outstanding beginning of period		512,404			337,404
Shares outstanding end of period		562,403			462,404
Percentage change in shares outstanding		9.8	%		37.0	%
Shares created		150,000			200,000
Shares redeemed		100,001			75,000
Per share NAV beginning of period	$	53.96		$	63.60
Per share NAV end of period	$	52.72		$	61.37
Percentage change in per share NAV		(2.3	)%		(3.5	)%
Percentage change in benchmark		(2.0	)%		(3.3	)%
Benchmark annualized volatility		39.7	%		34.5	%

During the three months ended March 31, 2016 and 2015, the increase in the Fund’s NAV resulted from an increase from 512,404 outstanding Shares at December 31, 2015 to 562,403 outstanding Shares at March 31, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 337,404 outstanding Shares at December 31, 2014 to 462,404 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.3% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 3.5% for the three months ended March 31, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $66.85 per Share and reached its low for the period on March 30, 2016 at $52.65 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 28, 2015 at $68.56 per Share and reached its low for the period on March 5, 2015 at $59.47 per Share.

The benchmark’s decline of 2.0% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 3.3% for the three months ended March 31, 2015, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended March 31, 2016.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(51,495	)	$	(63,559	)
Management fee		57,998			58,236
Brokerage commission		5,756			8,037
Net realized gain (loss)		2,594,509			127,909
Change in net unrealized appreciation/depreciation		(2,811,348	)		(761,622	)
Net income (loss)	$	(268,334	)	$	(697,272	)

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended March 31, 2016.

146

ProShares Short VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	642,811,361		$	506,556,124
NAV end of period	$	508,862,366		$	280,850,972
Percentage change in NAV		(20.8	)%		(44.6	)%
Shares outstanding beginning of period		12,650,040			8,250,040
Shares outstanding end of period		10,050,000			4,150,040
Percentage change in shares outstanding		(20.6	)%		(49.7	)%
Shares created		14,900,000			2,150,000
Shares redeemed		17,500,040			6,250,000
Per share NAV beginning of period	$	50.81		$	61.40
Per share NAV end of period	$	50.63		$	67.67
Percentage change in per share NAV		(0.4	)%		10.2	%
Percentage change in benchmark		(11.7	)%		(18.2	)%
Benchmark annualized volatility		72.0	%		64.4	%

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 12,650,040 outstanding Shares at December 31, 2015 to 10,050,000 outstanding Shares at March 31, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 8,250,040 outstanding Shares at December 31, 2014 to 4,150,040 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.4% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 10.2% for the three months ended March 31, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on March 30, 2016 at $50.96 per Share and reached its low for the period on February 11, 2016 at $31.50 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 30, 2015 at $69.69 per Share and reached its low for the period on January 30, 2015 at $50.15 per Share.

The benchmark’s decline of 11.7% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 18.2% for the three months ended March 31, 2015, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX Futures curve during the three months ended March 31, 2016.

147

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(1,554,854	)	$	(1,492,492	)
Management fee		1,391,819			1,039,580
Brokerage commission		480,747			482,841
Net realized gain (loss)		(92,210,387	)		23,834,554
Change in net unrealized appreciation/depreciation		54,047,449			23,344,651
Net income (loss)	$	(39,717,792	)	$	45,686,713

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2016.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	547,708,740		$	351,789,953
NAV end of period	$	892,431,755		$	693,720,084
Percentage change in NAV		62.9	%		97.2	%
Shares outstanding beginning of period		19,502,448			2,804,020
Shares outstanding end of period		46,352,448			9,134,020
Percentage change in shares outstanding		137.7	%		225.7	%
Shares created		47,700,000			9,630,000
Shares redeemed		20,850,000			3,300,000
Per share NAV beginning of period	$	28.08		$	125.46
Per share NAV end of period	$	19.25		$	75.95
Percentage change in per share NAV		(31.4	)%		(39.5	)%
Percentage change in benchmark		(11.7	)%		(18.2	)%
Benchmark annualized volatility		72.0	%		64.4	%

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted from an increase from 19,502,448 outstanding Shares at December 31, 2015 to 46,352,448 outstanding Shares at March 31, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 2,804,020 outstanding Shares at December 31, 2014 to 9,134,020 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 31.4% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 39.5% for the three months ended March 31, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016 and 2015, the Fund’s per Share NAV reached its high for the period on February 11, 2016 at $57.15 per Share and reached its low for the period on March 30, 2016 at $19.01 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $164.30 per Share and reached its low for the period on March 30, 2015 at $71.80 per Share.

148

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(1,649,007	)	$	(2,049,613	)
Management fee		1,211,901			1,178,762
Brokerage commission		735,911			903,310
Net realized gain (loss)		11,178,650			(135,089,154	)
Change in net unrealized appreciation/depreciation		(223,205,102	)		(88,510,934	)
Net income (loss)	$	(213,675,459	)	$	(225,649,701	)

*	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 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 March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	8,514,039		$	5,264,706
NAV end of period	$	8,255,478		$	5,818,363
Percentage change in NAV		(3.0	)%		10.5	%
Shares outstanding beginning of period		59,997			59,997
Shares outstanding end of period		59,995			59,997
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		2			—
Per share NAV beginning of period	$	141.91		$	87.75
Per share NAV end of period	$	137.60		$	96.98
Percentage change in per share NAV		(3.0	)%		10.5	%
Percentage change in benchmark		0.3	%		(5.9	)%
Benchmark annualized volatility		16.9	%		16.2	%

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 59,997 outstanding Shares at December 31, 2015 to 59,995 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 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 March 31, 2015.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.0% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 10.5% for the three months ended March 31, 2015, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

149

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $164.22 per Share and reached its low for the period on March 17, 2016 at $129.64 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 17, 2015 at $99.65 per Share and reached its low for the period on February 13, 2015 at $86.25 per Share.

The benchmark’s rise of 0.3% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 5.9% for the three months ended March 31, 2015, can be attributed to appreciation of the underlying components of the index during the three months ended March 31, 2016.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(16,925	)	$	(12,318	)
Management fee		20,825			12,846
Net realized gain (loss)		(127,591	)		856,549
Change in net unrealized appreciation/depreciation		(113,724	)		(290,574	)
Net income (loss)	$	(258,240	)	$	553,657

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the Fund’s benchmark index during the three months ended March 31, 2016.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	95,897,894		$	169,210,110
NAV end of period	$	223,228,004		$	370,337,005
Percentage change in NAV		132.8	%		118.9	%
Shares outstanding beginning of period		719,944			2,169,944
Shares outstanding end of period		1,719,942			4,269,944
Percentage change in shares outstanding		138.9	%		96.8	%
Shares created		2,700,000			4,600,000
Shares redeemed		1,700,002			2,500,000
Per share NAV beginning of period	$	133.20		$	77.98
Per share NAV end of period	$	129.79		$	86.73
Percentage change in per share NAV		(2.6	)%		11.2	%
Percentage change in benchmark		(11.6	)%		(14.9	)%
Benchmark annualized volatility		60.8	%		54.4	%

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted from an increase from 719,944 outstanding Shares at December 31, 2015 to 1,719,942 outstanding Shares at March 31, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 2,169,944 outstanding Shares at December 31, 2014 to 4,269,944 outstanding Shares at March 31, 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 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

150

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 2.6% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 11.2% for the three months ended March 31, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on January 20, 2016 at $232.22 per Share and reached its low for the period on March 17, 2016 at $110.84 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 28, 2015 at $106.79 per Share and reached its low for the period on February 17, 2015 at $67.86 per Share.

The benchmark’s decline of 11.6% for the three months ended March 31, 2016, as compared to the decline of 14.9% for the three months ended March 31, 2015, can be attributed to a lesser decrease in the price of WTI Crude Oil during the three months ended March 31, 2016.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(337,002	)	$	(627,608	)
Management fee		368,250			603,835
Brokerage commission		57,864			44,285
Net realized gain (loss)		22,306,952			44,657,756
Change in net unrealized appreciation/depreciation		(16,737,146	)		1,432,787
Net income (loss)	$	5,232,804		$	45,462,935

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a lesser decrease in the price of WTI Crude Oil during the three months ended March 31, 2016.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	10,462,856		$	14,688,564
NAV end of period	$	4,993,531		$	10,931,570
Percentage change in NAV		(52.3	)%		(25.6	)%
Shares outstanding beginning of period		74,952			174,952
Shares outstanding end of period		24,944			124,952
Percentage change in shares outstanding		(66.7	)%		(28.6	)%
Shares created		50,000			150,000
Shares redeemed		100,008			200,000
Per share NAV beginning of period	$	139.59		$	83.96
Per share NAV end of period	$	200.19		$	87.49
Percentage change in per share NAV		43.4	%		4.2	%
Percentage change in benchmark		(21.8	)%		(11.0	)%
Benchmark annualized volatility		41.6	%		51.0	%

151

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted from a decrease from 74,952 outstanding Shares at December 31, 2015 to 24,944 outstanding Shares at March 31, 2016. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM. By comparison, during the three months ended March 31, 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 March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 43.4% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 4.2% for the three months ended March 31, 2015, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on March 3, 2016 at $252.60 per Share and reached its low for the period on January 8, 2016 at $126.15 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on February 6, 2015 at $93.69 per Share and reached its low for the period on January 14, 2015 at $64.60 per Share.

The benchmark’s decline of 21.8% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 11.0% for the three months ended March 31, 2015, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the three months ended March 31, 2016.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(56,298	)	$	(41,587	)
Management fee		36,919			28,373
Brokerage commission		28,947			14,199
Net realized gain (loss)		4,115,459			5,179,716
Change in net unrealized appreciation/depreciation		2,104,875			(3,081,900	)
Net income (loss)	$	6,164,036		$	2,056,229

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a greater decrease in the price of Henry Hub Natural Gas during the three months ended March 31, 2016.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	74,971,764		$	81,861,762
NAV end of period	$	69,515,807		$	77,960,614
Percentage change in NAV		(7.3	)%		(4.8	)%
Shares outstanding beginning of period		646,978			846,978
Shares outstanding end of period		846,978			796,978

152


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Percentage change in shares outstanding		30.9	%		(5.9	)%
Shares created		600,000			100,000
Shares redeemed		400,000			150,000
Per share NAV beginning of period	$	115.88		$	96.65
Per share NAV end of period	$	82.08		$	97.82
Percentage change in per share NAV		(29.2	)%		1.2	%
Percentage change in benchmark		16.7	%		(1.6	)%
Benchmark annualized volatility		21.1	%		14.9	%

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The decrease in the Fund’s NAV was offset by an increase from 646,978 outstanding Shares at December 31, 2015 to 846,978 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 846,978 outstanding Shares at December 31, 2014 to 796,978 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 29.2% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 1.2% for the three months ended March 31, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $112.07 per Share and reached its low for the period on March 4, 2016 at $77.66 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 18, 2015 at $104.99 per Share and reached its low for the period on January 22, 2015 at $83.07 per Share.

The benchmark’s rise of 16.7% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 1.6% for the three months ended March 31, 2015, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the three months ended March 31, 2016.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(116,940	)	$	(185,696	)
Management fee		146,112			193,876
Brokerage commission		17			16
Net realized gain (loss)		(19,413,156	)		1,917,930
Change in net unrealized appreciation/depreciation		(68,067	)		697,941
Net income (loss)	$	(19,598,163	)	$	2,430,175

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the three months ended March 31, 2016.

153

ProShares UltraShort Silver*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	55,987,938		$	53,007,867
NAV end of period	$	50,479,106		$	56,504,499
Percentage change in NAV		(9.8	)%		6.6	%
Shares outstanding beginning of period		866,976			916,978
Shares outstanding end of period		1,016,976			1,116,978
Percentage change in shares outstanding		17.3	%		21.8	%
Shares created		750,000			500,000
Shares redeemed		600,002			300,000
Per share NAV beginning of period	$	64.58		$	57.81
Per share NAV end of period	$	49.64		$	50.59
Percentage change in per share NAV		(23.1	)%		(12.5	)%
Percentage change in benchmark		11.3	%		3.9	%
Benchmark annualized volatility		26.1	%		27.5	%

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price. The decrease in the Fund’s NAV was offset by an increase from 866,976 outstanding Shares at December 31, 2015 to 1,016,976 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 916,978 outstanding Shares at December 31, 2014 to 1,116,978 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 23.1% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 12.5% for the three months ended March 31, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on January 28, 2016 at $66.01 per Share and reached its low for the period on March 18, 2016 at $46.41 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 2, 2015 at $59.69 per Share and reached its low for the period on January 23, 2015 at $43.40 per Share.

The benchmark’s rise of 11.3% for the three months ended March 31, 2016, as compared to the benchmark’s rise of 3.9% for the three months ended March 31, 2015, can be attributed to a greater increase in the price of spot silver in U.S. dollar terms during the three months ended March 31, 2016.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(75,735	)	$	(118,220	)
Management fee		95,411			124,355
Brokerage commission		8			8
Net realized gain (loss)		(5,351,465	)		(1,361,863	)
Change in net unrealized appreciation/depreciation		(4,228,328	)		(4,329,334	)
Net income (loss)	$	(9,655,528	)	$	(5,809,417	)

154

The Fund’s net income decrease for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a greater increase in the price of spot silver in U.S. dollar terms during the three months ended March 31, 2016.

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

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	17,510,898		$	14,021,804
NAV end of period	$	14,594,528		$	20,184,003
Percentage change in NAV		(16.7	)%		43.9	%
Shares outstanding beginning of period		400,005			350,005
Shares outstanding end of period		350,000			450,005
Percentage change in shares outstanding		(12.5	)%		28.6	%
Shares created		—			100,000
Shares redeemed		50,005			—
Per share NAV beginning of period	$	43.78		$	40.06
Per share NAV end of period	$	41.70		$	44.85
Percentage change in per share NAV		(4.8	)%		12.0	%
Percentage change in benchmark		4.7	%		(11.2	)%
Benchmark annualized volatility		9.5	%		13.6	%

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,005 outstanding Shares at December 31, 2015 to 350,000 outstanding Shares at March 31, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 350,005 outstanding Shares at December 31, 2014 to 450,005 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.8% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 12.0% for the three months ended March 31, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $44.25 per Share and reached its low for the period on March 31, 2016 at $41.70 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $46.07 per Share and reached its low for the period on January 2, 2015 at $40.37 per Share.

The benchmark’s rise of 4.7% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 11.2% for the three months ended March 31, 2015, can be attributed to a rise in the value of the euro versus the U.S. dollar during the three months ended March 31, 2016.

155

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(35,145	)	$	(38,347	)
Management fee		40,533			38,859
Brokerage commission		750			868
Net realized gain (loss)		(54,161	)		2,057,094
Change in net unrealized appreciation/depreciation		(707,033	)		(275,379	)
Net income (loss)	$	(796,339	)	$	1,743,368

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended March 31, 2016.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	20,460,679		$	23,120,790
NAV end of period	$	18,028,199		$	20,104,935
Percentage change in NAV		(11.9	)%		(13.0	)%
Shares outstanding beginning of period		350,005			450,005
Shares outstanding end of period		350,000			350,005
Percentage change in shares outstanding		0.0	%		(22.2	)%
Shares created		—			50,000
Shares redeemed		5			150,000
Per share NAV beginning of period	$	58.46		$	51.38
Per share NAV end of period	$	51.51		$	57.44
Percentage change in per share NAV		(11.9	)%		11.8	%
Percentage change in benchmark		5.2	%		(6.7	)%
Benchmark annualized volatility		13.2	%		13.0	%

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

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 11.9% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 11.8% for the three months ended March 31, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on January 15, 2016 at $65.74 per Share and reached its low for the period on March 31, 2016 at $51.51 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 11, 2015 at $58.71 per Share and reached its low for the period on January 16, 2015 at $50.32 per Share.

156

The benchmark’s rise of 5.2% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 6.7% for the three months ended March 31, 2015, can be attributed to a rise in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2016.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(45,029	)	$	(55,714	)
Management fee		48,844			52,824
Brokerage commission		3,970			3,997
Net realized gain (loss)		(1,688,439	)		2,979,889
Change in net unrealized appreciation/depreciation		(698,698	)		(323,522	)
Net income (loss)	$	(2,432,166	)	$	2,600,653

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the value of the Australian dollar versus the U.S. dollar during the three months ended March 31, 2016.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	522,306,518		$	517,191,349
NAV end of period	$	398,948,519		$	619,839,556
Percentage change in NAV		(23.6	)%		19.8	%
Shares outstanding beginning of period		20,450,014			23,950,014
Shares outstanding end of period		17,200,000			23,000,014
Percentage change in shares outstanding		(15.9	)%		(4.0	)%
Shares created		250,000			5,500,000
Shares redeemed		3,500,014			6,450,000
Per share NAV beginning of period	$	25.54		$	21.59
Per share NAV end of period	$	23.19		$	26.95
Percentage change in per share NAV		(9.2	)%		24.8	%
Percentage change in benchmark		4.7	%		(11.2	)%
Benchmark annualized volatility		9.5	%		13.6	%

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 20,450,014 outstanding Shares at December 31, 2015 to 17,200,000 outstanding Shares at March 31, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended March 31, 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 23,000,014 outstanding Shares at March 31, 2015.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 9.2% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 24.8% for the three months ended March 31, 2015, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

157

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on January 5, 2016 at $26.09 per Share and reached its low for the period on March 31, 2016 at $23.19 per Share. By comparison, during the three months ended March 31, 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.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(804,953	)	$	(1,189,555	)
Management fee		1,066,392			1,257,145
Net realized gain (loss)		(28,922,044	)		107,528,339
Change in net unrealized appreciation/depreciation		(12,109,124	)		6,631,469
Net income (loss)	$	(41,836,121	)	$	112,970,253

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	237,372,900		$	531,471,873
NAV end of period	$	175,927,655		$	440,362,007
Percentage change in NAV		(25.9	)%		(17.1	)%
Shares outstanding beginning of period		2,699,294			5,949,294
Shares outstanding end of period		2,299,290			4,949,294
Percentage change in shares outstanding		(14.8	)%		(16.8	)%
Shares created		50,000			650,000
Shares redeemed		450,004			1,650,000
Per share NAV beginning of period	$	87.94		$	89.33
Per share NAV end of period	$	76.51		$	88.97
Percentage change in per share NAV		(13.0	)%		(0.4	)%
Percentage change in benchmark		6.8	%		(0.1	)%
Benchmark annualized volatility		10.7	%		8.6	%

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted primarily from decrease from 2,699,294 outstanding Shares at December 31, 2015 to 2,299,290 outstanding Shares at March 31, 2016. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,949,294 outstanding Shares at December 31, 2014 to 4,949,294 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

158

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.0% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 0.4% for the three months ended March 31, 2015, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on January 29, 2016 at $88.99 per Share and reached its low for the period on March 17, 2016 at $74.93 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on March 13, 2015 at $91.29 per Share and reached its low for the period on January 15, 2015 at $84.11 per Share.

The benchmark’s rise of 6.8% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 0.1% for the three months ended March 31, 2015, can be attributed to a rise in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2016.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(400,797	)	$	(1,116,544	)
Management fee		469,145			1,161,592
Net realized gain (loss)		(37,622,811	)		(5,105,291	)
Change in net unrealized appreciation/depreciation		8,945,356			2,237,926
Net income (loss)	$	(29,078,252	)	$	(3,983,909	)

The Fund’s net income decreased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2016.

ProShares Ultra Bloomberg Commodity*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	7,105,984		$	2,606,920
NAV end of period	$	5,665,434		$	2,282,908
Percentage change in NAV		(20.3	)%		(12.4	)%
Shares outstanding beginning of period		249,965			50,004
Shares outstanding end of period		199,961			50,004
Percentage change in shares outstanding		(20.0	)%		0.0	%
Shares created		—			—
Shares redeemed		50,004			—
Per share NAV beginning of period	$	28.43		$	52.13
Per share NAV end of period	$	28.33		$	45.65
Percentage change in per share NAV		(0.4	)%		(12.4	)%
Percentage change in benchmark		0.3	%		(5.9	)%
Benchmark annualized volatility		16.9	%		16.2	%

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted primarily from a decrease from 249,965 outstanding Shares at December 31, 2015 to 199,961 outstanding Shares at March 31, 2016. The decrease in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results

159

(before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. By comparison, during the three months ended March 31, 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 Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2014 to March 31, 2015.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.4% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 12.4% for the three months ended March 31, 2015, was due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on March 17, 2016 at $30.15 per Share and reached its low for the period on January 20, 2016 at $24.42 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on February 13, 2015 at $51.96 per Share and reached its low for the period on March 17, 2015 at $44.64 per Share.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(11,938	)	$	(5,519	)
Management fee		13,438			5,773
Net realized gain (loss)		(290,262	)		(520,445	)
Change in net unrealized appreciation/depreciation		107,354			201,952
Net income (loss)	$	(194,846	)	$	(324,012	)

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the Fund’s benchmark index during the three months ended March 31, 2016.

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

ProShares Ultra Bloomberg Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	783,922,475		$	450,562,988
NAV end of period	$	807,934,402		$	1,004,631,028
Percentage change in NAV		3.1	%		123.0	%
Shares outstanding beginning of period		62,327,867			8,879,834
Shares outstanding end of period		89,827,866			29,439,834
Percentage change in shares outstanding		44.1	%		231.5	%
Shares created		53,400,000			27,250,000
Shares redeemed		25,900,001			6,690,000
Per share NAV beginning of period	$	12.58		$	50.74
Per share NAV end of period	$	8.99		$	34.12
Percentage change in per share NAV		(28.5	)%		(32.8	)%

160


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Percentage change in benchmark		(11.6	)%		(14.9	)%
Benchmark annualized volatility		60.8	%		54.4	%

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted primarily from an increase from 62,327,867 outstanding Shares at December 31, 2015 to 89,827,866 outstanding Shares at March 31, 2016. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 8,879,834 outstanding Shares at December 31, 2014 to 29,439,834 outstanding Shares at March 31, 2015. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 28.5% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 32.8% for the three months ended March 31, 2015, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on January 4, 2016 at $12.43 per Share and reached its low for the period on February 11, 2016 at $6.01 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 2, 2015 at $49.60 per Share and reached its low for the period on March 17, 2015 at $31.05 per Share.

The benchmark’s decline of 11.6% for the three months ended March 31, 2016, as compared to the benchmark’s decline of 14.9% for the three months ended March 31, 2015, can be attributed to a lesser decrease in the price of WTI Crude Oil during the three months ended March 31, 2016.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(1,525,927	)	$	(1,844,712	)
Management fee		1,812,678			1,843,701
Brokerage commission		164,313			77,253
Net realized gain (loss)		(253,364,659	)		(173,638,923	)
Change in net unrealized appreciation/depreciation		95,262,555			(19,680,648	)
Net income (loss)	$	(159,628,031	)	$	(195,164,283	)

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a lesser decrease in the price of WTI Crude Oil during the three months ended March 31, 2016.

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

161

ProShares Ultra Bloomberg Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	38,851,184		$	70,433,207
NAV end of period	$	28,612,516		$	61,306,293
Percentage change in NAV		(26.4	)%		(13.0	)%
Shares outstanding beginning of period		2,092,170			1,142,485
Shares outstanding end of period		2,642,169			1,342,485
Percentage change in shares outstanding		26.3	%		17.5	%
Shares created		1,100,000			512,500
Shares redeemed		550,001			312,500
Per share NAV beginning of period	$	18.57		$	61.65
Per share NAV end of period	$	10.83		$	45.67
Percentage change in per share NAV		(41.7	)%		(25.9	)%
Percentage change in benchmark		(21.8	)%		(11.0	)%
Benchmark annualized volatility		41.6	%		51.0	%

During the three months ended March 31, 2016, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 2,092,170 outstanding Shares at December 31, 2015 to 2,642,169 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 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 1,342,485 outstanding Shares at March 31, 2015.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 41.7% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 25.9% for the three months ended March 31, 2015, was due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on January 8, 2016 at $20.23 per Share and reached its low for the period on March 3, 2016 at $8.89 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 14, 2015 at $74.32 per Share and reached its low for the period on March 27, 2015 at $45.64 per Share.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(88,761	)	$	(206,884	)
Management fee		68,744			172,808
Brokerage commission		31,749			39,718
Net realized gain (loss)		(5,858,719	)		(45,832,509	)
Change in net unrealized appreciation/depreciation		(7,194,946	)		27,450,969
Net income (loss)	$	(13,142,426	)	$	(18,588,424	)

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a decrease in the price of Henry Hub Natural Gas and significantly lower Net Asset Value during the three months ended March 31, 2016, as compared to the three months ended March 31, 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.

162

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	69,864,815		$	102,003,345
NAV end of period	$	91,724,555		$	95,949,460
Percentage change in NAV		31.3	%		(5.9	)%
Shares outstanding beginning of period		2,350,014			2,550,014
Shares outstanding end of period		2,300,000			2,500,014
Percentage change in shares outstanding		(2.1	)%		(2.0	)%
Shares created		100,000			50,000
Shares redeemed		150,014			100,000
Per share NAV beginning of period	$	29.73		$	40.00
Per share NAV end of period	$	39.88		$	38.38
Percentage change in per share NAV		34.1	%		(4.1	)%
Percentage change in benchmark		16.7	%		(1.6	)%
Benchmark annualized volatility		21.1	%		14.9	%

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price. The increase in the Fund’s NAV was offset by a decrease from 2,350,014 outstanding Shares at December 31, 2015 to 2,300,000 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the decrease in the Fund’s NAV resulted from a decrease from 2,550,014 outstanding Shares at December 31, 2014 to 2,500,014 outstanding Shares at March 31, 2015. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. LBMA Gold Price.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 34.1% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 4.1% for the three months ended March 31, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on March 4, 2016 at $42.73 per Share and reached its low for the period on January 5, 2016 at $30.67 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 22, 2015 at $46.03 per Share and reached its low for the period on March 18, 2015 at $35.90 per Share.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(152,453	)	$	(227,743	)
Management fee		198,822			240,465

163


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Brokerage commission		17			16
Net realized gain (loss)		25,983,542			(2,985,848	)
Change in net unrealized appreciation/depreciation		(2,907,406	)		(388,373	)
Net income (loss)	$	22,923,683		$	(3,601,964	)

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to an increase in the price of spot gold in U.S. dollar terms during the three months ended March 31, 2016.

ProShares Ultra Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	216,416,642		$	291,169,743
NAV end of period	$	263,338,473		$	317,182,857
Percentage change in NAV		21.7	%		8.9	%
Shares outstanding beginning of period		7,996,533			7,396,533
Shares outstanding end of period		8,046,526			7,646,533
Percentage change in shares outstanding		0.6	%		3.4	%
Shares created		650,000			700,000
Shares redeemed		600,007			450,000
Per share NAV beginning of period	$	27.06		$	39.37
Per share NAV end of period	$	32.73		$	41.48
Percentage change in per share NAV		20.9	%		5.4	%
Percentage change in benchmark		11.3	%		3.9	%
Benchmark annualized volatility		26.1	%		27.5	%

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted primarily from an increase 7,996,533 outstanding Shares at December 31, 2015 to 8,046,526 outstanding Shares at March 31, 2016. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted primarily from an increase from 7,396,533 outstanding Shares at December 31, 2014 to 7,646,533 outstanding Shares at March 31, 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 2x of the daily performance of silver bullion as measured by the London Silver Price.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 20.9% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV increase of 5.4% for the three months ended March 31, 2015, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on March 18, 2016 at $35.24 per Share and reached its low for the period on January 28, 2016 at $25.96 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 23, 2015 at $50.86 per Share and reached its low for the period on March 18, 2015 at $36.18 per Share.

164

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(458,870	)	$	(699,839	)
Management fee		580,470			738,077
Brokerage commission		10			8
Net realized gain (loss)		34,113,864			(17,764,350	)
Change in net unrealized appreciation/depreciation		11,464,138			35,015,135
Net income (loss)	$	45,119,132		$	16,550,946

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a greater increase in the price of spot silver in U.S. dollar terms during the three months ended March 31, 2016.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	10,857,730		$	2,981,441
NAV end of period	$	10,961,778		$	14,765,776
Percentage change in NAV		1.0	%		395.3	%
Shares outstanding beginning of period		700,014			150,014
Shares outstanding end of period		650,000			950,014
Percentage change in shares outstanding		(7.1	)%		533.3	%
Shares created		—			800,000
Shares redeemed		50,014			—
Per share NAV beginning of period	$	15.51		$	19.87
Per share NAV end of period	$	16.86		$	15.54
Percentage change in per share NAV		8.7	%		(21.8	)%
Percentage change in benchmark		4.7	%		(11.2	)%
Benchmark annualized volatility		9.5	%		13.6	%

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 700,014 outstanding Shares at December 31, 2015 to 650,000 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 150,014 outstanding Shares at December 31, 2014 to 950,014 outstanding Shares at March 31, 2015. The increase of the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.7% for the three months ended March 31, 2016, as compared to Fund’s per Share NAV decrease of 21.8% for the three months ended March 31, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on March 31, 2016 at $16.86 per Share and reached its low for the period on January 5, 2016 at $15.17 per Share. By comparison, during the three months ended March 31, 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.

165

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(20,743	)	$	(15,698	)
Management fee		25,706			16,232
Net realized gain (loss)		504,600			(1,065,202	)
Change in net unrealized appreciation/depreciation		391,950			(675,335	)
Net income (loss)	$	875,807		$	(1,756,235	)

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the value of the euro versus the U.S. dollar during the three months ended March 31, 2016.

ProShares Ultra Yen*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2016 and 2015:


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
NAV beginning of period	$	5,473,848		$	2,118,028
NAV end of period	$	6,194,007		$	5,600,081
Percentage change in NAV		13.2	%		164.4	%
Shares outstanding beginning of period		99,974			37,504
Shares outstanding end of period		99,970			100,004
Percentage change in shares outstanding		0.0	%		166.6	%
Shares created		—			75,000
Shares redeemed		4			12,500
Per share NAV beginning of period	$	54.75		$	56.47
Per share NAV end of period	$	61.96		$	56.00
Percentage change in per share NAV		13.2	%		(0.8	)%
Percentage change in benchmark		6.8	%		(0.1	)%
Benchmark annualized volatility		10.7	%		8.6	%

During the three months ended March 31, 2016, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. The increase of the Fund’s NAV was offset by a decrease from 99,974 outstanding Shares at December 31, 2015 to 99,970 outstanding Shares at March 31, 2016. By comparison, during the three months ended March 31, 2015, the increase in the Fund’s NAV resulted from an increase from 37,504 outstanding Shares at December 31, 2014 to 100,004 outstanding Shares at March 31, 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.

166

For the three months ended March 31, 2016 and 2015, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.2% for the three months ended March 31, 2016, as compared to the Fund’s per Share NAV decrease of 0.8% for the three months ended March 31, 2015, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2016.

During the three months ended March 31, 2016, the Fund’s per Share NAV reached its high for the period on March 17, 2016 at $63.32 per Share and reached its low for the period on January 29, 2016 at $53.85 per Share. By comparison, during the three months ended March 31, 2015, the Fund’s per Share NAV reached its high for the period on January 15, 2015 at $59.84 per Share and reached its low for the period on March 13, 2015 at $54.72 per Share.

Net Income/Loss

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


	Three Months Ended			Three Months Ended
	March 31, 2016			March 31, 2015
Net investment income (loss)	$	(11,106	)	$	(9,090	)
Management fee		14,000			9,381
Net realized gain (loss)		832,221			(80,626	)
Change in net unrealized appreciation/depreciation		(100,757	)		(26,127	)
Net income (loss)	$	720,358		$	(115,843	)

The Fund’s net income increased for the three months ended March 31, 2016, as compared to the three months ended March 31, 2015, primarily due to a rise in the value of the Japanese yen versus the U.S. dollar during the three months ended March 31, 2016.

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Equity Market Volatility Sensitivity

Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. The following tables provide information about each of the VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes. As of March 31, 2016 and 2015, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of March 31, 2016 and 2015, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2016

Long or

Valuation

Contract

Notional Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

VIX Futures (CBOE)

Long

April 2016

5,157

15.93

1,000

82,125,225

VIX Futures (CBOE)

Long

May 2016

4,373

17.63

1,000

77,074,125

167

Futures Positions as of March 31, 2015

Long or

Valuation

Contract

Notional Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

VIX Futures (CBOE)

Long

April 2015

4,166

16.28

1,000

67,801,650

VIX Futures (CBOE)

Long

May 2015

4,594

17.83

1,000

81,888,050

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

ProShares VIX Mid-Term Futures ETF

As of March 31, 2016 and 2015, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2016


	Long or				Valuation		Contract		Notional Amount
Contract	Short	Expiration	Contracts		Price		Multiplier		at Value
VIX Futures (CBOE)	Long	July 2016		274	$	19.08		1,000	$	5,226,550
VIX Futures (CBOE)	Long	August 2016		506		19.28		1,000		9,753,150
VIX Futures (CBOE)	Long	September 2016		506		19.83		1,000		10,031,450
VIX Futures (CBOE)	Long	October 2016		231		20.08		1,000		4,637,325

Futures Positions as of March 31, 2015


	Long or				Valuation		Contract		Notional Amount
Contract	Short	Expiration	Contracts		Price		Multiplier		at Value
VIX Futures (CBOE)	Long	July 2015		235	$	18.68		1,000	$	4,388,625
VIX Futures (CBOE)	Long	August 2015		497		18.88		1,000		9,380,875
VIX Futures (CBOE)	Long	September 2015		497		19.18		1,000		9,529,975
VIX Futures (CBOE)	Long	October 2015		261		19.48		1,000		5,082,975

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

ProShares Short VIX Short-Term Futures ETF

As of March 31, 2016 and 2015, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2016 and 2015, which were sensitive to equity market volatility risk.

168

Futures Positions as of March 31, 2016


	Long or				Valuation		Contract		Notional Amount
Contract	Short	Expiration	Contracts		Price		Multiplier		at Value
VIX Futures (CBOE)	Short	April 2016		16,500	$	15.93		1,000	$	(262,762,500	)
VIX Futures (CBOE)	Short	May 2016		13,930		17.63		1,000		(245,516,250	)

Futures Positions as of March 31, 2015


	Long or				Valuation		Contract		Notional Amount
Contract	Short	Expiration	Contracts		Price		Multiplier		at Value
VIX Futures (CBOE)	Short	April 2015		7,729	$	16.28		1,000	$	(125,789,475	)
VIX Futures (CBOE)	Short	May 2015		8,675		17.83		1,000		(154,631,875	)

The March 31, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra VIX Short-Term Futures ETF

As of March 31, 2016 and 2015, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these VIX futures contracts as of March 31, 2016 and 2015, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2016

Long or

Valuation

Contract

Notional Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

VIX Futures (CBOE)

Long

April 2016

57,867

15.93

1,000

921,531,975

VIX Futures (CBOE)

Long

May 2016

49,020

17.63

1,000

863,977,500

Futures Positions as of March 31, 2015

Long or

Valuation

Contract

Notional Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

VIX Futures (CBOE)

Long

April 2015

38,547

16.28

1,000

627,352,425

VIX Futures (CBOE)

Long

May 2015

42,693

17.83

1,000

761,002,725

The March 31, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

169

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 March 31, 2016 and 2015, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort Bloomberg Commodity:

As of March 31, 2016 and 2015, the ProShares UltraShort Bloomberg Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s short swap positions as of March 31, 2016 and 2015, which were sensitive to commodity price risk.

Swap Agreements as of March 31, 2016


		Long or	Index		Notional Amount
Reference Index	Counterparty	Short	Close		at Value
Bloomberg Commodity Index	Citibank N.A.	Short	$	78.8272	$	(4,811,471	)
Bloomberg Commodity Index	Deutsche Bank AG	Short		78.8272		(4,180,637	)
Bloomberg Commodity Index	Goldman Sachs International	Short		78.8272		(5,228,697	)
Bloomberg Commodity Index	UBS AG	Short		78.8272		(2,282,668	)

Swap Agreements as of March 31, 2015

Long or

Index

Notional Amount

Reference Index

Counterparty

Short

Close

at Value

Bloomberg Commodity Index

Deutsche Bank AG

Short

98.1230

(4,602,773

)

Bloomberg Commodity Index

Goldman Sachs International

Short

98.1230

(4,537,347

)

Bloomberg Commodity Index

UBS AG

Short

98.1230

(2,475,856

)

The March 31, 2016 and 2015 short swap notional values are calculated by multiplying units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K, for additional information regarding performance for periods longer than a single day.

Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Bloomberg Crude Oil:

As of March 31, 2016 and 2015, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)		Short		May 2016		3,538	$	38.34		1,000	$	(135,646,920	)

170

Swap Agreements as of March 31, 2016


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Citibank N.A.	Short	$	70.0734	$	(98,080,126	)
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Short		70.0734		(17,672,671	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		70.0734		(94,336,118	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Short		70.0734		(7,342,178	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		70.0734		(93,281,947	)

Futures Positions as of March 31, 2015


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	May 2015		6,624	$	47.60		1,000	$	(315,302,400	)

Swap Agreements as of March 31, 2015


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Short	$	121.3015	$	(137,750,775	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		121.3015		(126,651,917	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Short		121.3015		(35,138,342	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		121.3015		(125,826,188	)

The March 31, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2016 and 2015 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Bloomberg Natural Gas:

As of March 31, 2016 and 2015, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)		Short		May 2016		510	$	1.96		10,000	$	(9,990,900	)

Futures Positions as of March 31, 2015


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)		Short		May 2015		828	$	2.64		10,000	$	(21,859,200	)

171

The March 31, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Gold:

As of March 31, 2016 and 2015, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

Long or

Valuation

Contract

Notional
Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Gold Futures (COMEX)

Short

June 2016

1,235.60

100

(247,120

)

Forward Agreements as of March 31, 2016


		Long or	Valuation		Notional Amount at
Reference Index	Counterparty	Short	Price		Value
0.995 Fine Troy Ounce Gold	Citibank N.A.	Short	$	1,237.11	$	(20,412,315	)
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short		1,237.18		(65,694,258	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,237.11		(27,585,079	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,237.12		(4,948,480	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,237.11		(20,103,038	)

Futures Positions as of March 31, 2015

Long or

Valuation

Contract

Notional
Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Gold Futures (COMEX)

Short

June 2015

1,183.20

100

(236,640

)

Forward Agreements as of March 31, 2015


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short	$	1,187.04	$	(75,851,856	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,187.03		(34,302,793	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,187.02		(15,549,962	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,187.03		(29,972,508	)

The March 31, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2016 and 2015 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

172

ProShares UltraShort Silver:

As of March 31, 2016 and 2015, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

Long or

Valuation

Contract

Notional Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Silver Futures (COMEX)

Short

May 2016

15.46

5,000

(154,640

)

Forward Agreements as of March 31, 2016


		Long or	Valuation		Notional Amount
Reference Index	Counterparty	Short	Price		at Value
0.999 Fine Troy Ounce Silver	Citibank N.A.	Short	$	15.3821	$	(27,303,228	)
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short		15.3825		(46,916,625	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		15.3818		(18,035,161	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		15.3818		(2,399,561	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		15.3819		(6,137,378	)

Futures Positions as of March 31, 2015

Long or

Valuation

Contract

Notional Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Silver Futures (COMEX)

Short

May 2015

16.60

5,000

(165,980

)

Forward Agreements as of March 31, 2015


		Long or	Valuation		Notional Amount
Reference Index	Counterparty	Short	Price		at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short	$	16.6018	$	(50,784,906	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		16.6013		(26,487,374	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		16.6016		(9,081,075	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		16.6016		(26,479,552	)

The March 31, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2016 and 2015 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

173

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 March 31, 2016 and 2015, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of March 31, 2016 and 2015, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2016

Long or

Valuation

Contract

Notional Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Euro Fx Currency Futures (CME)

Short

June 2016

102

1.1412

125,000

(14,550,300

)

Futures Positions as of March 31, 2015

Long or

Valuation

Contract

Notional
Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Euro Fx Currency Futures (CME)

Short

June 2015

150

1.08

125,000

(20,163,750

)

The March 31, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Australian Dollar:

As of March 31, 2016 and 2015, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2016

Long or

Valuation

Contract

Notional Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Australian Dollar Fx Currency Futures (CME)

Short

June 2016

473

76.50

1,000

(36,184,500

)

Futures Positions as of March 31, 2015

Long or

Valuation

Contract

Notional Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Australian Dollar Fx Currency Futures (CME)

Short

June 2015

530

75.81

1,000

(40,179,300

)

The March 31, 2016 and 2015 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

174

ProShares UltraShort Euro:

As of March 31, 2016 and 2015, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2016

Long

Settlement

Forward

Market Value

Reference Currency

Counterparty

Short

Date

Euro

Rate

USD

Euro

Goldman Sachs International

Long

04/08/16

89,144,000

1.1380

101,449,638

Euro

UBS AG

Long

04/08/16

77,106,900

1.1380

87,750,910

Euro

Goldman Sachs International

Short

04/08/16

(431,465,225

)

1.1380

(491,025,655

)

Euro

UBS AG

Short

04/08/16

(435,284,100

)

1.1380

(495,371,696

)

Foreign Currency Forward Contracts as of March 31, 2015

Long

Settlement

Forward

Market Value

Reference Currency

Counterparty

Short

Date

Euro

Rate

USD

Euro

Goldman Sachs International

Long

04/10/15

81,791,800

1.0749

87,926,805

Euro

UBS AG

Long

04/10/15

110,930,600

1.0749

119,251,236

Euro

Goldman Sachs International

Short

04/10/15

(617,582,525

)

1.0749

(663,905,895

)

Euro

UBS AG

Short

04/10/15

(728,286,800

)

1.0749

(782,913,830

)

The March 31, 2016 and 2015 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

As of March 31, 2016 and 2015, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to exchange rate price risk.

175

Foreign Currency Forward Contracts as of March 31, 2016

Long

Settlement

Forward

Market Value

Reference Currency

Counterparty

Short

Date

Yen

Rate

USD

Yen

Goldman Sachs International

Long

04/08/16

2,385,377,000

0.008887

21,199,635

Yen

UBS AG

Long

04/08/16

3,131,185,600

0.008887

27,827,883

Yen

Goldman Sachs International

Short

04/08/16

(21,973,527,200

)

0.008887

(195,286,011

)

Yen

UBS AG

Short

04/08/16

(23,150,283,500

)

0.008887

(205,744,233

)

Foreign Currency Forward Contracts as of March 31, 2015

Long

Settlement

Forward

Market Value

Reference Currency

Counterparty

Short

Date

Yen

Rate

USD

Yen

Goldman Sachs International

Long

04/10/15

20,565,620,300

0.008338

171,495,639

Yen

UBS AG

Long

04/10/15

5,923,386,600

0.008338

49,394,813

Yen

Goldman Sachs International

Short

04/10/15

(68,851,569,600

)

0.008338

(574,149,660

)

Yen

UBS AG

Short

04/10/15

(63,324,691,700

)

0.008338

(528,061,312

)

The March 31, 2016 and 2015 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Commodity Price Sensitivity

ProShares Ultra Bloomberg Commodity:

As of March 31, 2016 and 2015, the ProShares Ultra Bloomberg Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s swap positions as of March 31, 2016 and 2015, which were sensitive to commodity price risk.

Swap Agreements as of March 31, 2016

Notional

Long or

Amount at

Reference Index

Counterparty

Short

Index Close

Value

Bloomberg Commodity Index

Citibank N.A.

Long

78.8272

2,970,943

Bloomberg Commodity Index

Deutsche Bank AG

Long

78.8272

3,186,346

Bloomberg Commodity Index

Goldman Sachs International

Long

78.8272

3,655,071

Bloomberg Commodity Index

UBS AG

Long

78.8272

1,528,768

176

Swap Agreements as of March 31, 2015

Notional

Long or

Amount at

Reference Index

Counterparty

Short

Index Close

Value

Bloomberg Commodity Index

Deutsche Bank AG

Long

98.1230

1,972,023

Bloomberg Commodity Index

Goldman Sachs International

Long

98.1230

1,999,276

Bloomberg Commodity Index

UBS AG

Long

98.1230

603,138

The March 31, 2016 and 2015 swap notional values are calculated by multiplying units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Crude Oil:

As of March 31, 2016 and 2015, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

Notional

Long or

Valuation

Contract

Amount at

Contract

Short

Expiration

Contracts

Price

Multiplier

Value

WTI Crude Oil (NYMEX)

Long

May 2016

10,702

38.34

1,000

410,314,680

Swap Agreements as of March 31, 2016

Notional

Long or

Amount at

Reference Index

Counterparty

Short

Index Close

Value

Bloomberg WTI Crude Oil Subindex

Citibank N.A.

Long

70.0734

317,395,142

Bloomberg WTI Crude Oil Subindex

Deutsche Bank AG

Long

70.0734

262,836,687

Bloomberg WTI Crude Oil Subindex

Goldman Sachs International

Long

70.0734

258,118,575

Bloomberg WTI Crude Oil Subindex

Societe Generale S.A.

Long

70.0734

89,071,976

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

70.0734

277,873,304

Futures Positions as of March 31, 2015

Notional

Long or

Valuation

Contract

Amount at

Contract

Short

Expiration

Contracts

Price

Multiplier

Value

WTI Crude Oil (NYMEX)

Long

May 2015

13,821

47.60

1,000

657,879,600

Swap Agreements as of March 31, 2015

Notional

Long or

Amount at

Reference Index

Counterparty

Short

Index Close

Value

Bloomberg WTI Crude Oil Subindex

Deutsche Bank AG

Long

121.3015

406,797,888

Bloomberg WTI Crude Oil Subindex

Goldman Sachs International

Long

121.3015

417,976,514

Bloomberg WTI Crude Oil Subindex

Societe Generale S.A.

Long

121.3015

123,097,457

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

121.3015

403,481,056

177

The March 31, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2016 and 2015 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Natural Gas:

As of March 31, 2016 and 2015, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

Long or

Valuation

Contract

Notional
Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Natural Gas (NYMEX)

Long

May 2016

2,921

1.96

10,000

57,222,390

Futures Positions as of March 31, 2015

Long or

Valuation

Contract

Notional
Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Natural Gas (NYMEX)

Long

May 2015

4,644

2.64

10,000

122,601,600

The March 31, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

As of March 31, 2016 and 2015, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

Long or

Valuation

Contract

Notional
Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Gold Futures (COMEX)

Long

June 2016

1,235.60

100

247,120

178

Forward Agreements as of March 31, 2016

Long or

Valuation

Notional
Amount

Reference Index

Counterparty

Short

Price

at Value

0.995 Fine Troy Ounce Gold

Citibank N.A.

Long

1,237.11

35,752,479

0.995 Fine Troy Ounce Gold

Deutsche Bank AG

Long

1,237.18

60,250,666

0.995 Fine Troy Ounce Gold

Goldman Sachs International

Long

1,237.11

36,890,620

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,237.12

19,051,648

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,237.11

31,175,172

Futures Positions as of March 31, 2015

Long or

Valuation

Contract

Notional
Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Gold Futures (COMEX)

Long

June 2015

1,183.20

100

236,640

Forward Agreements as of March 31, 2015

Long or

Valuation

Notional
Amount

Reference Index

Counterparty

Short

Price

at Value

0.995 Fine Troy Ounce Gold

Deutsche Bank AG

Long

1,187.04

97,693,392

0.995 Fine Troy Ounce Gold

Goldman Sachs International

Long

1,187.03

39,551,840

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,187.02

18,873,618

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,187.03

35,492,197

The March 31, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2016 and 2015 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of March 31, 2016 and 2015, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2016

Long or

Valuation

Contract

Notional
Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Silver Futures (COMEX)

Long

May 2016

15.46

5,000

154,640

Forward Agreements as of March 31, 2016

Long or

Valuation

Notional
Amount

Reference Index

Counterparty

Short

Price

at Value

0.999 Fine Troy Ounce Silver

Citibank N.A.

Long

15.3821

130,793,996

0.999 Fine Troy Ounce Silver

Deutsche Bank AG

Long

15.3825

104,059,536

0.999 Fine Troy Ounce Silver

Goldman Sachs International

Long

15.3818

132,588,040

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

15.3818

53,590,191

0.999 Fine Troy Ounce Silver

UBS AG

Long

15.3819

105,381,397

179

Futures Positions as of March 31, 2015

Long or

Valuation

Contract

Notional
Amount

Contract

Short

Expiration

Contracts

Price

Multiplier

at Value

Silver Futures (COMEX)

Long

May 2015

16.60

5,000

165,980

Forward Agreements as of March 31, 2015

Long or

Valuation

Notional
Amount

Reference Index

Counterparty

Short

Price

at Value

0.999 Fine Troy Ounce Silver

Deutsche Bank AG

Long

16.6018

320,198,917

0.999 Fine Troy Ounce Silver

Goldman Sachs International

Long

16.6013

121,235,974

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

16.6016

70,639,808

0.999 Fine Troy Ounce Silver

UBS AG

Long

16.6016

122,104,768

The March 31, 2016 and 2015 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2016 and 2015 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account.

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

Exchange Rate Sensitivity

ProShares Ultra Euro:

As of March 31, 2016 and 2015, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2016

Long

Settlement

Forward

Market Value

Reference Currency

Counterparty

Short

Date

Euro

Rate

USD

Euro

Goldman Sachs International

Long

04/08/16

9,584,125

1.1380

10,907,140

Euro

UBS AG

Long

04/08/16

10,055,900

1.1380

11,444,039

Euro

Goldman Sachs International

Short

04/08/16

(208,900

)

1.1380

(237,737

)

Euro

UBS AG

Short

04/08/16

(166,300

)

1.1380

(189,256

)

180

Foreign Currency Forward Contracts as of March 31, 2015

Long

Settlement

Forward

Market Value

Reference Currency

Counterparty

Short

Date

Euro

Rate

USD

Euro

Goldman Sachs International

Long

04/10/15

15,842,925

1.0749

17,031,264

Euro

UBS AG

Long

04/10/15

14,064,800

1.0749

15,119,767

Euro

Goldman Sachs International

Short

04/10/15

(1,344,700

)

1.0749

(1,445,563

)

Euro

UBS AG

Short

04/10/15

(1,092,000

)

1.0749

(1,173,908

)

The March 31, 2016 and 2015 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Yen:

As of March 31, 2016 and 2015, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2016 and 2015, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2016

Long

Settlement

Forward

Market Value

Reference Currency

Counterparty

Short

Date

Yen

Rate

USD

Yen

Goldman Sachs International

Long

04/08/16

899,107,100

0.008887

7,990,662

Yen

UBS AG

Long

04/08/16

536,458,900

0.008887

4,767,688

Yen

Goldman Sachs International

Short

04/08/16

(13,926,600

)

0.008887

(123,770

)

Yen

UBS AG

Short

04/08/16

(29,031,300

)

0.008887

(258,011

)

Foreign Currency Forward Contracts as of March 31, 2015

Long

Settlement

Forward

Market Value

Reference Currency

Counterparty

Short

Date

Yen

Rate

USD

Yen

Goldman Sachs International

Long

04/10/15

898,339,400

0.008338

7,491,206

Yen

UBS AG

Long

04/10/15

645,732,000

0.008338

5,384,726

Yen

Goldman Sachs International

Short

04/10/15

(17,456,500

)

0.008338

(145,569

)

Yen

UBS AG

Short

04/10/15

(185,698,000

)

0.008338

(1,548,526

)

The March 31, 2016 and 2015 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. While

181

the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Qualitative Disclosure

As described above in Item 2 of this Quarterly Report on Form 10-Q, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. Each Short Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by two or negative two. Each Matching VIX Fund seek investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. The Matching VIX Funds seek to achieve their stated objectives both over a single day and over time.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and direct exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

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.

182

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9) -1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8) -1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

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

183

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).

184

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 March 31, 2016, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended March 31, 2016, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

185

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

None

Item 1A. Risk Factors.

There has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2015, filed on February 29, 2016.

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

(a)

None.

(b) The Trust initially registered Shares on its Registration Statement on Form S-1 (File No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (File No. 333-156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all registered Shares and re-allocated the remaining amount of the registered Shares among the Funds listed on its Registration Statement on Form S-3 (File No. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on Form S-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on Form S-1 (File No. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on Form S-3 (File No. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on Form S-1 (File No. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on Form S-1 (File No. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (File No. 333-183672) was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-176878). On September 27, 2012, a Registration Statement on Form S-3 (File No. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro. This registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on Form S-1 (File No. 333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on Form S-1 (File No. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statements (File Nos. 333-183672 and 333-178707).

Also, on January 30, 2013, a Registration Statement on Form S-3 (File No. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statement (File No. 333-193672) and Form S-3 Registration Statement (File No. 333-183674). On April 24, 2013, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on Form S-3 (File No. 333-187820) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude

186

Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-185289). On May 21, 2013, a Registration Statement on Form S-1 (File 333-188215) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-185288). On July 30, 2013, a Registration Statement on Form S-3 (File No. 333-189967) was declared effective, which registered additional Shares for ProShares Bloomberg Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-187820). On May 6, 2014, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-188215) was declared effective, updating the Form S-1 Registration Statement by, among other things, incorporating by reference the audited financial statements for the fiscal year ended December 31, 2013. The post-effective amendment did not register any additional shares. On July 30, 2014, a Registration Statement on Form S-1 (File No. 333-196884) was declared effective, which partially terminated registered and unissued Shares of ProShares VIX Mid-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Euro, ProShares Ultra Yen and ProShares UltraShort Bloomberg Commodity. That registration statement was a combined prospectus and acted as a post-effective amendment to two Form S-1 registration statements (File Nos. 333-188215 and 333-185288). On July 30, 2014, a Registration Statement on Form S-3 (File No. 333-196885) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro and partially terminated registered and unissued Shares of ProShares Ultra Gold, ProShares Ultra Silver and ProShares UltraShort Silver. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the Form S-1 to the Form S-3. On September 29, 2014, a Registration Statement on Form S-1 (File No. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the Form S-1 Registration Statement (File No. 333-196884). On November 25, 2014, a Registration Statement on Form S-1 (File No. 333-199642) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas and ProShares UltraShort Silver. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-198189) and the Form S-3 registration statement (333-196885). On November 25, 2014, a Registration Statement on Form S-3 (File No. 333-199641) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-196885). Through the November 25, 2014 filings, ProShares UltraShort Silver was transferred from the Form S-3 to the Form S-1. On March 31, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective, which registered additional Shares for ProShares VIX Mid-Term Futures ETF, ProShares Managed Futures Strategy, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Silver, ProShares Ultra Australian Dollar, ProShares UltraShort Australian Dollar, ProShares Ultra Euro, ProShares Short Euro and ProShares Ultra Yen. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 registration statement (File No. 333-199642). On March 31, 2015, a Registration Statement on Form S-3 (File No. 333-202725) 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

187

and acted as a post-effective amendment to the Form S-3 (File No. 333-199641). On August 11, 2015, a Registration Statement on Form S-1 (File No. 333-202724) was declared effective which removed ProShares Ultra Australian Dollar from the Form S-1; no additional shares were registered with that filing. That registration statement was a combined prospectus and acted as a pre-effective amendment to post-effective amendment No. 1 of the Form S-1. On March 30, 2016, Post-Effective Amendment No. 1 to the Registration Statement on Form S-3 (File No. 333-202725) was declared effective, which removed from registration all of the Shares that remained unsold thereunder as of the close of business on March 30, 2016. On March 30, 2016, a Registration Statement on Form S-3 (File No. 333-210024) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short Term Futures ETF, ProShares Short VIX Short-Term Futures ETF, ProShares VIX Short Term Futures ETF. Thus, as of March 31, 2016, the Trust had two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-202724); and 2) a Form S-3 Registration Statement (No. 333-210024).

Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury securities or other high credit quality, short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may in part be used for direct investment or deposited with the FCMs as margin in connection with futures contracts or in segregated accounts at the Funds’ custodian bank as collateral for swap agreements or forward contracts, as applicable. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.


					Sale Price of
			Shares Sold		Shares Sold For
	Amount		For the		the
	Registered		Three Months		Three Months
Title of	As of		Ended		Ended
Securities Registered	March 31, 2016		March 31, 2016		March 31, 2016
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	1,718,627,430		8,575,000	$	109,580,353
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	619,302,925		150,000	$	8,345,497
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	3,523,329,093		14,900,000	$	601,501,561
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	5,743,979,340		47,700,000	$	1,394,232,078
ProShares UltraShort Bloomberg Commodity Common Units of Beneficial Interest	$	172,839,931		—	$	—
ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest	$	1,732,812,198		2,700,000	$	462,946,925
ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest	$	412,030,981		50,000	$	7,446,378
ProShares UltraShort Gold Common Units of Beneficial Interest	$	227,743,198		600,000	$	49,855,817
ProShares UltraShort Silver Common Units of Beneficial Interest	$	2,083,528,399		750,000	$	39,832,736
ProShares Short Euro Common Units of Beneficial Interest	$	174,672,977		—	$	—
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest	$	172,771,084		—	$	—
ProShares UltraShort Euro Common Units of Beneficial Interest	$	1,964,652,656		250,000	$	5,936,565
ProShares UltraShort Yen Common Units of Beneficial Interest	$	917,447,489		50,000	$	3,910,497
ProShares Ultra Bloomberg Commodity Common Units of Beneficial Interest	$	129,604,130		—	$	—

188


ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest	$	4,855,091,956	53,400,000	$	422,801,911
ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest	$	540,275,387	1,100,000	$	10,168,033
ProShares Ultra Gold Common Units of Beneficial Interest	$	279,990,487	100,000	$	4,103,970
ProShares Ultra Silver Common Units of Beneficial Interest	$	1,401,481,664	650,000	$	21,276,467
ProShares Ultra Euro Common Units of Beneficial Interest	$	126,652,323	—	$	—
ProShares Ultra Yen Common Units of Beneficial Interest	$	138,726,333	—	$	—
Total:	$	26,935,559,981	130,975,000	$	3,141,938,788

(b)

From January 1, 2016 to March 31, 2016, the number of Shares redeemed and average price per Share for each Fund were as follows:


	Total Number of		Average Price
Fund	Shares Redeemed		Per Share
ProShares VIX Short-Term Futures ETF
01/01/16 to 01/31/16		2,600,001	$	16.25
02/01/16 to 02/29/16		250,000	$	18.86
03/01/16 to 03/31/16		—	$	—
ProShares VIX Mid-Term Futures ETF
01/01/16 to 01/31/16		1	$	64.00
02/01/16 to 02/29/16		100,000	$	60.77
03/01/16 to 03/31/16		—	$	—
ProShares Short VIX Short-Term Futures ETF
01/01/16 to 01/31/16		7,450,040	$	37.71
02/01/16 to 02/29/16		5,200,000	$	36.65
03/01/16 to 03/31/16		4,850,000	$	46.24
ProShares Ultra VIX Short-Term Futures ETF
01/01/16 to 01/31/16		14,500,000	$	38.99
02/01/16 to 02/29/16		5,100,000	$	46.98
03/01/16 to 03/31/16		1,250,000	$	24.66
ProShares UltraShort Bloomberg Commodity
01/01/16 to 01/31/16		2	$	160.50
02/01/16 to 02/29/16		—	$	—
03/01/16 to 03/31/16		—	$	—
ProShares UltraShort Bloomberg Crude Oil
01/01/16 to 01/31/16		1,000,002	$	207.27
02/01/16 to 02/29/16		700,000	$	190.83
03/01/16 to 03/31/16		—	$	—
ProShares UltraShort Bloomberg Natural Gas
01/01/16 to 01/31/16		7	$	164.71
02/01/16 to 02/29/16		50,000	$	175.78
03/01/16 to 03/31/16		50,001	$	205.79
ProShares UltraShort Gold
01/01/16 to 01/31/16		50,000	$	103.86
02/01/16 to 02/29/16		350,000	$	87.20
03/01/16 to 03/31/16		—	$	—
ProShares UltraShort Silver
01/01/16 to 01/31/16		450,000	$	62.75
02/01/16 to 02/29/16		50,000	$	51.94
03/01/16 to 03/31/16		100,002	$	48.51
ProShares Short Euro
01/01/16 to 01/31/16		5	$	43.60
02/01/16 to 02/29/16		—	$	—
03/01/16 to 03/31/16		50,000	$	42.40
ProShares UltraShort Australian Dollar
01/01/16 to 01/31/16		5	$	62.80
02/01/16 to 02/29/16		—	$	—

189


03/01/16 to 03/31/16	—	$	—
ProShares UltraShort Euro
01/01/16 to 01/31/16	1,850,014	$	25.47
02/01/16 to 02/29/16	1,250,000	$	24.31
03/01/16 to 03/31/16	400,000	$	24.88
ProShares UltraShort Yen
01/01/16 to 01/31/16	200,004	$	85.38
02/01/16 to 02/29/16	250,000	$	76.80
03/01/16 to 03/31/16	—	$	—
ProShares Ultra Bloomberg Commodity
01/01/16 to 01/31/16	50,004	$	24.91
02/01/16 to 02/29/16	—	$	—
03/01/16 to 03/31/16	—	$	—
ProShares Ultra Bloomberg Crude Oil
01/01/16 to 01/31/16	4,800,001	$	9.38
02/01/16 to 02/29/16	5,850,000	$	7.72
03/01/16 to 03/31/16	15,250,000	$	9.77
ProShares Ultra Bloomberg Natural Gas
01/01/16 to 01/31/16	150,001	$	20.23
02/01/16 to 02/29/16	—	$	—
03/01/16 to 03/31/16	400,000	$	10.58
ProShares Ultra Gold
01/01/16 to 01/31/16	100,014	$	32.24
02/01/16 to 02/29/16	—	$	—
03/01/16 to 03/31/16	50,000	$	38.86
ProShares Ultra Silver
01/01/16 to 01/31/16	100,007	$	27.90
02/01/16 to 02/29/16	300,000	$	33.62
03/01/16 to 03/31/16	200,000	$	32.98
ProShares Ultra Euro
01/01/16 to 01/31/16	14	$	15.57
02/01/16 to 02/29/16	—	$	—
03/01/16 to 03/31/16	50,000	$	15.43
ProShares Ultra Yen
01/01/16 to 01/31/16	4	$	49.75
02/01/16 to 02/29/16	—	$	—
03/01/16 to 03/31/16	—	$	—

Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

190

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.

191

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: May 9, 2016

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: May 9, 2016

192