ProShares Trust II - Quarter Report: 2014 June (Form 10-Q)

Large accelerated filer

Accelerated filer

Non-accelerated filer

¨ (Do not check if a smaller reporting company)

Smaller reporting company

Form 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 June 30, 2014.

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

for the transition period from to .

Commission file number: 001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

Delaware

87-6284802

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip code)

(240) 497-6400

(Registrant’s telephone number, including area code)

N/A

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

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

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

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

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

PROSHARES TRUST II

Table of Contents


	Page
Part I. FINANCIAL INFORMATION

Item 1. Condensed Financial Statements.		1

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

Item 3. Quantitative and Qualitative Disclosures About Market Risk.		207

Item 4. Controls and Procedures.		225

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.		226

Item 1A. Risk Factors.		226

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		226

Item 3. Defaults Upon Senior Securities.		229

Item 4. Mine Safety Disclosures.		229

Item 5. Other Information.		229

Item 6. Exhibits.		229

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 UltraShort Bloomberg Commodity (formerly ProShares UltraShort DJ-UBS Commodity)		2
ProShares UltraShort Bloomberg Crude Oil (formerly ProShares UltraShort DJ-UBS Crude Oil)		7
ProShares UltraShort Bloomberg Natural Gas (formerly ProShares UltraShort DJ-UBS Natural Gas)		12
ProShares UltraShort Gold		17
ProShares UltraShort Silver		22
ProShares Short Euro		27
ProShares UltraShort Australian Dollar		32
ProShares UltraShort Euro		37
ProShares UltraShort Yen		42
ProShares Ultra Bloomberg Commodity (formerly ProShares Ultra DJ-UBS Commodity)		47
ProShares Ultra Bloomberg Crude Oil (formerly ProShares Ultra DJ-UBS Crude Oil)		52
ProShares Ultra Bloomberg Natural Gas (formerly ProShares Ultra DJ-UBS Natural Gas)		57
ProShares Ultra Gold		62
ProShares Ultra Silver		67
ProShares Ultra Australian Dollar		72
ProShares Ultra Euro		77
ProShares Ultra Yen		82
ProShares VIX Short-Term Futures ETF		87
ProShares VIX Mid-Term Futures ETF		92
ProShares Ultra VIX Short-Term Futures ETF		97
ProShares Short VIX Short-Term Futures ETF		102
ProShares Trust II		107
Notes to Financial Statements		111

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	331,047	$	374,245
Short-term U.S. government and agency obligations (Note 3) (cost $2,975,653 and $3,453,851, respectively)		2,975,627		3,453,890

Total assets		3,306,674		3,828,135

Liabilities and shareholders’ equity
Liabilities
Management fee payable		2,539		3,043
Unrealized depreciation on swap agreements		49,719		27,665

Total liabilities		52,258		30,708

Shareholders’ equity
Shareholders’ equity		3,254,416		3,797,427

Total liabilities and shareholders’ equity	$	3,306,674	$	3,828,135

Shares outstanding		59,997		59,997

Net asset value per share	$	54.24	$	63.29

Market value per share (Note 2)	$	52.00	$	58.41

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(91% of shareholders’ equity)
U.S. Treasury Bills:
0.070% due 08/14/14†	$	877,000	$	876,973
0.037% due 10/23/14†		621,000		620,931
0.036% due 11/13/14		1,478,000		1,477,723

Total short-term U.S. government and agency obligations (cost $2,975,653)			$	2,975,627

Swap Agreements^


	Rate Paid (Received)			Termination Date	Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index		0.25	%	07/07/14	$	(2,595,868	)	$	(20,115	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index		0.25		07/07/14		(2,767,667	)		(17,081	)
Swap agreement with UBS AG based on Bloomberg Commodity Index		0.60		07/07/14		(1,138,280	)		(12,523	)

								$	(49,719	)

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

^	The positions and counterparties herein are as of June 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	344		$	510		$	652		$	1,235

Expenses
Management fee		7,611			8,450			15,910			16,035

Total expenses		7,611			8,450			15,910			16,035

Net investment income (loss)		(7,267	)		(7,940	)		(15,258	)		(14,800	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		130,061			150,169			(505,634	)		458,667
Short-term U.S. government and agency obligations		—			—			—			2

Net realized gain (loss)		130,061			150,169			(505,634	)		458,669

Change in net unrealized appreciation/depreciation on
Swap agreements		(151,988	)		505,167			(22,054	)		263,746
Short-term U.S. government and agency obligations		(120	)		(172	)		(65	)		(359	)

Change in net unrealized appreciation/depreciation		(152,108	)		504,995			(22,119	)		263,387

Net realized and unrealized gain (loss)		(22,047	)		655,164			(527,753	)		722,056

Net income (loss)	$	(29,314	)	$	647,224		$	(543,011	)	$	707,256

Net income (loss) per weighted-average share	$	(0.49	)	$	10.79		$	(9.05	)	$	11.79

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	3,797,427

Net investment income (loss)		(15,258	)
Net realized gain (loss)		(505,634	)
Change in net unrealized appreciation/depreciation		(22,119	)

Net income (loss)		(543,011	)


Shareholders’ equity, at June 30, 2014	$	3,254,416

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	(543,011	)	$	707,256
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		478,198			(387,986	)
Change in unrealized appreciation/depreciation on investments		22,119			(263,387	)
Increase (Decrease) in management fee payable		(504	)		307

Net cash provided by (used in) operating activities		(43,198	)		56,190

Net increase (decrease) in cash		(43,198	)		56,190
Cash, beginning of period		374,245			296,119

Cash, end of period	$	331,047		$	352,309

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	4,621,870	$	1,872,915
Segregated cash balances with brokers for futures contracts		9,154,200		7,633,395
Short-term U.S. government and agency obligations (Note 3) (cost $364,432,294 and $247,573,678, respectively)		364,434,603		247,584,623
Receivable on open futures contracts		778,232		1,503,943

Total assets		378,988,905		258,594,876

Liabilities and shareholders’ equity
Liabilities
Management fee payable		284,168		201,827
Unrealized depreciation on swap agreements		16,105,152		2,332,900

Total liabilities		16,389,320		2,534,727

Shareholders’ equity
Shareholders’ equity		362,599,585		256,060,149

Total liabilities and shareholders’ equity	$	378,988,905	$	258,594,876

Shares outstanding		14,719,944		8,069,944

Net asset value per share	$	24.63	$	31.73

Market value per share (Note 2)	$	24.61	$	31.58

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(101% of shareholders’ equity)
U.S. Treasury Bills:
0.049% due 07/10/14	$	76,486,000	$	76,485,904
0.044% due 08/07/14		18,309,000		18,308,906
0.046% due 08/14/14†		22,530,000		22,529,311
0.044% due 08/21/14†		28,258,000		28,256,999
0.032% due 08/28/14†		19,252,000		19,251,380
0.040% due 09/04/14†		4,232,000		4,231,847
0.036% due 09/11/14†		15,756,000		15,755,370
0.034% due 09/18/14†		53,342,000		53,339,659
0.027% due 09/25/14†		18,805,000		18,803,652
0.037% due 10/23/14†		9,098,000		9,096,992
0.036% due 11/06/14		4,569,000		4,568,269
0.046% due 11/13/14		3,000,000		2,999,438
0.045% due 11/20/14†		15,026,000		15,023,037
0.042% due 12/11/14†		75,801,000		75,783,839

Total short-term U.S. government and agency obligations (cost $364,432,294)			$	364,434,603

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil - NYMEX, expires September 2014		2,920	$	305,811,600	$	(5,168,641	)

Swap Agreements^


	Rate Paid (Received)			Termination Date	Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Subindex		0.25	%	07/07/14	$	(116,423,779	)	$	(4,518,754	)
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25		07/07/14		(127,285,152	)		(4,396,306	)
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25		07/07/14		(59,190,848	)		(2,715,109	)
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25		07/07/14		(116,599,880	)		(4,474,983	)

								$	(16,105,152	)

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

††	Cash collateral in the amount of $9,154,200 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

^	The positions and counterparties herein are as of June 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	39,315		$	23,201		$	76,288		$	48,510

Expenses
Management fee		841,703			442,975			1,465,256			782,559
Brokerage commissions		26,969			18,494			39,662			25,529

Total expenses		868,672			461,469			1,504,918			808,088

Net investment income (loss)		(829,357	)		(438,268	)		(1,428,630	)		(759,578	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(20,355,928	)		5,255,578			(23,267,179	)		(3,232,391	)
Swap agreements		(11,211,080	)		(4,229,924	)		(20,577,830	)		(1,867,113	)
Short-term U.S. government and agency obligations		5,028			8,970			10,317			8,299

Net realized gain (loss)		(31,561,980	)		1,034,624			(43,834,692	)		(5,091,205	)

Change in net unrealized appreciation/depreciation on
Futures contracts		1,095,673			(1,110,021	)		(3,935,868	)		3,151,224
Swap agreements		(15,412,221	)		10,988,393			(13,772,252	)		5,227,039
Short-term U.S. government and agency obligations		(6,758	)		(2,083	)		(8,636	)		(3,021	)

Change in net unrealized appreciation/depreciation		(14,323,306	)		9,876,289			(17,716,756	)		8,375,242

Net realized and unrealized gain (loss)		(45,885,286	)		10,910,913			(61,551,448	)		3,284,037

Net income (loss)	$	(46,714,643	)	$	10,472,645		$	(62,980,078	)	$	2,524,459

Net income (loss) per weighted-average share	$	(3.51	)	$	2.13		$	(5.72	)	$	0.58

Weighted-average shares outstanding		13,303,460			4,923,241			11,008,342			4,354,474

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	256,060,149

Addition of 14,600,000 shares		414,862,542
Redemption of 7,950,000 shares		(245,343,028	)

Net addition (redemption) of 6,650,000 shares		169,519,514


Net investment income (loss)		(1,428,630	)
Net realized gain (loss)		(43,834,692	)
Change in net unrealized appreciation/depreciation		(17,716,756	)

Net income (loss)		(62,980,078	)


Shareholders’ equity, at June 30, 2014	$	362,599,585

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	(62,980,078	)	$	2,524,459
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		(1,520,805	)		(4,526,006	)
Net sale (purchase) of short-term U.S. government and agency obligations		(116,858,616	)		(144,283,952	)
Change in unrealized appreciation/depreciation on investments		13,780,888			(5,224,018	)
Decrease (Increase) in receivable on futures contracts		725,711			(948,600	)
Increase (Decrease) in management fee payable		82,341			124,302
Increase (Decrease) in payable on futures contracts		—			(979,336	)

Net cash provided by (used in) operating activities		(166,770,559	)		(153,313,151	)

Cash flow from financing activities
Proceeds from addition of shares		414,862,542			342,072,909
Payment on shares redeemed		(245,343,028	)		(187,668,197	)

Net cash provided by (used in) financing activities		169,519,514			154,404,712

Net increase (decrease) in cash		2,748,955			1,091,561
Cash, beginning of period		1,872,915			658,676

Cash, end of period	$	4,621,870		$	1,750,237

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	4,030,789	$	564,647
Segregated cash balances with brokers for futures contracts		6,400,680		2,384,800
Short-term U.S. government and agency obligations (Note 3) (cost $44,128,238 and $18,274,602, respectively)		44,127,812		18,274,713
Receivable on open futures contracts		—		1,520,548

Total assets		54,559,281		22,744,708

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		4,103,994		—
Payable on open futures contracts		730,316		—
Management fee payable		42,962		9,941

Total liabilities		4,877,272		9,941

Shareholders’ equity
Shareholders’ equity		49,682,009		22,734,767

Total liabilities and shareholders’ equity	$	54,559,281	$	22,744,708

Shares outstanding		1,224,952		324,952

Net asset value per share	$	40.56	$	69.96

Market value per share (Note 2)	$	40.43	$	69.36

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
U.S. Treasury Bills:
0.050% due 07/10/14	$	1,172,000	$	1,171,999
0.042% due 08/07/14		4,569,000		4,568,977
0.035% due 08/14/14		229,000		228,993
0.063% due 08/21/14		7,980,000		7,979,717
0.035% due 09/11/14		2,581,000		2,580,897
0.026% due 09/18/14		469,000		468,979
0.027% due 09/25/14		2,701,000		2,700,806
0.035% due 10/23/14		830,000		829,908
0.038% due 11/06/14		4,748,000		4,747,240
0.033% due 11/13/14		10,387,000		10,385,053
0.045% due 11/20/14		5,495,000		5,493,916
0.034% due 12/11/14		2,972,000		2,971,327

Total short-term U.S. government and agency obligations (cost $44,128,238)			$	44,127,812

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, expires September 2014		2,238	$	99,367,200	$	2,467,844

††	Cash collateral in the amount of $6,400,680 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	6,257		$	3,549		$	12,940		$	5,950

Expenses
Management fee		147,249			61,051			279,055			97,194
Brokerage commissions		31,290			17,088			61,752			26,912

Total expenses		178,539			78,139			340,807			124,106

Net investment income (loss)		(172,282	)		(74,590	)		(327,867	)		(118,156	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,970,509	)		(834,719	)		(11,185,543	)		(2,608,140	)
Short-term U.S. government and agency obligations		2,385			1,105			4,437			1,001

Net realized gain (loss)		(1,968,124	)		(833,614	)		(11,181,106	)		(2,607,139	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(2,011,476	)		5,826,227			1,425,544			1,920,339
Short-term U.S. government and agency obligations		(2,780	)		(767	)		(537	)		(991	)

Change in net unrealized appreciation/depreciation		(2,014,256	)		5,825,460			1,425,007			1,919,348

Net realized and unrealized gain (loss)		(3,982,380	)		4,991,846			(9,756,099	)		(687,791	)

Net income (loss)	$	(4,154,662	)	$	4,917,256		$	(10,083,966	)	$	(805,947	)

Net income (loss) per weighted-average share	$	(2.64	)	$	13.27		$	(7.08	)	$	(2.98	)

Weighted-average shares outstanding		1,575,501			370,605			1,423,847			270,791

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	22,734,767

Addition of 2,400,000 shares		100,908,495
Redemption of 1,500,000 shares		(63,877,287	)

Net addition (redemption) of 900,000 shares		37,031,208


Net investment income (loss)		(327,867	)
Net realized gain (loss)		(11,181,106	)
Change in net unrealized appreciation/depreciation		1,425,007

Net income (loss)		(10,083,966	)


Shareholders’ equity, at June 30, 2014	$	49,682,009

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	(10,083,966	)	$	(805,947	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(4,015,880	)		(976,970	)
Net sale (purchase) of short-term U.S. government and agency obligations		(25,853,636	)		(6,462,081	)
Change in unrealized appreciation/depreciation on investments		537			991
Decrease (Increase) in receivable on futures contracts		1,520,548			476,449
Increase (Decrease) in management fee payable		33,021			5,063
Increase (Decrease) in payable on futures contracts		730,316			—

Net cash provided by (used in) operating activities		(37,669,060	)		(7,762,495	)

Cash flow from financing activities
Proceeds from addition of shares		100,908,495			26,309,258
Payment on shares redeemed		(59,773,293	)		(18,347,114	)

Net cash provided by (used in) financing activities		41,135,202			7,962,144

Net increase (decrease) in cash		3,466,142			199,649
Cash, beginning of period		564,647			310,060

Cash, end of period	$	4,030,789		$	509,709

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	187,309	$	197,647
Segregated cash balances with brokers for futures contracts		13,200		15,950
Short-term U.S. government and agency obligations (Note 3) (cost $94,198,546 and $148,987,995, respectively)		94,201,223		148,988,329
Unrealized appreciation on forward agreements		—		5,633,053
Receivable on open futures contracts		—		300

Total assets		94,401,732		154,835,279

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		15,275,004
Payable on open futures contracts		1,000		—
Management fee payable		74,243		123,819
Unrealized depreciation on forward agreements		10,583,508		—

Total liabilities		10,658,751		15,398,823

Shareholders’ equity
Shareholders’ equity		83,742,981		139,436,456

Total liabilities and shareholders’ equity	$	94,401,732	$	154,835,279

Shares outstanding		996,978		1,346,978

Net asset value per share	$	84.00	$	103.52

Market value per share (Note 2)	$	82.11	$	103.53

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(112% of shareholders’ equity)
U.S. Treasury Bills:
0.057% due 08/07/14†	$	39,342,000	$	39,341,798
0.070% due 08/14/14†		4,275,000		4,274,869
0.039% due 08/21/14†		2,326,000		2,325,918
0.039% due 08/28/14†		2,841,000		2,840,908
0.032% due 09/04/14		20,661,000		20,660,254
0.025% due 09/18/14†		14,956,000		14,955,344
0.037% due 11/13/14†		6,754,000		6,752,734
0.045% due 11/20/14†		3,050,000		3,049,398

Total short-term U.S. government and agency obligations (cost $94,198,546)			$	94,201,223

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires August 2014		2	$	264,400	$	(4,840	)

Forward Agreements^


	Rate Paid (Received)			Settlement Date	Commitment to (Deliver)/Receive			Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold		0.22	%	07/07/14	$	(59,500	)	$	(78,243,690	)	$	(5,448,091	)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		0.32		07/07/14		(24,398	)		(32,083,858	)		(2,015,729	)
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		0.42		07/07/14		(14,700	)		(19,330,794	)		(1,118,143	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		0.32		07/07/14		(28,550	)		(37,543,821	)		(2,001,545	)

											$	(10,583,508	)

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

††	Cash collateral in the amount of $13,200 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

^	The positions and counterparties herein are as of June 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	12,750		$	19,551		$	27,945		$	35,308

Expenses
Management fee		231,431			368,796			496,983			595,254
Brokerage commissions		8			8			24			24

Total expenses		231,439			368,804			497,007			595,278

Net investment income (loss)		(218,689	)		(349,253	)		(469,062	)		(559,970	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		14,130			32,000			(4,430	)		65,420
Forward agreements		13,861,265			20,826,050			(8,269,862	)		33,676,097
Short-term U.S. government and agency obligations		716			1,604			2,211			1,205

Net realized gain (loss)		13,876,111			20,859,654			(8,272,081	)		33,742,722

Change in net unrealized appreciation/depreciation on
Futures contracts		(21,700	)		42,650			(19,360	)		26,000
Forward agreements		(19,115,270	)		55,031,972			(16,216,561	)		48,055,834
Short-term U.S. government and agency obligations		(1,186	)		(2,827	)		2,343			(2,027	)

Change in net unrealized appreciation/depreciation		(19,138,156	)		55,071,795			(16,233,578	)		48,079,807

Net realized and unrealized gain (loss)		(5,262,045	)		75,931,449			(24,505,659	)		81,822,529

Net income (loss)	$	(5,480,734	)	$	75,582,196		$	(24,974,721	)	$	81,262,559

Net income (loss) per weighted-average share	$	(4.94	)	$	40.80		$	(21.04	)	$	48.81

Weighted-average shares outstanding		1,109,065			1,852,472			1,186,757			1,664,933

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	139,436,456

Addition of 400,000 shares		36,818,943
Redemption of 750,000 shares		(67,537,697	)

Net addition (redemption) of (350,000) shares		(30,718,754	)


Net investment income (loss)		(469,062	)
Net realized gain (loss)		(8,272,081	)
Change in net unrealized appreciation/depreciation		(16,233,578	)

Net income (loss)		(24,974,721	)


Shareholders’ equity, at June 30, 2014	$	83,742,981

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	(24,974,721	)	$	81,262,559
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		2,750			(2,750	)
Net sale (purchase) of short-term U.S. government and agency obligations		54,789,449			(47,400,576	)
Change in unrealized appreciation/depreciation on investments		16,214,218			(48,053,807	)
Decrease (Increase) in receivable on futures contracts		300			—
Increase (Decrease) in management fee payable		(49,576	)		56,686
Increase (Decrease) in payable on futures contracts		1,000			(1,560	)

Net cash provided by (used in) operating activities		45,983,420			(14,139,448	)

Cash flow from financing activities
Proceeds from addition of shares		36,818,943			98,059,279
Payment on shares redeemed		(82,812,701	)		(83,823,107	)

Net cash provided by (used in) financing activities		(45,993,758	)		14,236,172

Net increase (decrease) in cash		(10,338	)		96,724
Cash, beginning of period		197,647			175,194

Cash, end of period	$	187,309		$	271,918

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	240,691	$	461,167
Segregated cash balances with brokers for futures contracts		18,150		22,000
Short-term U.S. government and agency obligations (Note 3) (cost $62,533,634 and $114,822,672, respectively)		62,535,124		114,826,066
Receivable on open futures contracts		780		2,450

Total assets		62,794,745		115,311,683

Liabilities and shareholders’ equity
Liabilities
Management fee payable		41,276		94,140
Unrealized depreciation on forward agreements		10,563,213		2,227,857

Total liabilities		10,604,489		2,321,997

Shareholders’ equity
Shareholders’ equity		52,190,256		112,989,686

Total liabilities and shareholders’ equity	$	62,794,745	$	115,311,683

Shares outstanding		708,489		1,258,489

Net asset value per share	$	73.66	$	89.78

Market value per share (Note 2)	$	72.05	$	90.19

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(120% of shareholders’ equity)
U.S. Treasury Bills:
0.057% due 08/07/14	$	3,351,000	$	3,350,983
0.070% due 08/14/14†		7,040,000		7,039,785
0.073% due 08/21/14†		6,784,000		6,783,760
0.033% due 08/28/14†		13,337,000		13,336,570
0.029% due 09/11/14†		6,014,000		6,013,759
0.037% due 10/23/14		127,000		126,986
0.039% due 11/06/14		125,000		124,980
0.045% due 11/20/14†		4,575,000		4,574,098
0.052% due 12/11/14†		21,189,000		21,184,203

Total short-term U.S. government and agency obligations (cost $62,533,634)			$	62,535,124

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires September 2014		2	$	210,560	$	(16,910	)

Forward Agreements^


	Rate Paid (Received)			Settlement Date		Commitment to (Deliver)/Receive			Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver		(0.34	)%		07/07/14	$	(2,660,000	)	$	(55,521,116	)	$	(5,772,553	)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		(0.24	)		07/07/14		(874,500	)		(18,253,089	)		(1,869,870	)
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		(0.14	)		07/07/14		(522,000	)		(10,895,497	)		(959,772	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		(0.19	)		07/07/14		(934,000	)		(19,495,008	)		(1,961,018	)

												$	(10,563,213	)

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

††	Cash collateral in the amount of $18,150 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

^	The positions and counterparties herein are as of June 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	7,838		$	16,691		$	20,795		$	39,046

Expenses
Management fee		140,948			290,088			345,108			540,615
Brokerage commissions		16			16			24			24

Total expenses		140,964			290,104			345,132			540,639

Net investment income (loss)		(133,126	)		(273,413	)		(324,337	)		(501,593	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		9,900			93,800			15,250			125,740
Forward agreements		12,445,216			51,521,527			(174,539	)		80,694,099
Short-term U.S. government and agency obligations		469			1,956			2,010			3,097

Net realized gain (loss)		12,455,585			51,617,283			(157,279	)		80,822,936

Change in net unrealized appreciation/depreciation on
Futures contracts		(22,240	)		(4,120	)		(31,110	)		(16,620	)
Forward agreements		(18,305,793	)		40,890,897			(8,335,356	)		21,838,500
Short-term U.S. government and agency obligations		(1,386	)		(4,874	)		(1,904	)		(8,228	)

Change in net unrealized appreciation/depreciation		(18,329,419	)		40,881,903			(8,368,370	)		21,813,652

Net realized and unrealized gain (loss)		(5,873,834	)		92,499,186			(8,525,649	)		102,636,588

Net income (loss)	$	(6,006,960	)	$	92,225,773		$	(8,849,986	)	$	102,134,995

Net income (loss) per weighted-average share	$	(8.54	)	$	57.16		$	(9.94	)	$	54.51

Weighted-average shares outstanding		703,544			1,613,434			889,981			1,873,682

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	112,989,686

Addition of 700,000 shares		54,418,009
Redemption of 1,250,000 shares		(106,367,453	)

Net addition (redemption) of (550,000) shares		(51,949,444	)


Net investment income (loss)		(324,337	)
Net realized gain (loss)		(157,279	)
Change in net unrealized appreciation/depreciation		(8,368,370	)

Net income (loss)		(8,849,986	)


Shareholders’ equity, at June 30, 2014	$	52,190,256

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	(8,849,986	)	$	102,134,995
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		3,850			(550	)
Net sale (purchase) of short-term U.S. government and agency obligations		52,289,038			4,302,557
Change in unrealized appreciation/depreciation on investments		8,337,260			(21,830,272	)
Decrease (Increase) in receivable on futures contracts		1,670			—
Increase (Decrease) in management fee payable		(52,864	)		1,922
Increase (Decrease) in payable on futures contracts		—			6,650

Net cash provided by (used in) operating activities		51,728,968			84,615,302

Cash flow from financing activities
Proceeds from addition of shares		54,418,009			95,085,247
Payment on shares redeemed		(106,367,453	)		(179,809,014	)

Net cash provided by (used in) financing activities		(51,949,444	)		(84,723,767	)

Net increase (decrease) in cash		(220,476	)		(108,465	)
Cash, beginning of period		461,167			344,378

Cash, end of period	$	240,691		$	235,913

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	1,332,692	$	863,980
Segregated cash balances with brokers for futures contracts		182,600		128,700
Short-term U.S. government and agency obligations (Note 3) (cost $12,789,830 and $7,901,405, respectively)		12,790,157		7,902,056
Receivable on open futures contracts		—		9,100

Total assets		14,305,449		8,903,836

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		49,240		—
Management fee payable		10,786		6,994

Total liabilities		60,026		6,994

Shareholders’ equity
Shareholders’ equity		14,245,423		8,896,842

Total liabilities and shareholders’ equity	$	14,305,449	$	8,903,836

Shares outstanding		400,005		250,005

Net asset value per share	$	35.61	$	35.59

Market value per share (Note 2)	$	35.66	$	35.66

See accompanying notes to financial statements.

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(90% of shareholders’ equity)
U.S. Treasury Bills:
0.071% due 08/21/14	$	2,789,000	$	2,788,901
0.031% due 09/04/14		1,566,000		1,565,943
0.034% due 09/11/14		6,163,000		6,162,754
0.039% due 11/06/14		103,000		102,984
0.036% due 11/13/14		371,000		370,930
0.045% due 11/20/14		1,799,000		1,798,645

Total short-term U.S. government and agency obligations (cost $12,789,830)			$	12,790,157

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Euro Fx Currency Futures - CME, expires September 2014		83	$	14,211,675	$	(111,159	)

††	Cash collateral in the amount of $182,600 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	1,359		$	511		$	2,405		$	1,025

Expenses
Management fee		28,155			493			45,561			493
Brokerage commissions		459			114			698			230
Offering costs		—			35,401			—			45,511
Limitation by Sponsor		—			(26,925	)		—			(28,232	)

Total expenses		28,614			9,083			46,259			18,002

Net investment income (loss)		(27,255	)		(8,572	)		(43,854	)		(16,977	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		225,122			(67,938	)		158,534			(75,938	)
Short-term U.S. government and agency obligations		—			5			258			147

Net realized gain (loss)		225,122			(67,933	)		158,792			(75,791	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(159,059	)		5,900			(77,928	)		122,669
Short-term U.S. government and agency obligations		(134	)		53			(324	)		(107	)

Change in net unrealized appreciation/depreciation		(159,193	)		5,953			(78,252	)		122,562

Net realized and unrealized gain (loss)		65,929			(61,980	)		80,540			46,771

Net income (loss)	$	38,674		$	(70,552	)	$	36,686		$	29,794

Net income (loss) per weighted-average share	$	0.12		$	(0.71	)	$	0.14		$	0.30

Weighted-average shares outstanding		333,521			100,005			270,999			100,005

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	8,896,842

Addition of 200,000 shares		7,104,479
Redemption of 50,000 shares		(1,792,584	)

Net addition (redemption) of 150,000 shares		5,311,895


Net investment income (loss)		(43,854	)
Net realized gain (loss)		158,792
Change in net unrealized appreciation/depreciation		(78,252	)

Net income (loss)		36,686


Shareholders’ equity, at June 30, 2014	$	14,245,423

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	36,686		$	29,794
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(53,900	)		6,325
Net sale (purchase) of short-term U.S. government and agency obligations		(4,888,425	)		92,863
Change in unrealized appreciation/depreciation on investments		324			107
Decrease (Increase) in receivable on futures contracts		9,100			(1,726	)
Decrease (Increase) in receivable from Sponsor		—			(30,376	)
Decrease (Increase) in Limitation by Sponsor		—			2,145
Change in offering cost		—			19,770
Increase (Decrease) in management fee payable		3,792			493
Increase (Decrease) in payable on futures contracts		49,240			—
Increase (Decrease) in payable for offering costs		—			25,741

Net cash provided by (used in) operating activities		(4,843,183	)		145,136

Cash flow from financing activities
Proceeds from addition of shares		7,104,479			—
Payment on shares redeemed		(1,792,584	)		—

Net cash provided by (used in) financing activities		5,311,895			—

Net increase (decrease) in cash		468,712			145,136
Cash, beginning of period		863,980			302,359

Cash, end of period	$	1,332,692		$	447,495

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	1,684,142	$	2,751,320
Segregated cash balances with brokers for futures contracts		707,850		1,141,635
Short-term U.S. government and agency obligations (Note 3) (cost $17,768,447 and $24,197,046, respectively)		17,768,429		24,198,507

Total assets		20,160,421		28,091,462

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		17,160		86,166
Management fee payable		15,960		22,017

Total liabilities		33,120		108,183

Shareholders’ equity
Shareholders’ equity		20,127,301		27,983,279

Total liabilities and shareholders’ equity	$	20,160,421	$	28,091,462

Shares outstanding		500,005		600,005

Net asset value per share	$	40.25	$	46.64

Market value per share (Note 2)	$	40.29	$	46.66

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(88% of shareholders’ equity)
U.S. Treasury Bills:
0.029% due 09/11/14	$	3,781,000	$	3,780,849
0.027% due 09/25/14		9,120,000		9,119,346
0.035% due 10/23/14		2,907,000		2,906,678
0.048% due 12/11/14		1,962,000		1,961,556

Total short-term U.S. government and agency obligations (cost $17,768,447)			$	17,768,429

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Australian Dollar Fx Currency Futures - CME, expires September 2014		429	$	40,223,040	$	(362,840	)

††	Cash collateral in the amount of $707,850 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	2,127		$	1,111		$	5,991		$	1,609

Expenses
Management fee		49,105			—			108,365			—
Brokerage commissions		2,584			3,381			6,366			3,779
Offering costs		—			34,834			—			44,944
Limitation by Sponsor		—			(6,735	)		—			(8,076	)

Total expenses		51,689			31,480			114,731			40,647

Net investment income (loss)		(49,562	)		(30,369	)		(108,740	)		(39,038	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,846,929	)		1,793,067			(1,925,538	)		1,905,097
Short-term U.S. government and agency obligations		83			26			487			161

Net realized gain (loss)		(1,846,846	)		1,793,093			(1,925,051	)		1,905,258

Change in net unrealized appreciation/depreciation on
Futures contracts		859,039			1,508,211			(1,280,445	)		1,313,051
Short-term U.S. government and agency obligations		(1,064	)		(67	)		(1,479	)		(226	)

Change in net unrealized appreciation/depreciation		857,975			1,508,144			(1,281,924	)		1,312,825

Net realized and unrealized gain (loss)		(988,871	)		3,301,237			(3,206,975	)		3,218,083

Net income (loss)	$	(1,038,433	)	$	3,270,868		$	(3,315,715	)	$	3,179,045

Net income (loss) per weighted-average share	$	(2.08	)	$	11.63		$	(6.31	)	$	16.63

Weighted-average shares outstanding		500,005			281,324			525,696			191,165

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	27,983,279

Redemption of 100,000 shares		(4,540,263	)


Net investment income (loss)		(108,740	)
Net realized gain (loss)		(1,925,051	)
Change in net unrealized appreciation/depreciation		(1,281,924	)

Net income (loss)		(3,315,715	)


Shareholders’ equity, at June 30, 2014	$	20,127,301

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	(3,315,715	)	$	3,179,045
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		433,785			(886,116	)
Net sale (purchase) of short-term U.S. government and agency obligations		6,428,599			(16,288,813	)
Change in unrealized appreciation/depreciation on investments		1,479			226
Decrease (Increase) in receivable on futures contracts		—			(533,851	)
Decrease (Increase) in Limitation by Sponsor		—			(8,077	)
Change in offering cost		—			19,203
Increase (Decrease) in management fee payable		(6,057	)		—
Increase (Decrease) in payable on futures contracts		(69,006	)		(10,950	)
Increase (Decrease) in payable for offering costs		—			25,741

Net cash provided by (used in) operating activities		3,473,085			(14,503,592	)

Cash flow from financing activities
Proceeds from addition of shares		—			16,245,812
Payment on shares redeemed		(4,540,263	)		—

Net cash provided by (used in) financing activities		(4,540,263	)		16,245,812

Net increase (decrease) in cash		(1,067,178	)		1,742,220
Cash, beginning of period		2,751,320			361,157

Cash, end of period	$	1,684,142		$	2,103,377

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	224,155	$	218,940
Short-term U.S. government and agency obligations (Note 3) (cost $445,858,348 and $437,821,545, respectively)		445,869,168		437,847,159
Unrealized appreciation on foreign currency forward contracts		327,971		151,351

Total assets		446,421,294		438,217,450

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		5,971,084
Management fee payable		349,087		345,393
Unrealized depreciation on foreign currency forward contracts		5,915,312		13,899,858

Total liabilities		6,264,399		20,216,335

Shareholders’ equity
Shareholders’ equity		440,156,895		418,001,115

Total liabilities and shareholders’ equity	$	446,421,294	$	438,217,450

Shares outstanding		25,800,014		24,500,014

Net asset value per share	$	17.06	$	17.06

Market value per share (Note 2)	$	17.05	$	17.06

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(101% of shareholders’ equity)
U.S. Treasury Bills:
0.050% due 07/10/14†	$	32,975,000	$	32,974,959
0.066% due 08/07/14		7,838,000		7,837,960
0.061% due 08/14/14		95,984,000		95,981,067
0.060% due 08/21/14†		124,055,000		124,050,606
0.024% due 08/28/14		31,584,000		31,582,982
0.027% due 09/25/14†		13,825,000		13,824,009
0.029% due 10/09/14†		55,284,000		55,279,393
0.035% due 10/23/14†		76,513,000		76,504,520
0.037% due 11/06/14†		5,118,000		5,117,181
0.040% due 11/13/14†		2,717,000		2,716,491

Total short-term U.S. government and agency obligations (cost $445,858,348)			$	445,869,168

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International	07/11/14		28,302,000		$	38,755,476		$	254,665
Euro with UBS AG	07/11/14		27,582,600			37,770,362			73,306

								$	327,971

Contracts to Sell
Euro with Goldman Sachs International	07/11/14		(351,137,125	)	$	(480,831,260	)	$	(2,982,819	)
Euro with UBS AG	07/11/14		(347,608,700	)		(475,999,595	)		(2,932,493	)

								$	(5,915,312	)

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

^	The positions and counterparties herein are as of June 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	59,294		$	52,873		$	128,651		$	140,103

Expenses
Management fee		1,007,662			1,203,991			1,978,418			2,384,334

Total expenses		1,007,662			1,203,991			1,978,418			2,384,334

Net investment income (loss)		(948,368	)		(1,151,118	)		(1,849,767	)		(2,244,231	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		5,886,956			(8,147,050	)		(6,295,085	)		(11,096,730	)
Short-term U.S. government and agency obligations		547			4,812			2,485			4,419

Net realized gain (loss)		5,887,503			(8,142,238	)		(6,292,600	)		(11,092,311	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(1,863,031	)		(8,918,725	)		8,161,166			17,894,296
Short-term U.S. government and agency obligations		(4,307	)		(22,855	)		(14,794	)		(23,595	)

Change in net unrealized appreciation/depreciation		(1,867,338	)		(8,941,580	)		8,146,372			17,870,701

Net realized and unrealized gain (loss)		4,020,165			(17,083,818	)		1,853,772			6,778,390

Net income (loss)	$	3,071,797		$	(18,234,936	)	$	4,005		$	4,534,159

Net income (loss) per weighted-average share	$	0.12		$	(0.69	)	$	0.00	*	$	0.17

Weighted-average shares outstanding		24,952,761			26,443,421			24,556,920			26,524,876

*	Less than $0.01.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	418,001,115

Addition of 2,250,000 shares		38,562,082
Redemption of 950,000 shares		(16,410,307	)

Net addition (redemption) of 1,300,000 shares		22,151,775


Net investment income (loss)		(1,849,767	)
Net realized gain (loss)		(6,292,600	)
Change in net unrealized appreciation/depreciation		8,146,372

Net income (loss)		4,005


Shareholders’ equity, at June 30, 2014	$	440,156,895

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	4,005		$	4,534,159
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		(8,036,803	)		34,348,547
Change in unrealized appreciation/depreciation on investments		(8,146,372	)		(17,870,701	)
Increase (Decrease) in management fee payable		3,694			(103,213	)

Net cash provided by (used in) operating activities		(16,175,476	)		20,908,792

Cash flow from financing activities
Proceeds from addition of shares		38,562,082			93,103,875
Payment on shares redeemed		(22,381,391	)		(114,029,797	)

Net cash provided by (used in) financing activities		16,180,691			(20,925,922	)

Net increase (decrease) in cash		5,215			(17,130	)
Cash, beginning of period		218,940			276,372

Cash, end of period	$	224,155		$	259,242

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	375,511	$	575,108
Short-term U.S. government and agency obligations (Note 3) (cost $363,182,251 and $558,563,134, respectively)		363,176,364		558,597,264
Unrealized appreciation on foreign currency forward contracts		480,205		31,317,568

Total assets		364,032,080		590,489,940

Liabilities and shareholders’ equity
Liabilities
Management fee payable		287,050		437,540
Unrealized depreciation on foreign currency forward contracts		10,127,815		1,930,884

Total liabilities		10,414,865		2,368,424

Shareholders’ equity
Shareholders’ equity		353,617,215		588,121,516

Total liabilities and shareholders’ equity	$	364,032,080	$	590,489,940

Shares outstanding		5,449,294		8,299,294

Net asset value per share	$	64.89	$	70.86

Market value per share (Note 2)	$	64.89	$	70.91

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(103% of shareholders’ equity)
U.S. Treasury Bills:
0.050% due 07/10/14†	$	15,472,000	$	15,471,981
0.057% due 08/07/14†		8,521,000		8,520,956
0.044% due 08/28/14†		15,702,000		15,701,494
0.031% due 09/04/14		77,259,000		77,256,210
0.028% due 09/18/14†		41,808,000		41,806,165
0.027% due 09/25/14†		39,963,000		39,960,136
0.029% due 10/09/14†		10,101,000		10,100,158
0.048% due 11/06/14		2,720,000		2,719,565
0.045% due 11/13/14†		9,846,000		9,844,154
0.045% due 11/20/14†		56,683,000		56,671,821
0.030% due 12/11/14†		85,143,000		85,123,724

Total short-term U.S. government and agency obligations (cost $363,182,251)			$	363,176,364

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International	07/11/14		4,021,491,200		$	39,699,116		$	194,323
Yen with UBS AG	07/11/14		3,928,152,500			38,777,700			285,882

								$	480,205

Contracts to Sell
Yen with Goldman Sachs International	07/11/14		(39,448,933,400	)	$	(389,429,615	)	$	(4,987,745	)
Yen with UBS AG	07/11/14		(40,348,769,000	)		(398,312,558	)		(5,140,070	)

								$	(10,127,815	)

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

^	The positions and counterparties herein are as of June 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	56,785		$	61,098		$	135,009		$	130,590

Expenses
Management fee		877,179			1,239,463			1,905,712			2,244,561

Total expenses		877,179			1,239,463			1,905,712			2,244,561

Net investment income (loss)		(820,394	)		(1,178,365	)		(1,770,703	)		(2,113,971	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		268,536			48,138,405			165,806			145,024,702
Short-term U.S. government and agency obligations		3,271			5,480			11,617			4,818

Net realized gain (loss)		271,807			48,143,885			177,423			145,029,520

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(14,493,994	)		(6,860,712	)		(39,034,294	)		(42,242,261	)
Short-term U.S. government and agency obligations		(37,904	)		(6,064	)		(40,017	)		(9,872	)

Change in net unrealized appreciation/depreciation		(14,531,898	)		(6,866,776	)		(39,074,311	)		(42,252,133	)

Net realized and unrealized gain (loss)		(14,260,091	)		41,277,109			(38,896,888	)		102,777,387

Net income (loss)	$	(15,080,485	)	$	40,098,744		$	(40,667,591	)	$	100,663,416

Net income (loss) per weighted-average share	$	(2.69	)	$	4.93		$	(6.71	)	$	12.85

Weighted-average shares outstanding		5,606,437			8,141,052			6,057,581			7,833,548

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	588,121,516

Addition of 450,000 shares		29,737,314
Redemption of 3,300,000 shares		(223,574,024	)

Net addition (redemption) of (2,850,000) shares		(193,836,710	)


Net investment income (loss)		(1,770,703	)
Net realized gain (loss)		177,423
Change in net unrealized appreciation/depreciation		(39,074,311	)

Net income (loss)		(40,667,591	)


Shareholders’ equity, at June 30, 2014	$	353,617,215

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	(40,667,591	)	$	100,663,416
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		195,380,883			(179,689,955	)
Change in unrealized appreciation/depreciation on investments		39,074,311			42,252,133
Increase (Decrease) in management fee payable		(150,490	)		113,810

Net cash provided by (used in) operating activities		193,637,113			(36,660,596	)

Cash flow from financing activities
Proceeds from addition of shares		29,737,314			273,282,757
Payment on shares redeemed		(223,574,024	)		(236,440,990	)

Net cash provided by (used in) financing activities		(193,836,710	)		36,841,767

Net increase (decrease) in cash		(199,597	)		181,171
Cash, beginning of period		575,108			363,826

Cash, end of period	$	375,511		$	544,997

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	1,233,080	$	85,642
Short-term U.S. government and agency obligations (Note 3) (cost $3,166,718 and $2,816,627, respectively)		3,166,730		2,816,688
Unrealized appreciation on swap agreements		14,121		15,078

Total assets		4,413,931		2,917,408

Liabilities and shareholders’ equity
Liabilities
Management fee payable		2,736		2,374
Unrealized depreciation on swap agreements		5,077		—

Total liabilities		7,813		2,374

Shareholders’ equity
Shareholders’ equity		4,406,118		2,915,034

Total liabilities and shareholders’ equity	$	4,413,931	$	2,917,408

Shares outstanding		200,014		150,014

Net asset value per share	$	22.03	$	19.43

Market value per share (Note 2)	$	22.02	$	19.13

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(72% of shareholders’ equity)
U.S. Treasury Bills:
0.031% due 09/04/14	$	1,163,000	$	1,162,958
0.041% due 09/11/14†		1,001,000		1,000,960
0.036% due 11/13/14†		1,003,000		1,002,812

Total short-term U.S. government and agency obligations (cost $3,166,718)			$	3,166,730

Swap Agreements^


	Rate Paid (Received)			Termination Date	Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index		0.25	%	07/07/14	$	3,598,575	$	7,260
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index		0.25		07/07/14		3,955,878		(5,077	)
Swap agreement with UBS AG based on Bloomberg Commodity Index		0.60		07/07/14		1,276,872		6,861

							$	9,044

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

^	The positions and counterparties herein are as of June 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	387		$	664		$	719		$	1,414

Expenses
Management fee		8,125			10,237			15,414			22,616

Total expenses		8,125			10,237			15,414			22,616

Net investment income (loss)		(7,738	)		(9,573	)		(14,695	)		(21,202	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(160,396	)		(274,078	)		376,946			(782,975	)
Short-term U.S. government and agency obligations		—			14			—			30

Net realized gain (loss)		(160,396	)		(274,064	)		376,946			(782,945	)

Change in net unrealized appreciation/depreciation on
Swap agreements		123,172			(586,322	)		(6,034	)		(165,007	)
Short-term U.S. government and agency obligations		(140	)		(45	)		(49	)		(117	)

Change in net unrealized appreciation/depreciation		123,032			(586,367	)		(6,083	)		(165,124	)

Net realized and unrealized gain (loss)		(37,364	)		(860,431	)		370,863			(948,069	)

Net income (loss)	$	(45,102	)	$	(870,004	)	$	356,168		$	(969,271	)

Net income (loss) per weighted-average share	$	(0.30	)	$	(4.35	)	$	2.35		$	(4.65	)

Weighted-average shares outstanding		152,761			200,014			151,395			208,578

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	2,915,034

Addition of 50,000 shares		1,134,916


Net investment income (loss)		(14,695	)
Net realized gain (loss)		376,946
Change in net unrealized appreciation/depreciation		(6,083	)

Net income (loss)		356,168


Shareholders’ equity, at June 30, 2014	$	4,406,118

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	356,168		$	(969,271	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		(350,091	)		2,041,248
Change in unrealized appreciation/depreciation on investments		6,083			165,124
Increase (Decrease) in management fee payable		362			(1,761	)

Net cash provided by (used in) operating activities		12,522			1,235,340

Cash flow from financing activities
Proceeds from addition of shares		1,134,916			—
Payment on shares redeemed		—			(1,275,613	)

Net cash provided by (used in) financing activities		1,134,916			(1,275,613	)

Net increase (decrease) in cash		1,147,438			(40,273	)
Cash, beginning of period		85,642			167,546

Cash, end of period	$	1,233,080		$	127,273

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	2,539,909	$	689,596
Segregated cash balances with brokers for futures contracts		2,639,670		3,821,895
Short-term U.S. government and agency obligations (Note 3) (cost $92,958,183 and $137,423,179, respectively)		92,959,952		137,435,610
Unrealized appreciation on swap agreements		4,111,030		1,957,893

Total assets		102,250,561		143,904,994

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		3,918,076		—
Payable on open futures contracts		313,787		997,210
Management fee payable		75,005		134,355

Total liabilities		4,306,868		1,131,565

Shareholders’ equity
Shareholders’ equity		97,943,693		142,773,429

Total liabilities and shareholders’ equity	$	102,250,561	$	143,904,994

Shares outstanding		2,499,170		4,449,170

Net asset value per share	$	39.19	$	32.09

Market value per share (Note 2)	$	39.19	$	32.22

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(95% of shareholders’ equity)
U.S. Treasury Bills:
0.049% due 07/10/14†	$	15,048,000	$	15,047,981
0.060% due 08/07/14†		2,380,000		2,379,988
0.067% due 08/21/14†		5,483,000		5,482,806
0.070% due 08/28/14†		17,224,000		17,223,445
0.040% due 09/04/14†		1,264,000		1,263,954
0.026% due 09/11/14†		13,366,000		13,365,465
0.025% due 09/18/14†		10,057,000		10,056,559
0.031% due 10/23/14		2,787,000		2,786,691
0.036% due 11/06/14†		10,986,000		10,984,242
0.045% due 11/20/14†		2,554,000		2,553,496
0.048% due 12/11/14†		11,818,000		11,815,325

Total short-term U.S. government and agency obligations (cost $92,958,183)			$	92,959,952

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil - NYMEX, expires September 2014		842	$	88,182,660	$	1,123,104

Swap Agreements^


	Rate Paid (Received)			Termination Date	Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Subindex		0.25	%	07/07/14	$	31,823,119	$	1,035,637
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25		07/07/14		27,268,424		1,328,164
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25		07/07/14		17,530,561		629,911
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25		07/07/14		31,095,182		1,117,318

							$	4,111,030

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

††	Cash collateral in the amount of $2,639,670 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

^	The positions and counterparties herein are as of June 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

*	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

STATEMENT OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

JUNE 30, 2014

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	11,287		$	38,629		$	32,988		$	101,903

Expenses
Management fee		228,560			670,575			574,502			1,510,962
Brokerage commissions		7,348			23,394			16,499			38,311

Total expenses		235,908			693,969			591,001			1,549,273

Net investment income (loss)		(224,621	)		(655,340	)		(558,013	)		(1,447,370	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		5,780,822			3,790,456			13,372,250			43,537,640
Swap agreements		4,033,279			16,943,213			17,635,519			43,760,354
Short-term U.S. government and agency obligations		1,571			9,883			7,958			8,850

Net realized gain (loss)		9,815,672			20,743,552			31,015,727			87,306,844

Change in net unrealized appreciation/depreciation on
Futures contracts		(986,210	)		(1,050,168	)		496,443			(21,648,062	)
Swap agreements		3,151,079			(21,007,097	)		2,153,137			(29,147,146	)
Short-term U.S. government and agency obligations		(2,098	)		(4,574	)		(10,662	)		(16,033	)

Change in net unrealized appreciation/depreciation		2,162,771			(22,061,839	)		2,638,918			(50,811,241	)

Net realized and unrealized gain (loss)		11,978,443			(1,318,287	)		33,654,645			36,495,603

Net income (loss)	$	11,753,822		$	(1,973,627	)	$	33,096,632		$	35,048,233

Net income (loss) per weighted-average share	$	4.43		$	(0.20	)	$	9.04		$	3.26

Weighted-average shares outstanding		2,655,763			9,729,390			3,662,430			10,736,739

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	142,773,429

Addition of 5,200,000 shares		158,474,412
Redemption of 7,150,000 shares		(236,400,780	)

Net addition (redemption) of (1,950,000) shares		(77,926,368	)


Net investment income (loss)		(558,013	)
Net realized gain (loss)		31,015,727
Change in net unrealized appreciation/depreciation		2,638,918

Net income (loss)		33,096,632


Shareholders’ equity, at June 30, 2014	$	97,943,693

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	33,096,632		$	35,048,233
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		1,182,225			16,779,672
Net sale (purchase) of short-term U.S. government and agency obligations		44,464,996			229,913,546
Change in unrealized appreciation/depreciation on investments		(2,142,475	)		29,163,179
Decrease (Increase) in receivable on futures contracts		—			3,430,415
Increase (Decrease) in management fee payable		(59,350	)		(208,647	)
Increase (Decrease) in payable on futures contracts		(683,423	)		702,657

Net cash provided by (used in) operating activities		75,858,605			314,829,055

Cash flow from financing activities
Proceeds from addition of shares		158,474,412			182,677,095
Payment on shares redeemed		(232,482,704	)		(498,660,421	)

Net cash provided by (used in) financing activities		(74,008,292	)		(315,983,326	)

Net increase (decrease) in cash		1,850,313			(1,154,271	)
Cash, beginning of period		689,596			2,198,932

Cash, end of period	$	2,539,909		$	1,044,661

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	570,487	$	3,102,827
Segregated cash balances with brokers for futures contracts		2,725,580		6,602,200
Short-term U.S. government and agency obligations (Note 3) (cost $15,519,408 and $58,918,095, respectively)		15,519,463		58,921,011
Receivable from capital shares sold		2,251,958		—
Receivable on open futures contracts		111,842		—

Total assets		21,179,330		68,626,038

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		—		5,628,532
Management fee payable		15,496		81,727

Total liabilities		15,496		5,710,259

Shareholders’ equity
Shareholders’ equity		21,163,834		62,915,779

Total liabilities and shareholders’ equity	$	21,179,330	$	68,626,038

Shares outstanding		469,941		1,619,941

Net asset value per share	$	45.04	$	38.84

Market value per share (Note 2)	$	45.02	$	39.28

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(73% of shareholders’ equity)
U.S. Treasury Bills:
0.048% due 07/10/14	$	1,580,000	$	1,579,998
0.057% due 08/07/14		217,000		216,999
0.073% due 08/14/14		481,000		480,985
0.039% due 08/28/14		996,000		995,968
0.040% due 09/04/14		171,000		170,994
0.035% due 09/11/14		2,118,000		2,117,915
0.036% due 10/23/14		4,012,000		4,011,555
0.040% due 11/06/14		5,946,000		5,945,049

Total short-term U.S. government and agency obligations (cost $15,519,408)			$	15,519,463

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, expires September 2014		953	$	42,313,200	$	(1,410,765	)

††	Cash collateral in the amount of $2,725,580 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	1,811		$	4,949		$	8,084		$	16,626

Expenses
Management fee		44,242			93,177			150,086			269,790
Brokerage commissions		9,286			23,462			27,277			56,397

Total expenses		53,528			116,639			177,363			326,187

Net investment income (loss)		(51,717	)		(111,690	)		(169,279	)		(309,561	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		162,451			9,153,747			16,965,826			14,901,941
Short-term U.S. government and agency obligations		506			2,584			3,213			3,777

Net realized gain (loss)		162,957			9,156,331			16,969,039			14,905,718

Change in net unrealized appreciation/depreciation on
Futures contracts		440,646			(19,990,856	)		2,245,774			(2,129,288	)
Short-term U.S. government and agency obligations		(459	)		(2,990	)		(2,861	)		(1,715	)

Change in net unrealized appreciation/depreciation		440,187			(19,993,846	)		2,242,913			(2,131,003	)

Net realized and unrealized gain (loss)		603,144			(10,837,515	)		19,211,952			12,774,715

Net income (loss)	$	551,427		$	(10,949,205	)	$	19,042,673		$	12,465,154

Net income (loss) per weighted-average share	$	1.42		$	(13.32	)	$	27.65		$	9.17

Weighted-average shares outstanding		386,974			822,139			688,726			1,359,168

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	62,915,779

Addition of 400,000 shares		18,451,569
Redemption of 1,550,000 shares		(79,246,187	)

Net addition (redemption) of (1,150,000) shares		(60,794,618	)


Net investment income (loss)		(169,279	)
Net realized gain (loss)		16,969,039
Change in net unrealized appreciation/depreciation		2,242,913

Net income (loss)		19,042,673


Shareholders’ equity, at June 30, 2014	$	21,163,834

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	19,042,673		$	12,465,154
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		3,876,620			4,403,290
Net sale (purchase) of short-term U.S. government and agency obligations		43,398,687			29,417,275
Change in unrealized appreciation/depreciation on investments		2,861			1,715
Decrease (Increase) in receivable on futures contracts		(111,842	)		—
Increase (Decrease) in management fee payable		(66,231	)		(20,891	)
Increase (Decrease) in payable on futures contracts		(5,628,532	)		(4,490,700	)

Net cash provided by (used in) operating activities		60,514,236			41,775,843

Cash flow from financing activities
Proceeds from addition of shares		16,199,611			64,246,608
Payment on shares redeemed		(79,246,187	)		(107,588,231	)

Net cash provided by (used in) financing activities		(63,046,576	)		(43,341,623	)

Net increase (decrease) in cash		(2,532,340	)		(1,565,780	)
Cash, beginning of period		3,102,827			3,385,764

Cash, end of period	$	570,487		$	1,819,984

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	123,566	$	142,566
Segregated cash balances with brokers for futures contracts		13,200		15,950
Short-term U.S. government and agency obligations (Note 3) (cost $122,189,443 and $140,884,104, respectively)		122,192,435		140,880,950
Unrealized appreciation on forward agreements		13,227,915		—

Total assets		135,557,116		141,039,466

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		2,097,225
Payable on open futures contracts		120		300
Management fee payable		98,872		111,562
Unrealized depreciation on forward agreements		—		6,812,974

Total liabilities		98,992		9,022,061

Shareholders’ equity
Shareholders’ equity		135,458,124		132,017,405

Total liabilities and shareholders’ equity	$	135,557,116	$	141,039,466

Shares outstanding		2,800,014		3,200,014

Net asset value per share	$	48.38	$	41.26

Market value per share (Note 2)	$	49.41	$	41.26

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(90% of shareholders’ equity)
U.S. Treasury Bills:
0.057% due 08/07/14†	$	31,324,000	$	31,323,839
0.070% due 08/28/14†		19,094,000		19,093,385
0.031% due 09/04/14		7,389,000		7,388,733
0.038% due 09/18/14†		10,239,000		10,238,551
0.027% due 09/25/14†		13,205,000		13,204,054
0.035% due 10/23/14†		1,253,000		1,252,861
0.046% due 12/11/14†		39,700,000		39,691,012

Total short-term U.S. government and agency obligations (cost $122,189,443)			$	122,192,435

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires August 2014		2	$	264,400	$	4,820

Forward Agreements^


	Rate Paid (Received)			Settlement Date	Commitment to (Deliver)/Receive		Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold		0.38	%	07/07/14	$	109,500	$	143,994,690	$	7,156,303
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		0.53		07/07/14		41,220		54,205,124		2,462,460
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		0.58		07/07/14		21,500		28,272,930		1,379,253
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		0.48		07/07/14		33,600		44,184,672		2,229,899

									$	13,227,915

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

††	Cash collateral in the amount of $13,200 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

^	The positions and counterparties herein are as of June 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	17,629		$	41,790		$	31,457		$	100,868

Expenses
Management fee		314,711			519,993			646,062			1,282,605
Brokerage commissions		8			8			24			24

Total expenses		314,719			520,001			646,086			1,282,629

Net investment income (loss)		(297,090	)		(478,211	)		(614,629	)		(1,181,761	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(14,080	)		(32,040	)		4,440			(65,540	)
Forward agreements		(21,475,056	)		(67,976,609	)		1,940,044			(118,358,314	)
Short-term U.S. government and agency obligations		793			5,838			723			8,497

Net realized gain (loss)		(21,488,343	)		(68,002,811	)		1,945,207			(118,415,357	)

Change in net unrealized appreciation/depreciation on
Futures contracts		21,680			(42,640	)		19,380			(26,020	)
Forward agreements		25,237,987			(62,927,844	)		20,040,889			(38,053,346	)
Short-term U.S. government and agency obligations		(3,219	)		(10,396	)		6,146			(18,982	)

Change in net unrealized appreciation/depreciation		25,256,448			(62,980,880	)		20,066,415			(38,098,348	)

Net realized and unrealized gain (loss)		3,768,105			(130,983,691	)		22,011,622			(156,513,705	)

Net income (loss)	$	3,471,015		$	(131,461,902	)	$	21,396,993		$	(157,695,466	)

Net income (loss) per weighted-average share	$	1.22		$	(36.33	)	$	7.32		$	(41.23	)

Weighted-average shares outstanding		2,847,267			3,618,146			2,921,285			3,825,152

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	132,017,405

Addition of 150,000 shares		7,049,141
Redemption of 550,000 shares		(25,005,415	)

Net addition (redemption) of (400,000) shares		(17,956,274	)


Net investment income (loss)		(614,629	)
Net realized gain (loss)		1,945,207
Change in net unrealized appreciation/depreciation		20,066,415

Net income (loss)		21,396,993


Shareholders’ equity, at June 30, 2014	$	135,458,124

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	21,396,993		$	(157,695,466	)
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		2,750			(2,750	)
Net sale (purchase) of short-term U.S. government and agency obligations		18,694,661			159,440,919
Change in unrealized appreciation/depreciation on investments		(20,047,035	)		38,072,328
Decrease (Increase) in receivable on futures contracts		—			1,560
Increase (Decrease) in management fee payable		(12,690	)		(139,210	)
Increase (Decrease) in payable on futures contracts		(180	)		—

Net cash provided by (used in) operating activities		20,034,499			39,677,381

Cash flow from financing activities
Proceeds from addition of shares		7,049,141			10,483,720
Payment on shares redeemed		(27,102,640	)		(50,312,824	)

Net cash provided by (used in) financing activities		(20,053,499	)		(39,829,104	)

Net increase (decrease) in cash		(19,000	)		(151,723	)
Cash, beginning of period		142,566			342,345

Cash, end of period	$	123,566		$	190,622

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	423,250	$	463,001
Segregated cash balances with brokers for futures contracts		9,075		22,000
Short-term U.S. government and agency obligations (Note 3) (cost $424,513,295 and $467,849,038, respectively)		424,515,400		467,868,976
Unrealized appreciation on forward agreements		86,902,211		—

Total assets		511,849,936		468,353,977

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		10,478,109		—
Payable on open futures contracts		575		2,450
Management fee payable		368,616		379,128
Unrealized depreciation on forward agreements		—		2,492,880

Total liabilities		10,847,300		2,874,458

Shareholders’ equity
Shareholders’ equity		501,002,636		465,479,519

Total liabilities and shareholders’ equity	$	511,849,936	$	468,353,977

Shares outstanding		7,146,533		7,350,007

Net asset value per share	$	70.10	$	63.33

Market value per share (Note 2)	$	71.76	$	63.04

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(85% of shareholders’ equity)
U.S. Treasury Bills:
0.046% due 07/10/14	$	17,973,000	$	17,972,978
0.066% due 08/07/14		4,566,000		4,565,977
0.070% due 08/14/14†		5,875,000		5,874,820
0.040% due 08/21/14†		27,690,000		27,689,019
0.070% due 08/28/14†		46,560,000		46,558,500
0.031% due 09/04/14†		21,081,000		21,080,239
0.030% due 09/11/14†		127,037,000		127,031,918
0.025% due 09/18/14		4,900,000		4,899,785
0.036% due 10/23/14†		6,088,000		6,087,325
0.038% due 11/06/14†		85,846,000		85,832,265
0.036% due 11/13/14†		76,937,000		76,922,574

Total short-term U.S. government and agency obligations (cost $424,513,295)			$	424,515,400

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires September 2014		1	$	105,280	$	8,455

Forward Agreements^


	Rate Paid (Received)			Settlement Date		Commitment to (Deliver)/Receive		Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver		0.94	%		07/07/14	$	26,077,000	$	544,294,790	$	45,349,782
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		1.09			07/07/14		7,929,800		165,515,543		16,680,099
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		1.14			07/07/14		5,051,000		105,427,503		9,222,909
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		1.09			07/07/14		8,943,000		186,663,662		15,649,421

										$	86,902,211

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

††	Cash collateral in the amount of $9,075 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

^	The positions and counterparties herein are as of June 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	51,355		$	102,633		$	113,957		$	261,893

Expenses
Management fee		1,098,533			1,309,255			2,286,437			3,092,914
Brokerage commissions		22			12			30			20

Total expenses		1,098,555			1,309,267			2,286,467			3,092,934

Net investment income (loss)		(1,047,200	)		(1,206,634	)		(2,172,510	)		(2,831,041	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(7,025	)		(94,004	)		(12,375	)		(126,144	)
Forward agreements		(106,232,925	)		(322,516,719	)		(32,272,003	)		(538,173,127	)
Short-term U.S. government and agency obligations		2,611			8,898			5,680			23,111

Net realized gain (loss)		(106,237,339	)		(322,601,825	)		(32,278,698	)		(538,276,160	)

Change in net unrealized appreciation/depreciation on
Futures contracts		13,785			4,270			22,655			16,520
Forward agreements		145,040,572			(168,444,141	)		89,395,091			(30,810,153	)
Short-term U.S. government and agency obligations		(13,905	)		(26,859	)		(17,833	)		(54,480	)

Change in net unrealized appreciation/depreciation		145,040,452			(168,466,730	)		89,399,913			(30,848,113	)

Net realized and unrealized gain (loss)		38,803,113			(491,068,555	)		57,121,215			(569,124,273	)

Net income (loss)	$	37,755,913		$	(492,275,189	)	$	54,948,705		$	(571,955,314	)

Net income (loss) per weighted-average share (Note 1)	$	5.09		$	(87.18	)	$	7.45		$	(113.15	)

Weighted-average shares outstanding (Note 1)		7,424,555			5,646,848			7,378,696			5,054,772

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	465,479,519

Addition of 1,187,500 shares		76,672,081
Redemption of 1,390,974 shares		(96,097,669	)

Net addition (redemption) of (203,474) shares		(19,425,588	)


Net investment income (loss)		(2,172,510	)
Net realized gain (loss)		(32,278,698	)
Change in net unrealized appreciation/depreciation		89,399,913

Net income (loss)		54,948,705


Shareholders’ equity, at June 30, 2014	$	501,002,636

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	54,948,705		$	(571,955,314	)
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		12,925			(550	)
Net sale (purchase) of short-term U.S. government and agency obligations		43,335,743			305,096,032
Change in unrealized appreciation/depreciation on investments		(89,377,258	)		30,864,633
Decrease (Increase) in receivable on futures contracts		—			(6,650	)
Increase (Decrease) in management fee payable		(10,512	)		(269,932	)
Increase (Decrease) in payable on futures contracts		(1,875	)		—

Net cash provided by (used in) operating activities		8,907,728			(236,271,781	)

Cash flow from financing activities
Proceeds from addition of shares		76,672,081			258,316,877
Payment on shares redeemed		(85,619,560	)		(22,349,890	)

Net cash provided by (used in) financing activities		(8,947,479	)		235,966,987

Net increase (decrease) in cash		(39,751	)		(304,794	)
Cash, beginning of period		463,001			890,051

Cash, end of period	$	423,250		$	585,257

See accompanying notes to financial statements.

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	377,409	$	314,796
Segregated cash balances with brokers for futures contracts		127,050		128,865
Short-term U.S. government and agency obligations (Note 3) (cost $3,087,469 and $2,716,026, respectively)		3,087,416		2,716,439
Receivable on open futures contracts		3,080		10,650

Total assets		3,594,955		3,170,750

Liabilities and shareholders’ equity
Liabilities
Management fee payable		2,766		2,585

Total liabilities		2,766		2,585

Shareholders’ equity
Shareholders’ equity		3,592,189		3,168,165

Total liabilities and shareholders’ equity	$	3,594,955	$	3,170,750

Shares outstanding		100,005		100,005

Net asset value per share	$	35.92	$	31.68

Market value per share (Note 2)	$	35.65	$	31.61

See accompanying notes to financial statements.

PROSHARES ULTRA AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(86% of shareholders’ equity)
U.S. Treasury Bills:
0.037% due 10/23/14	$	284,000	$	283,969
0.045% due 11/20/14		2,804,000		2,803,447

Total short-term U.S. government and agency obligations (cost $3,087,469)			$	3,087,416

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Australian Dollar Fx Currency Futures - CME, expires September 2014		77	$	7,219,520	$	63,500

††	Cash collateral in the amount of $127,050 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

See accompanying notes to financial statements.

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	528		$	424		$	1,086		$	1,070

Expenses
Management fee		8,295			—			15,803			—
Brokerage commissions		376			415			756			777
Offering costs		—			34,834			—			44,944
Limitation by Sponsor		—			(25,730	)		—			(26,064	)

Total expenses		8,671			9,519			16,559			19,657

Net investment income (loss)		(8,143	)		(9,095	)		(15,473	)		(18,587	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		285,670			(590,630	)		258,243			(739,905	)
Short-term U.S. government and agency obligations		—			110			—			15

Net realized gain (loss)		285,670			(590,520	)		258,243			(739,890	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(129,485	)		(332,037	)		181,720			(108,077	)
Short-term U.S. government and agency obligations		(389	)		42			(466	)		(118	)

Change in net unrealized appreciation/depreciation		(129,874	)		(331,995	)		181,254			(108,195	)

Net realized and unrealized gain (loss)		155,796			(922,515	)		439,497			(848,085	)

Net income (loss)	$	147,653		$	(931,610	)	$	424,024		$	(866,672	)

Net income (loss) per weighted-average share	$	1.48		$	(9.32	)	$	4.24		$	(8.67	)

Weighted-average shares outstanding		100,005			100,005			100,005			100,005

See accompanying notes to financial statements.

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	3,168,165

Net investment income (loss)		(15,473	)
Net realized gain (loss)		258,243
Change in net unrealized appreciation/depreciation		181,254

Net income (loss)		424,024


Shareholders’ equity, at June 30, 2014	$	3,592,189

See accompanying notes to financial statements.

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	424,024		$	(866,672	)
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		1,815			13,464
Net sale (purchase) of short-term U.S. government and agency obligations		(371,443	)		647,889
Change in unrealized appreciation/depreciation on investments		466			118
Decrease (Increase) in receivable on futures contracts		7,570			12,000
Decrease (Increase) in Limitation by Sponsor		—			(26,064	)
Change in offering cost		—			19,202
Increase (Decrease) in management fee payable		181			—
Increase (Decrease) in payable on futures contracts		—			84,282
Increase (Decrease) in payable for offering costs		—			25,741

Net cash provided by (used in) operating activities		62,613			(90,040	)

Net increase (decrease) in cash		62,613			(90,040	)
Cash, beginning of period		314,796			426,634

Cash, end of period	$	377,409		$	336,594

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	51,380	$	49,723
Short-term U.S. government and agency obligations (Note 3) (cost $2,486,757 and $2,455,715, respectively)		2,486,772		2,455,863
Unrealized appreciation on foreign currency forward contracts		31,105		120,908

Total assets		2,569,257		2,626,494

Liabilities and shareholders’ equity
Liabilities
Management fee payable		1,978		2,721
Unrealized depreciation on foreign currency forward contracts		378		19,946

Total liabilities		2,356		22,667

Shareholders’ equity
Shareholders’ equity		2,566,901		2,603,827

Total liabilities and shareholders’ equity	$	2,569,257	$	2,626,494

Shares outstanding		100,014		100,014

Net asset value per share	$	25.67	$	26.03

Market value per share (Note 2)	$	25.80	$	25.98

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(97% of shareholders’ equity)
U.S. Treasury Bills:
0.060% due 08/07/14†	$	1,203,000	$	1,202,994
0.037% due 10/23/14†		246,000		245,973
0.036% due 11/13/14		1,038,000		1,037,805

Total short-term U.S. government and agency obligations (cost $2,486,757)			$	2,486,772

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International	07/11/14		733,425		$	1,004,319		$	6,027
Euro with UBS AG	07/11/14		3,046,300			4,171,465			25,078

								$	31,105

Contracts to Sell
Euro with Goldman Sachs International	07/11/14		(30,700	)	$	(42,040	)	$	(378	)

								$	(378	)

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

^	The positions and counterparties herein are as of June 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	327		$	421		$	705		$	1,097

Expenses
Management fee		6,106			8,564			12,148			19,964

Total expenses		6,106			8,564			12,148			19,964

Net investment income (loss)		(5,779	)		(8,143	)		(11,443	)		(18,867	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(40,251	)		36,991			44,885			(28,371	)
Short-term U.S. government and agency obligations		—			(5	)		—			9

Net realized gain (loss)		(40,251	)		36,986			44,885			(28,362	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		9,743			96,965			(70,235	)		(124,190	)
Short-term U.S. government and agency obligations		(94	)		(74	)		(133	)		(96	)

Change in net unrealized appreciation/depreciation		9,649			96,891			(70,368	)		(124,286	)

Net realized and unrealized gain (loss)		(30,602	)		133,877			(25,483	)		(152,648	)

Net income (loss)	$	(36,381	)	$	125,734		$	(36,926	)	$	(171,515	)

Net income (loss) per weighted-average share	$	(0.36	)	$	0.82		$	(0.37	)	$	(0.97	)

Weighted-average shares outstanding		100,014			152,761			100,014			176,257

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	2,603,827

Net investment income (loss)		(11,443	)
Net realized gain (loss)		44,885
Change in net unrealized appreciation/depreciation		(70,368	)

Net income (loss)		(36,926	)


Shareholders’ equity, at June 30, 2014	$	2,566,901

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	(36,926	)	$	(171,515	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		(31,042	)		1,104,208
Change in unrealized appreciation/depreciation on investments		70,368			124,286
Increase (Decrease) in management fee payable		(743	)		(1,052	)

Net cash provided by (used in) operating activities		1,657			1,055,927

Cash flow from financing activities
Payment on shares redeemed		—			(1,177,307	)

Net cash provided by (used in) financing activities		—			(1,177,307	)

Net increase (decrease) in cash		1,657			(121,380	)
Cash, beginning of period		49,723			240,086

Cash, end of period	$	51,380		$	118,706

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	466,281	$	28,116
Short-term U.S. government and agency obligations (Note 3) (cost $1,479,851 and $2,928,242, respectively)		1,479,818		2,928,556
Unrealized appreciation on foreign currency forward contracts		76,915		4,052

Total assets		2,023,014		2,960,724

Liabilities and shareholders’ equity
Liabilities
Management fee payable		1,767		2,337
Unrealized depreciation on foreign currency forward contracts		24,196		163,361

Total liabilities		25,963		165,698

Shareholders’ equity
Shareholders’ equity		1,997,051		2,795,026

Total liabilities and shareholders’ equity	$	2,023,014	$	2,960,724

Shares outstanding		100,014		150,014

Net asset value per share	$	19.97	$	18.63

Market value per share (Note 2)	$	20.07	$	18.61

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(74% of shareholders’ equity)
U.S. Treasury Bills:
0.050% due 07/10/14†	$	361,000	$	361,000
0.037% due 10/23/14†		368,000		367,959
0.036% due 11/13/14		751,000		750,859

Total short-term U.S. government and agency obligations (cost $1,479,851)			$	1,479,818

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International	07/11/14		291,065,100		$	2,873,319		$	36,272
Yen with UBS AG	07/11/14		317,397,400			3,133,265			40,643

								$	76,915

Contracts to Sell
Yen with Goldman Sachs International	07/11/14		(202,709,800	)	$	(2,001,098	)	$	(24,099	)
Yen with UBS AG	07/11/14		(1,488,900	)		(14,698	)		(97	)

								$	(24,196	)

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

^	The positions and counterparties herein are as of June 30, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months			Three months			Six months			Six months
	ended June 30,			ended June 30,			ended June 30,			ended June 30,
	2014			2013			2014			2013
Investment Income
Interest	$	386		$	417		$	821		$	1,243

Expenses
Management fee		6,454			7,644			13,309			18,530

Total expenses		6,454			7,644			13,309			18,530

Net investment income (loss)		(6,068	)		(7,227	)		(12,488	)		(17,287	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(11,079	)		(456,601	)		(21,596	)		(1,674,572	)
Short-term U.S. government and agency obligations		2			11			78			53

Net realized gain (loss)		(11,077	)		(456,590	)		(21,518	)		(1,674,519	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		93,948			80,626			212,028			504,360
Short-term U.S. government and agency obligations		(245	)		67			(347	)		(92	)

Change in net unrealized appreciation/depreciation		93,703			80,693			211,681			504,268

Net realized and unrealized gain (loss)		82,626			(375,897	)		190,163			(1,170,251	)

Net income (loss)	$	76,558		$	(383,124	)	$	177,675		$	(1,187,538	)

Net income (loss) per weighted-average share	$	0.55		$	(2.55	)	$	1.23		$	(7.05	)

Weighted-average shares outstanding		138,476			150,014			144,213			168,522

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	2,795,026

Redemption of 50,000 shares		(975,650	)


Net investment income (loss)		(12,488	)
Net realized gain (loss)		(21,518	)
Change in net unrealized appreciation/depreciation		211,681

Net income (loss)		177,675


Shareholders’ equity, at June 30, 2014	$	1,997,051

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	177,675		$	(1,187,538	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		1,448,391			1,529,926
Change in unrealized appreciation/depreciation on investments		(211,681	)		(504,268	)
Increase (Decrease) in management fee payable		(570	)		(1,082	)

Net cash provided by (used in) operating activities		1,413,815			(162,962	)

Cash flow from financing activities
Proceeds from addition of shares		—			1,323,474
Payment on shares redeemed		(975,650	)		(1,180,652	)

Net cash provided by (used in) financing activities		(975,650	)		142,822

Net increase (decrease) in cash		438,165			(20,140	)
Cash, beginning of period		28,116			138,033

Cash, end of period	$	466,281		$	117,893

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	1,114,662	$	4,333,752
Segregated cash balances with brokers for futures contracts		20,781,600		64,020,350
Short-term U.S. government and agency obligations (Note 3) (cost $77,583,175 and $207,628,319, respectively)		77,584,126		207,636,383
Receivable on open futures contracts		—		3,179,017

Total assets		99,480,388		279,169,502

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		8,562,195
Payable on open futures contracts		1,041,667		—
Management fee payable		73,961		208,753

Total liabilities		1,115,628		8,770,948

Shareholders’ equity
Shareholders’ equity		98,364,760		270,398,554

Total liabilities and shareholders’ equity	$	99,480,388	$	279,169,502

Shares outstanding		5,174,812		9,474,812

Net asset value per share	$	19.01	$	28.54

Market value per share (Note 2)	$	19.03	$	28.53

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(79% of shareholders’ equity)
U.S. Treasury Bills:
0.048% due 07/10/14	$	1,424,000	$	1,423,998
0.055% due 08/07/14		3,338,000		3,337,983
0.035% due 08/14/14		3,820,000		3,819,883
0.067% due 08/21/14		4,099,000		4,098,855
0.039% due 08/28/14		2,264,000		2,263,927
0.036% due 09/04/14		28,864,000		28,862,958
0.035% due 09/11/14		831,000		830,967
0.040% due 09/18/14		1,389,000		1,388,939
0.026% due 09/25/14		1,568,000		1,567,888
0.033% due 10/23/14		5,984,000		5,983,337
0.048% due 11/06/14		4,918,000		4,917,213
0.044% due 11/13/14		4,516,000		4,515,153
0.045% due 11/20/14		7,913,000		7,911,439
0.033% due 01/08/15		6,663,000		6,661,586

Total short-term U.S. government and agency obligations (cost $77,583,175)			$	77,584,126

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2014		4,028	$	50,148,600	$	(5,476,013	)
VIX Futures - CBOE, expires August 2014		3,624		48,380,400		(1,137,473	)

					$	(6,613,486	)

††	Cash collateral in the amount of $20,781,600 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	10,546		$	19,211		$	34,214		$	43,539

Expenses
Management fee		236,584			454,439			614,049			806,110

Total expenses		236,584			454,439			614,049			806,110

Net investment income (loss)		(226,038	)		(435,228	)		(579,835	)		(762,571	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(41,227,047	)		11,156,344			(25,447,340	)		(44,252,605	)
Short-term U.S. government and agency obligations		4,626			4,792			11,232			3,030

Net realized gain (loss)		(41,222,421	)		11,161,136			(25,436,108	)		(44,249,575	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(1,586,521	)		9,582,597			10,039,200			1,457,956
Short-term U.S. government and agency obligations		(2,529	)		(9,307	)		(7,113	)		(9,378	)

Change in net unrealized appreciation/depreciation		(1,589,050	)		9,573,290			10,032,087			1,448,578

Net realized and unrealized gain (loss)		(42,811,471	)		20,734,426			(15,404,021	)		(42,800,997	)

Net income (loss)	$	(43,037,509	)	$	20,299,198		$	(15,983,856	)	$	(43,563,568	)

Net income (loss) per weighted-average share	$	(9.29	)	$	4.98		$	(2.97	)	$	(12.80	)

Weighted-average shares outstanding		4,630,307			4,072,778			5,378,679			3,402,475

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	270,398,554

Addition of 3,875,000 shares		99,763,141
Redemption of 8,175,000 shares		(255,813,079	)

Net addition (redemption) of (4,300,000) shares		(156,049,938	)


Net investment income (loss)		(579,835	)
Net realized gain (loss)		(25,436,108	)
Change in net unrealized appreciation/depreciation		10,032,087

Net income (loss)		(15,983,856	)


Shareholders’ equity, at June 30, 2014	$	98,364,760

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	(15,983,856	)	$	(43,563,568	)
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		43,238,750			(13,500,002	)
Net sale (purchase) of short-term U.S. government and agency obligations		130,045,144			10,280,890
Change in unrealized appreciation/depreciation on investments		7,113			9,378
Decrease (Increase) in receivable on futures contracts		3,179,017			—
Increase (Decrease) in management fee payable		(134,792	)		48,203
Increase (Decrease) in payable on futures contracts		1,041,667			(30,763,455	)

Net cash provided by (used in) operating activities		161,393,043			(77,488,554	)

Cash flow from financing activities
Proceeds from addition of shares		99,763,141			305,678,377
Payment on shares redeemed		(264,375,274	)		(228,382,253	)

Net cash provided by (used in) financing activities		(164,612,133	)		77,296,124

Net increase (decrease) in cash		(3,219,090	)		(192,430	)
Cash, beginning of period		4,333,752			2,989,958

Cash, end of period	$	1,114,662		$	2,797,528

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	848,717	$	1,906,397
Segregated cash balances with brokers for futures contracts		5,859,000		8,454,390
Short-term U.S. government and agency obligations (Note 3) (cost $34,381,059 and $46,039,268, respectively)		34,381,263		46,040,233
Receivable on open futures contracts		—		100,734

Total assets		41,088,980		56,501,754

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		5,321,983
Payable on open futures contracts		522,035		—
Management fee payable		30,951		45,448

Total liabilities		552,986		5,367,431

Shareholders’ equity
Shareholders’ equity		40,535,994		51,134,323

Total liabilities and shareholders’ equity	$	41,088,980	$	56,501,754

Shares outstanding		2,625,005		2,650,005

Net asset value per share	$	15.44	$	19.30

Market value per share (Note 2)	$	15.47	$	19.29

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(85% of shareholders’ equity)
U.S. Treasury Bills:
0.050% due 07/10/14	$	18,548,000	$	18,547,977
0.057% due 08/07/14		1,355,000		1,354,993
0.068% due 08/14/14		236,000		235,993
0.067% due 08/21/14		2,464,000		2,463,913
0.039% due 08/28/14		162,000		161,995
0.031% due 09/04/14		1,182,000		1,181,957
0.038% due 09/11/14		284,000		283,989
0.027% due 09/25/14		961,000		960,931
0.029% due 10/09/14		1,939,000		1,938,838
0.036% due 10/23/14		2,232,000		2,231,752
0.036% due 11/13/14		166,000		165,969
0.045% due 11/20/14		1,882,000		1,881,629
0.034% due 12/11/14		2,972,000		2,971,327

Total short-term U.S. government and agency obligations (cost $34,381,059)			$	34,381,263

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires October 2014		450	$	6,750,000	$	(1,062,040	)
VIX Futures - CBOE, expires November 2014		855		13,338,000		(1,474,770	)
VIX Futures - CBOE, expires December 2014		855		13,680,000		(849,690	)
VIX Futures - CBOE, expires January 2015		405		6,763,500		(108,550	)

					$	(3,495,050	)

††	Cash collateral in the amount of $5,859,000 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	4,925		$	6,431		$	10,253		$	13,751

Expenses
Management fee		102,112			133,204			217,448			238,020

Total expenses		102,112			133,204			217,448			238,020

Net investment income (loss)		(97,187	)		(126,773	)		(207,195	)		(224,269	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(6,666,419	)		(2,486,914	)		(12,064,321	)		(12,747,085	)
Short-term U.S. government and agency obligations		1,234			824			1,717			1,310

Net realized gain (loss)		(6,665,185	)		(2,486,090	)		(12,062,604	)		(12,745,775	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(1,487,840	)		7,458,863			1,401,639			7,052,844
Short-term U.S. government and agency obligations		(1,229	)		(3,852	)		(761	)		(5,072	)

Change in net unrealized appreciation/depreciation		(1,489,069	)		7,455,011			1,400,878			7,047,772

Net realized and unrealized gain (loss)		(8,154,254	)		4,968,921			(10,661,726	)		(5,698,003	)

Net income (loss)	$	(8,251,441	)	$	4,842,148		$	(10,868,921	)	$	(5,922,272	)

Net income (loss) per weighted-average share	$	(2.97	)	$	2.00		$	(3.85	)	$	(2.80	)

Weighted-average shares outstanding		2,778,027			2,415,115			2,825,005			2,113,541

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	51,134,323

Addition of 1,850,000 shares		33,853,464
Redemption of 1,875,000 shares		(33,582,872	)

Net addition (redemption) of (25,000) shares		270,592


Net investment income (loss)		(207,195	)
Net realized gain (loss)		(12,062,604	)
Change in net unrealized appreciation/depreciation		1,400,878

Net income (loss)		(10,868,921	)


Shareholders’ equity, at June 30, 2014	$	40,535,994

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	(10,868,921	)	$	(5,922,272	)
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		2,595,390			(4,072,000	)
Net sale (purchase) of short-term U.S. government and agency obligations		11,658,209			22,433,366
Change in unrealized appreciation/depreciation on investments		761			5,072
Decrease (Increase) in receivable on futures contracts		100,734			—
Increase (Decrease) in management fee payable		(14,497	)		(11,426	)
Increase (Decrease) in payable on futures contracts		522,035			(1,374,026	)

Net cash provided by (used in) operating activities		3,993,711			11,058,714

Cash flow from financing activities
Proceeds from addition of shares		33,853,464			71,667,073
Payment on shares redeemed		(38,904,855	)		(83,607,645	)

Net cash provided by (used in) financing activities		(5,051,391	)		(11,940,572	)

Net increase (decrease) in cash		(1,057,680	)		(881,858	)
Cash, beginning of period		1,906,397			2,063,715

Cash, end of period	$	848,717		$	1,181,857

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	7,445,536	$	2,240,977
Segregated cash balances with brokers for futures contracts		124,654,800		107,101,750
Short-term U.S. government and agency obligations (Note 3) (cost $177,917,757 and $109,530,861, respectively)		177,916,427		109,533,487
Receivable from service provider		925,804		—
Receivable from capital shares sold		2,656,221		10,903,664

Total assets		313,598,788		229,779,878

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		12,373,261		—
Payable on open futures contracts		5,702,682		3,356,803
Management fee payable		261,598		189,491

Total liabilities		18,337,541		3,546,294

Shareholders’ equity
Shareholders’ equity		295,261,247		226,233,584

Total liabilities and shareholders’ equity	$	313,598,788	$	229,779,878

Shares outstanding		11,120,099		3,372,389

Net asset value per share	$	26.55	$	67.08

Market value per share (Note 2)	$	26.62	$	67.12

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(60% of shareholders’ equity)
U.S. Treasury Bills:
0.053% due 08/07/14	$	4,094,000	$	4,093,979
0.035% due 08/14/14		8,052,000		8,051,754
0.039% due 08/21/14		3,169,000		3,168,888
0.030% due 08/28/14		2,887,000		2,886,907
0.039% due 09/04/14		25,051,000		25,050,095
0.035% due 09/11/14		10,068,000		10,067,597
0.037% due 09/18/14		4,193,000		4,192,816
0.026% due 09/25/14		6,620,000		6,619,525
0.037% due 10/23/14		57,402,000		57,395,638
0.048% due 11/06/14		6,852,000		6,850,904
0.046% due 11/13/14		10,000,000		9,998,125
0.045% due 11/20/14		3,277,000		3,276,354
0.030% due 12/11/14		32,272,000		32,264,694
0.033% due 01/08/15		4,000,000		3,999,151

Total short-term U.S. government and agency obligations (cost $177,917,757)			$	177,916,427

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2014		24,158	$	300,767,100	$	(33,369,308	)
VIX Futures - CBOE, expires August 2014		21,742		290,255,700		(7,164,038	)

					$	(40,533,346	)

††	Cash collateral in the amount of $124,654,800 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	20,656		$	18,527		$	41,932		$	36,066

Expenses
Management fee		789,047			744,547			1,375,179			1,277,454
Brokerage commissions		650,481			664,479			1,169,928			1,221,816

Total expenses		1,439,528			1,409,026			2,545,107			2,499,270

Net investment income (loss)		(1,418,872	)		(1,390,499	)		(2,503,175	)		(2,463,204	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(247,176,983	)		17,763,794			(250,723,287	)		(100,473,172	)
Swap agreements		—			—			—			(4,453,107	)
Short-term U.S. government and agency obligations		14,978			16,125			14,064			20,260

Net realized gain (loss)		(247,162,005	)		17,779,919			(250,709,223	)		(104,906,019	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(10,831,519	)		21,978,092			(16,523,435	)		1,183,909
Swap agreements		—			—			—			(301,351	)
Short-term U.S. government and agency obligations		(6,498	)		(4,150	)		(3,956	)		415

Change in net unrealized appreciation/depreciation		(10,838,017	)		21,973,942			(16,527,391	)		882,973

Net realized and unrealized gain (loss)		(258,000,022	)		39,753,861			(267,236,614	)		(104,023,046	)

Net income (loss)	$	(259,418,894	)	$	38,363,362		$	(269,739,789	)	$	(106,486,250	)

Net income (loss) per weighted-average share (Note 1)	$	(32.62	)	$	32.17		$	(46.15	)	$	(120.04	)

Weighted-average shares outstanding (Note 1)		7,952,517			1,192,482			5,845,266			887,067

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	226,233,584

Addition of 14,325,000 shares		749,779,908
Redemption of 6,577,290 shares		(411,012,456	)

Net addition (redemption) of 7,747,710 shares		338,767,452


Net investment income (loss)		(2,503,175	)
Net realized gain (loss)		(250,709,223	)
Change in net unrealized appreciation/depreciation		(16,527,391	)

Net income (loss)		(269,739,789	)


Shareholders’ equity, at June 30, 2014	$	295,261,247

See accompanying notes to financial statements.

100

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	(269,739,789	)	$	(106,486,250	)
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		(17,553,050	)		(78,367,993	)
Net sale (purchase) of short-term U.S. government and agency obligations		(68,386,896	)		1,852,239
Change in unrealized appreciation/depreciation on investments		3,956			300,936
Increase (Decrease) in management fee payable		72,107			107,324
Increase (Decrease) in payable on futures contracts		2,345,879			(29,261,742	)

Net cash provided by (used in) operating activities		(353,257,793	)		(211,855,486	)

Cash flow from financing activities
Proceeds from addition of shares		757,101,547			1,101,419,506
Payment on shares redeemed		(398,639,195	)		(889,410,821	)

Net cash provided by (used in) financing activities		358,462,352			212,008,685

Net increase (decrease) in cash		5,204,559			153,199
Cash, beginning of period		2,240,977			1,790,825

Cash, end of period	$	7,445,536		$	1,944,024

See accompanying notes to financial statements.

101

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	1,536,366	$	2,153,370
Segregated cash balances with brokers for futures contracts		38,188,800		33,552,650
Short-term U.S. government and agency obligations (Note 3) (cost $150,294,074 and $105,554,675, respectively)		150,294,400		105,559,022
Receivable from capital shares sold		8,841,998		—
Receivable on open futures contracts		—		603,833

Total assets		198,861,564		141,868,875

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		17,441,983		—
Payable on open futures contracts		14,181		—
Management fee payable		168,886		117,673

Total liabilities		17,625,050		117,673

Shareholders’ equity
Shareholders’ equity		181,236,514		141,751,202

Total liabilities and shareholders’ equity	$	198,861,564	$	141,868,875

Shares outstanding		2,050,040		2,100,040

Net asset value per share	$	88.41	$	67.50

Market value per share (Note 2)	$	88.27	$	67.47

See accompanying notes to financial statements.

102

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(83% of shareholders’ equity)
U.S. Treasury Bills:
0.050% due 07/10/14	$	22,266,000	$	22,265,972
0.040% due 08/07/14		5,409,000		5,408,972
0.068% due 08/14/14		1,688,000		1,687,948
0.035% due 08/21/14		2,137,000		2,136,924
0.034% due 08/28/14		14,969,000		14,968,518
0.035% due 09/11/14		8,614,000		8,613,656
0.029% due 09/18/14		11,386,000		11,385,500
0.027% due 09/25/14		11,065,000		11,064,207
0.029% due 10/09/14		11,453,000		11,452,046
0.030% due 10/23/14		4,340,000		4,339,519
0.035% due 11/06/14		13,772,000		13,769,797
0.026% due 11/13/14		1,188,000		1,187,777
0.045% due 11/20/14		2,661,000		2,660,475
0.049% due 12/11/14		39,362,000		39,353,089

Total short-term U.S. government and agency obligations (cost $150,294,074)			$	150,294,400

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2014		7,404	$	92,179,800	$	6,750,327
VIX Futures - CBOE, expires August 2014		6,657		88,870,950		2,170,300

					$	8,920,627

††	Cash collateral in the amount of $38,188,800 was pledged to cover margin requirements for open futures contracts as of June 30, 2014.

See accompanying notes to financial statements.

103

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	20,024		$	7,368		$	44,229		$	16,633

Expenses
Management fee		486,704			185,400			990,622			323,063
Brokerage commissions		273,431			118,168			564,757			203,189

Total expenses		760,135			303,568			1,555,379			526,252

Net investment income (loss)		(740,111	)		(296,200	)		(1,511,150	)		(509,619	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		73,536,615			(4,128,965	)		76,268,051			21,075,146
Short-term U.S. government and agency obligations		7,145			1,978			9,959			2,054

Net realized gain (loss)		73,543,760			(4,126,987	)		76,278,010			21,077,200

Change in net unrealized appreciation/depreciation on
Futures contracts		837,428			(3,022,387	)		803,672			753,504
Short-term U.S. government and agency obligations		(5,530	)		(2,258	)		(4,021	)		(3,920	)

Change in net unrealized appreciation/depreciation		831,898			(3,024,645	)		799,651			749,584

Net realized and unrealized gain (loss)		74,375,658			(7,151,632	)		77,077,661			21,826,784

Net income (loss)	$	73,635,547		$	(7,447,832	)	$	75,566,511		$	21,317,165

Net income (loss) per weighted-average share (Note 1)	$	25.23		$	(4.11	)	$	23.59		$	13.19

Weighted-average shares outstanding (Note 1)		2,918,721			1,814,326			3,203,355			1,616,615

See accompanying notes to financial statements.

104

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	141,751,202

Addition of 3,950,000 shares		247,070,571
Redemption of 4,000,000 shares		(283,151,770	)

Net addition (redemption) of (50,000) shares		(36,081,199	)


Net investment income (loss)		(1,511,150	)
Net realized gain (loss)		76,278,010
Change in net unrealized appreciation/depreciation		799,651

Net income (loss)		75,566,511


Shareholders’ equity, at June 30, 2014	$	181,236,514

See accompanying notes to financial statements.

105

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	75,566,511		$	21,317,165
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(4,636,150	)		(11,108,503	)
Net sale (purchase) of short-term U.S. government and agency obligations		(44,739,399	)		(29,611,638	)
Change in unrealized appreciation/depreciation on investments		4,021			3,920
Decrease (Increase) in receivable on futures contracts		603,833			4,895,940
Increase (Decrease) in management fee payable		51,213			20,901
Increase (Decrease) in payable on futures contracts		14,181			—

Net cash provided by (used in) operating activities		26,864,210			(14,482,215	)

Cash flow from financing activities
Proceeds from addition of shares		238,228,573			338,239,156
Payment on shares redeemed		(265,709,787	)		(324,290,938	)

Net cash provided by (used in) financing activities		(27,481,214	)		13,948,218

Net increase (decrease) in cash		(617,004	)		(533,997	)
Cash, beginning of period		2,153,370			2,236,726

Cash, end of period	$	1,536,366		$	1,702,729

See accompanying notes to financial statements.

106

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION


	June 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	29,758,849	$	23,390,732
Segregated cash balances with brokers for futures contracts		211,475,455		235,046,530
Short-term U.S. government and agency obligations (Note 3) (cost $2,513,444,430 and $2,846,340,077, respectively)		2,513,462,709		2,846,465,825
Unrealized appreciation on swap agreements		4,125,151		1,972,971
Unrealized appreciation on forward agreements		100,130,126		5,633,053
Unrealized appreciation on foreign currency forward contracts		916,196		31,593,879
Receivable from service provider		925,804		—
Receivable from capital shares sold		13,750,177		10,903,664
Receivable on open futures contracts		893,934		6,930,575

Total assets		2,875,438,401		3,161,937,229

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		48,315,423		37,227,491
Payable on open futures contracts		8,392,763		10,071,461
Management fee payable		2,210,703		2,522,868
Unrealized depreciation on swap agreements		16,159,948		2,360,565
Unrealized depreciation on forward agreements		21,146,721		11,533,711
Unrealized depreciation on foreign currency forward contracts		16,067,701		16,014,049

Total liabilities		112,293,259		79,730,145

Shareholders’ equity
Shareholders’ equity		2,763,145,142		3,082,207,084

Total liabilities and shareholders’ equity	$	2,875,438,401	$	3,161,937,229

Shares outstanding		84,245,339		79,426,103

See accompanying notes to financial statements.

107

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Three months ended June 30, 2014			Three months ended June 30, 2013			Six months ended June 30, 2014			Six months ended June 30, 2013
Investment Income
Interest	$	325,930		$	420,559		$	731,121		$	999,479

Expenses
Management fee		6,660,516			7,752,342			13,551,427			15,523,073
Brokerage commissions		1,002,278			869,039			1,887,797			1,577,032
Offering costs		—			105,069			—			135,399
Limitation by Sponsor		—			(59,390	)		—			(62,372	)

Total expenses		7,662,794			8,667,060			15,439,224			17,173,132

Net investment income (loss)		(7,336,864	)		(8,246,501	)		(14,708,103	)		(16,173,653	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(239,250,210	)		40,803,576			(217,587,419	)		(82,709,936	)
Swap agreements		(7,208,136	)		12,589,380			(3,070,999	)		37,115,826
Forward agreements		(101,401,500	)		(318,145,751	)		(38,776,360	)		(542,161,245	)
Foreign currency forward contracts		6,104,162			39,571,745			(6,105,990	)		132,225,029
Short-term U.S. government and agency obligations		45,965			75,010			88,446			94,145

Net realized gain (loss)		(341,709,719	)		(225,106,040	)		(265,452,322	)		(455,436,181	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(13,967,799	)		20,854,581			(5,232,119	)		(6,930,051	)
Swap agreements		(12,289,958	)		(10,099,859	)		(11,647,203	)		(24,122,719	)
Forward agreements		132,857,496			(135,449,116	)		84,884,063			1,030,835
Foreign currency forward contracts		(16,253,334	)		(15,601,846	)		(30,731,335	)		(23,967,795	)
Short-term U.S. government and agency obligations		(91,974	)		(104,052	)		(107,469	)		(158,014	)

Change in net unrealized appreciation/depreciation		90,254,431			(140,400,292	)		37,165,937			(54,147,744	)

Net realized and unrealized gain (loss)		(251,455,288	)		(365,506,332	)		(228,286,385	)		(509,583,925	)

Net income (loss)	$	(258,792,152	)	$	(373,752,833	)	$	(242,994,488	)	$	(525,757,578	)

See accompanying notes to financial statements.

108

PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	3,082,207,084

Addition of 51,987,500 shares		2,074,661,067
Redemption of 47,168,264 shares		(2,150,728,521	)

Net addition (redemption) of 4,819,236 shares		(76,067,454	)


Net investment income (loss)		(14,708,103	)
Net realized gain (loss)		(265,452,322	)
Change in net unrealized appreciation/depreciation		37,165,937

Net income (loss)		(242,994,488	)


Shareholders’ equity, at June 30, 2014	$	2,763,145,142

See accompanying notes to financial statements.

109

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2014 AND 2013

(unaudited)


	Six months ended June 30, 2014			Six months ended June 30, 2013
Cash flow from operating activities
Net income (loss)	$	(242,994,488	)	$	(525,757,578	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		23,571,075			(92,241,439	)
Net sale (purchase) of short-term U.S. government and agency obligations		332,895,647			378,376,504
Change in unrealized appreciation/depreciation on investments		(42,398,056	)		47,217,693
Decrease (Increase) in receivable on futures contracts		6,036,641			7,325,537
Decrease (Increase) in receivable from Sponsor		—			(30,376	)
Decrease (Increase) in Limitation by Sponsor		—			(31,996	)
Change in offering cost		—			58,175
Increase (Decrease) in management fee payable		(312,165	)		(278,203	)
Increase (Decrease) in payable on futures contracts		(1,678,698	)		(66,088,180	)
Increase (Decrease) in payable for offering cost		—			77,223

Net cash provided by (used in) operating activities		75,119,956			(251,372,640	)

Cash flow from financing activities
Proceeds from addition of shares		2,070,888,750			3,278,211,023
Payment on shares redeemed		(2,139,640,589	)		(3,028,355,414	)

Net cash provided by (used in) financing activities		(68,751,839	)		249,855,609

Net increase (decrease) in cash		6,368,117			(1,517,031	)
Cash, beginning of period		23,390,732			19,959,356

Cash, end of period	$	29,758,849		$	18,442,325

See accompanying notes to financial statements.

110

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

June 30, 2014

(unaudited)

NOTE 1 – ORGANIZATION

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of June 30, 2014, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares UltraShort Bloomberg Commodity (formerly ProShares UltraShort DJ-UBS Commodity), ProShares UltraShort Bloomberg Crude Oil (formerly ProShares UltraShort DJ-UBS Crude Oil), ProShares UltraShort Bloomberg Natural Gas (formerly ProShares UltraShort DJ-UBS Natural Gas), ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity (formerly ProShares Ultra DJ-UBS Commodity), ProShares Ultra Bloomberg Crude Oil (formerly ProShares Ultra DJ-UBS Crude Oil), ProShares Ultra Bloomberg Natural Gas (formerly ProShares Ultra DJ-UBS Natural Gas), ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Australian Dollar, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); (ii) ProShares Short Euro (the “Short Euro Fund”); (iii) ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iv) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”). 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 Leveraged Fund, Short Euro Fund, Geared VIX Fund or Matching VIX Fund. The Shares of each Leveraged Fund, the Short Euro Fund, each Geared VIX Fund and each Matching VIX Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

The Trust registered shares for thirty-two additional series: (i) ProShares Short Bloomberg Natural Gas (formerly ProShares Short DJ-UBS Natural Gas) and ProShares Short Gold (collectively, the “Short Funds”); (ii) ProShares UltraShort VIX Short-Term Futures ETF, ProShares Ultra VIX Mid-Term Futures ETF, ProShares Short VIX Mid-Term Futures ETF and ProShares UltraShort VIX Mid-Term Futures ETF (collectively, the “New Geared VIX Funds”); (iii) ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy (each, a “Managed Futures Fund” and collectively, the “Managed Futures Funds”); (iv) ProShares Financial Managed Futures Strategy; (v) ProShares UltraPro Australian Dollar, ProShares Short Australian Dollar, ProShares UltraPro Short Australian Dollar, ProShares UltraPro Canadian Dollar, ProShares Ultra Canadian Dollar, ProShares Short Canadian Dollar, ProShares UltraShort Canadian Dollar, ProShares UltraPro Short Canadian Dollar, ProShares UltraPro Euro, ProShares UltraPro Short Euro, ProShares UltraPro Swiss Franc, ProShares Ultra Swiss Franc, ProShares Short Swiss Franc, ProShares UltraShort Swiss Franc, ProShares UltraPro Short Swiss Franc, ProShares UltraPro Yen, ProShares Short Yen and ProShares UltraPro Short Yen; and (vi) ProShares UltraPro U.S. Dollar, ProShares Ultra U.S. Dollar, ProShares Short U.S. Dollar, ProShares UltraShort U.S. Dollar and ProShares UltraPro Short U.S. Dollar (collectively, the “Currency Index Funds”). The thirty-two additional series were never publicly offered and their registration has subsequently been terminated. Thus, as of June 30, 2014, the only Funds that have registered amounts are the twenty-one series of the Trust that have commenced investment operations.

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

Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

111

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

Each 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.

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.

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the six months ended June 30, 2014 and year ended December 31, 2013. The ticker symbols for these Funds did not change and each Fund continues to trade on the NYSE Arca.


Fund	Execution Date (Prior to Opening of Trading)	Type of Split	Date Trading Resumed at Post- Split Price

ProShares UltraShort Bloomberg Natural Gas	June 10, 2013	1-for-4 reverse Share split	June 10, 2013
ProShares Ultra Silver	January 21, 2014	1-for-4 reverse Share split	January 24, 2014
ProShares VIX Short-Term Futures ETF	June 10, 2013	1-for-5 reverse Share split	June 10, 2013
ProShares Ultra VIX Short-Term Futures ETF	June 10, 2013	1-for-10 reverse Share split	June 10, 2013
ProShares Ultra VIX Short-Term Futures ETF	January 21, 2014	1-for-4 reverse Share split	January 24, 2014
ProShares Short VIX Short-Term Futures ETF	January 21, 2014	2-for-1 Share split	January 24, 2014

The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Silver, ProShares VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

The split was applied retroactively for all periods presented, increasing the number of Shares outstanding for ProShares Short VIX Short-Term Futures ETF, and resulted in a proportionate decrease in the price per Share and per Share information of such Fund. Therefore, the split did not change the aggregate net asset value of a shareholder’s investment at the time of the split.

NOTE 2 - SIGNIFICANT ACCOUNTING POLICIES

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”).

112

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 U.S. Securities and Exchange Commission (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, 2013, as filed with the SEC on March 3, 2014.

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

In June 2013, the FASB issued Accounting Standard Update No. 2013-08, “Financial Services – Investment Companies (“Topic 946”): Amendments to the Scope, Measurement and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 clarifies the characteristics of an investment company and provides comprehensive guidance for assessing whether an entity is an investment company and for the measurement of non-controlling ownership interests in other investment companies. The Trust and each Fund meet the requirements to be classified as an investment company and follow the accounting and reporting guidance in FASB Topic 946.

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated June 30, 2014, and represents non-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

The times of the calculation of the Leveraged Funds’, the Short Euro Fund’s, the Geared VIX Funds’ and the Matching VIX Funds’ final net asset value for creation and redemption of fund Shares for the six months ended June 30, 2014 were as follows. All times are Eastern Standard Time:


	NAV Calculation Time			NAV Calculation Date
UltraShort Silver, Ultra Silver		7:00 a.m.			June 30
UltraShort Gold, Ultra Gold		10:00 a.m.			June 30
UltraShort Bloomberg Crude Oil, Ultra Bloomberg Crude Oil		2:30 p.m.			June 30
UltraShort Bloomberg Natural Gas, Ultra Bloomberg Natural Gas		2:30 p.m.			June 30
UltraShort Bloomberg Commodity, Ultra Bloomberg Commodity		3:00 p.m.	*		June 30
UltraShort Australian Dollar, Ultra Australian Dollar		4:00 p.m.			June 30
Short Euro, UltraShort Euro, Ultra Euro		4:00 p.m.			June 30
UltraShort Yen, Ultra Yen		4:00 p.m.			June 30
VIX Short-Term Futures ETF, Ultra VIX Short-Term Futures ETF, Short VIX Short-Term Futures ETF		4:15 p.m.			June 30
VIX Mid-Term Futures ETF		4:15 p.m.			June 30

*	On July 31, 2014, the NAV Calculation Time for ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity was changed from 3:00 p.m. to 2:30 p.m.

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Although the Leveraged Funds’, the Short Euro Fund’s, the Geared VIX Funds’ and the Matching VIX 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 six months ended June 30, 2014.

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 Leveraged Funds, the Short Euro Fund, and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three and six months ended June 30, 2014.

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 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. 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 Leveraged Funds’, the Short Euro Fund’s and the VIX Funds’ policies are intended to result in a calculation of a Leveraged Fund’s, the Short Euro Fund’s or a VIX Fund’s NAV that fairly reflects investment values as of the time of pricing, a Leveraged Fund, the Short Euro Fund or a VIX 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 a Leveraged Fund, the Short Euro Fund or a 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.

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

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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.

115

The following table summarizes the valuation of investments at June 30, 2014 using the fair value hierarchy:


	Level I - Quoted Prices					Level II - Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
UltraShort Bloomberg Commodity	$	2,975,627	$	—		$	—		$	—		$	(49,719	)	$	2,925,908
UltraShort Bloomberg Crude Oil		364,434,603		(5,168,641	)		—			—			(16,105,152	)		343,160,810
UltraShort Bloomberg Natural Gas		44,127,812		2,467,844			—			—			—			46,595,656
UltraShort Gold		94,201,223		(4,840	)		(10,583,508	)		—			—			83,612,875
UltraShort Silver		62,535,124		(16,910	)		(10,563,213	)		—			—			51,955,001
Short Euro		12,790,157		(111,159	)		—			—			—			12,678,998
UltraShort Australian Dollar		17,768,429		(362,840	)		—			—			—			17,405,589
UltraShort Euro		445,869,168		—			—			(5,587,341	)		—			440,281,827
UltraShort Yen		363,176,364		—			—			(9,647,610	)		—			353,528,754
Ultra Bloomberg Commodity		3,166,730		—			—			—			9,044			3,175,774
Ultra Bloomberg Crude Oil		92,959,952		1,123,104			—			—			4,111,030			98,194,086
Ultra Bloomberg Natural Gas		15,519,463		(1,410,765	)		—			—			—			14,108,698
Ultra Gold		122,192,435		4,820			13,227,915			—			—			135,425,170
Ultra Silver		424,515,400		8,455			86,902,211			—			—			511,426,066
Ultra Australian Dollar		3,087,416		63,500			—			—			—			3,150,916
Ultra Euro		2,486,772		—			—			30,727			—			2,517,499
Ultra Yen		1,479,818		—			—			52,719			—			1,532,537
VIX Short-Term Futures ETF		77,584,126		(6,613,486	)		—			—			—			70,970,640
VIX Mid-Term Futures ETF		34,381,263		(3,495,050	)		—			—			—			30,886,213
Ultra VIX Short-Term Futures ETF		177,916,427		(40,533,346	)		—			—			—			137,383,081
Short VIX Short-Term Futures ETF		150,294,400		8,920,627			—			—			—			159,215,027

Total Trust	$	2,513,462,709	$	(45,128,687	)	$	78,983,405		$	(15,151,505	)	$	(12,034,797	)	$	2,520,131,125

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

At June 30, 2014, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

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The following table summarizes the valuation of investments at December 31, 2013 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
UltraShort Bloomberg Commodity	$	3,453,890	$	—		$	—		$	—		$	(27,665	)	$	3,426,225
UltraShort Bloomberg Crude Oil		247,584,623		(1,232,773	)		—			—			(2,332,900	)		244,018,950
UltraShort Bloomberg Natural Gas		18,274,713		1,042,300			—			—			—			19,317,013
UltraShort Gold		148,988,329		14,520			5,633,053			—			—			154,635,902
UltraShort Silver		114,826,066		14,200			(2,227,857	)		—			—			112,612,409
Short Euro		7,902,056		(33,231	)		—			—			—			7,868,825
UltraShort Australian Dollar		24,198,507		917,605			—			—			—			25,116,112
UltraShort Euro		437,847,159		—			—			(13,748,507	)		—			424,098,652
UltraShort Yen		558,597,264		—			—			29,386,684			—			587,983,948
Ultra Bloomberg Commodity		2,816,688		—			—			—			15,078			2,831,766
Ultra Bloomberg Crude Oil		137,435,610		626,661			—			—			1,957,893			140,020,164
Ultra Bloomberg Natural Gas		58,921,011		(3,656,539	)		—			—			—			55,264,472
Ultra Gold		140,880,950		(14,560	)		(6,812,974	)		—			—			134,053,416
Ultra Silver		467,868,976		(14,200	)		(2,492,880	)		—			—			465,361,896
Ultra Australian Dollar		2,716,439		(118,220	)		—			—			—			2,598,219
Ultra Euro		2,455,863		—			—			100,962			—			2,556,825
Ultra Yen		2,928,556		—			—			(159,309	)		—			2,769,247
VIX Short-Term Futures ETF		207,636,383		(16,652,686	)		—			—			—			190,983,697
VIX Mid-Term Futures ETF		46,040,233		(4,896,689	)		—			—			—			41,143,544
Ultra VIX Short-Term Futures ETF		109,533,487		(24,009,911	)		—			—			—			85,523,576
Short VIX Short-Term Futures ETF		105,559,022		8,116,955			—			—			—			113,675,977

Total Trust	$	2,846,465,825	$	(39,896,568	)	$	(5,900,658	)	$	15,579,830		$	(387,594	)	$	2,815,860,835

*	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, 2013, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

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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). For the three and six months ended June 30, 2014 and until July 30, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

Federal Income Tax

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

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

NOTE 3 – INVESTMENTS

Short-Term Investments

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

Accounting for Derivative Instruments

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

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

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

Futures Contracts

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

Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is effected. The initial margin is segregated as cash balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk 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 and forward 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.

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

The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by the Fund’s Custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

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

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at June 30, 2014 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

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agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of June 30, 2014, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

Forward Contracts

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

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

Forward contracts have traditionally not been cleared or guaranteed by a third party. However, the Dodd-Frank Act provides for significant reforms of the OTC derivatives markets, including a requirement to execute most forward contracts on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. 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 June 30, 2014, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

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

Fair Value of Derivative Instruments

as of June 30, 2014

Asset Derivatives

Liability Derivatives

Derivatives not
accounted for
as hedging
instruments

Statements of

Financial

Condition

Location

Fund

Unrealized
Appreciation

Statements of

Financial

Condition

Location

Fund

Unrealized
Depreciation

Commodities Contracts

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

ProShares UltraShort Bloomberg Natural Gas

2,467,844

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

ProShares UltraShort Bloomberg Commodity

49,719

ProShares Ultra Bloomberg Commodity

14,121

ProShares UltraShort Bloomberg Crude Oil

21,273,793

ProShares Ultra Bloomberg Crude Oil

5,234,134

ProShares UltraShort Gold

10,588,348

ProShares Ultra Gold

13,232,735

ProShares UltraShort Silver

10,580,123

ProShares Ultra Silver

86,910,666

ProShares Ultra Bloomberg Commodity

5,077

ProShares Ultra Bloomberg Natural Gas

1,410,765

Foreign Exchange Contracts

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

ProShares UltraShort Euro

327,971

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

ProShares Short Euro

111,159

ProShares UltraShort Yen

480,205

ProShares UltraShort Australian Dollar

362,840

ProShares Ultra Australian Dollar

63,500

ProShares UltraShort Euro

5,915,312

ProShares Ultra Euro

31,105

ProShares UltraShort Yen

10,127,815

ProShares Ultra Yen

76,915

ProShares Ultra Euro

378

ProShares Ultra Yen

24,196

VIX Futures Contracts

Receivables on open futures contracts

ProShares Short VIX Short-Term Futures ETF

8,920,627

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

6,613,486

ProShares VIX Mid-Term Futures ETF

3,495,050

ProShares Ultra VIX Short-Term Futures ETF

40,533,346

Total Trust

117,759,823

Total Trust

111,091,407

*	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.

122

Fair Value of Derivative Instruments

as of December 31, 2013

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

Commodities Contracts

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

ProShares UltraShort Bloomberg Natural Gas

1,042,300

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

ProShares UltraShort Bloomberg Commodity

27,665

ProShares UltraShort Gold

5,647,573

ProShares UltraShort Bloomberg Crude Oil

3,565,673

ProShares UltraShort Silver

14,200

ProShares UltraShort Silver

2,227,857

ProShares Ultra Bloomberg Commodity

15,078

ProShares Ultra Bloomberg Natural Gas

3,656,539

ProShares Ultra Bloomberg Crude Oil

2,584,554

ProShares Ultra Gold

6,827,534

ProShares Ultra Silver

2,507,080

Foreign Exchange Contracts

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

ProShares UltraShort Australian Dollar

917,605

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

ProShares Short Euro

33,231

ProShares UltraShort Euro

151,351

ProShares UltraShort Euro

13,899,858

ProShares UltraShort Yen

31,317,568

ProShares UltraShort Yen

1,930,884

ProShares Ultra Euro

120,908

ProShares Ultra Australian Dollar

118,220

ProShares Ultra Yen

4,052

ProShares Ultra Euro

19,946

ProShares Ultra Yen

163,361

VIX Futures Contracts

Receivables on open futures contracts

ProShares Short VIX Short-Term Futures ETF

8,116,955

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

16,652,686

ProShares VIX Mid-Term Futures ETF

4,896,689

ProShares Ultra VIX Short-Term Futures ETF

24,009,911

Total Trust

49,932,144

Total Trust

80,537,134

Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments as presented in the Form 10-K for the year ended December 31, 2013. Only current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2013 in receivable/payable on open futures contracts.

123

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 30, 2014


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
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	$	130,061		$	(151,988	)
		ProShares UltraShort Bloomberg Crude Oil		(31,567,008	)		(14,316,548	)
		ProShares UltraShort Bloomberg Natural Gas		(1,970,509	)		(2,011,476	)
		ProShares UltraShort Gold		13,875,395			(19,136,970	)
		ProShares UltraShort Silver		12,455,116			(18,328,033	)
		ProShares Ultra Bloomberg Commodity		(160,396	)		123,172
		ProShares Ultra Bloomberg Crude Oil		9,814,101			2,164,869
		ProShares Ultra Bloomberg Natural Gas		162,451			440,646
		ProShares Ultra Gold		(21,489,136	)		25,259,667
		ProShares Ultra Silver		(106,239,950	)		145,054,357

Foreign Exchange Contracts	Net realized gain (loss) on futures contracts and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures contracts and/or foreign currency forward contracts	ProShares Short Euro		225,122			(159,059	)
		ProShares UltraShort Australian Dollar		(1,846,929	)		859,039
		ProShares UltraShort Euro		5,886,956			(1,863,031	)
		ProShares UltraShort Yen		268,536			(14,493,994	)
		ProShares Ultra Australian Dollar		285,670			(129,485	)
		ProShares Ultra Euro		(40,251	)		9,743
		ProShares Ultra Yen		(11,079	)		93,948

VIX Futures Contracts	Net realized gain (loss) on futures contracts/ changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(41,227,047	)		(1,586,521	)
		ProShares VIX Mid-Term Futures ETF		(6,666,419	)		(1,487,840	)
		ProShares Ultra VIX Short-Term Futures ETF		(247,176,983	)		(10,831,519	)
		ProShares Short VIX Short-Term Futures ETF		73,536,615			837,428


		Total Trust	$	(341,755,684	)	$	90,346,405

124

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 30, 2013


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
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	$	150,169		$	505,167
		ProShares UltraShort Bloomberg Crude Oil		1,025,654			9,878,372
		ProShares UltraShort Bloomberg Natural Gas		(834,719	)		5,826,227
		ProShares UltraShort Gold		20,858,050			55,074,622
		ProShares UltraShort Silver		51,615,327			40,886,777
		ProShares Ultra Bloomberg Commodity		(274,078	)		(586,322	)
		ProShares Ultra Bloomberg Crude Oil		20,733,669			(22,057,265	)
		ProShares Ultra Bloomberg Natural Gas		9,153,747			(19,990,856	)
		ProShares Ultra Gold		(68,008,649	)		(62,970,484	)
		ProShares Ultra Silver		(322,610,723	)		(168,439,871	)

Foreign Exchange Contracts	Net realized gain (loss) on futures contracts and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures contracts and/or foreign currency forward contracts	ProShares Short Euro		(67,938	)		5,900
		ProShares UltraShort Australian Dollar		1,793,067			1,508,211
		ProShares UltraShort Euro		(8,147,050	)		(8,918,725	)
		ProShares UltraShort Yen		48,138,405			(6,860,712	)
		ProShares Ultra Australian Dollar		(590,630	)		(332,037	)
		ProShares Ultra Euro		36,991			96,965
		ProShares Ultra Yen		(456,601	)		80,626

VIX Futures Contracts	Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation/ depreciation on futures contracts and swap agreements	ProShares VIX Short-Term Futures ETF		11,156,344			9,582,597
		ProShares VIX Mid-Term Futures ETF		(2,486,914	)		7,458,863
		ProShares Ultra VIX Short-Term Futures ETF		17,763,794			21,978,092
		ProShares Short VIX Short-Term Futures ETF		(4,128,965	)		(3,022,387	)

		Total Trust	$	(225,181,050	)	$	(140,296,240	)

125

The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 30, 2014


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
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	$	(505,634	)	$	(22,054	)
		ProShares UltraShort Bloomberg Crude Oil		(43,845,009	)		(17,708,120	)
		ProShares UltraShort Bloomberg Natural Gas		(11,185,543	)		1,425,544
		ProShares UltraShort Gold		(8,274,292	)		(16,235,921	)
		ProShares UltraShort Silver		(159,289	)		(8,366,466	)
		ProShares Ultra Bloomberg Commodity		376,946			(6,034	)
		ProShares Ultra Bloomberg Crude Oil		31,007,769			2,649,580
		ProShares Ultra Bloomberg Natural Gas		16,965,826			2,245,774
		ProShares Ultra Gold		1,944,484			20,060,269
		ProShares Ultra Silver		(32,284,378	)		89,417,746

Foreign Exchange Contracts	Net realized gain (loss) on futures contracts and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures contracts and/or foreign currency forward contracts	ProShares Short Euro		158,534			(77,928	)
		ProShares UltraShort Australian Dollar		(1,925,538	)		(1,280,445	)
		ProShares UltraShort Euro		(6,295,085	)		8,161,166
		ProShares UltraShort Yen		165,806			(39,034,294	)
		ProShares Ultra Australian Dollar		258,243			181,720
		ProShares Ultra Euro		44,885			(70,235	)
		ProShares Ultra Yen		(21,596	)		212,028

VIX Futures Contracts	Net realized gain (loss) on futures contracts/ changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(25,447,340	)		10,039,200
		ProShares VIX Mid-Term Futures ETF		(12,064,321	)		1,401,639
		ProShares Ultra VIX Short-Term Futures ETF		(250,723,287	)		(16,523,435	)
		ProShares Short VIX Short-Term Futures ETF		76,268,051			803,672


		Total Trust	$	(265,540,768	)	$	37,273,406

126

The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 30, 2013


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
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	$	458,667		$	263,746
		ProShares UltraShort Bloomberg Crude Oil		(5,099,504	)		8,378,263
		ProShares UltraShort Bloomberg Natural Gas		(2,608,140	)		1,920,339
		ProShares UltraShort Gold		33,741,517			48,081,834
		ProShares UltraShort Silver		80,819,839			21,821,880
		ProShares Ultra Bloomberg Commodity		(782,975	)		(165,007	)
		ProShares Ultra Bloomberg Crude Oil		87,297,994			(50,795,208	)
		ProShares Ultra Bloomberg Natural Gas		14,901,941			(2,129,288	)
		ProShares Ultra Gold		(118,423,854	)		(38,079,366	)
		ProShares Ultra Silver		(538,299,271	)		(30,793,633	)

Foreign Exchange Contracts	Net realized gain (loss) on futures contracts and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures contracts and/or foreign currency forward contracts	ProShares Short Euro		(75,938	)		122,669
		ProShares UltraShort Australian Dollar		1,905,097			1,313,051
		ProShares UltraShort Euro		(11,096,730	)		17,894,296
		ProShares UltraShort Yen		145,024,702			(42,242,261	)
		ProShares Ultra Australian Dollar		(739,905	)		(108,077	)
		ProShares Ultra Euro		(28,371	)		(124,190	)
		ProShares Ultra Yen		(1,674,572	)		504,360

VIX Futures Contracts	Net realized gain (loss) on futures contracts and swap agreements/changes in unrealized appreciation/ depreciation on futures contracts and swap agreements	ProShares VIX Short-Term Futures ETF		(44,252,605	)		1,457,956
		ProShares VIX Mid-Term Futures ETF		(12,747,085	)		7,052,844
		ProShares Ultra VIX Short-Term Futures ETF		(104,926,279	)		882,558
		ProShares Short VIX Short-Term Futures ETF		21,075,146			753,504

		Total Trust	$	(455,530,326	)	$	(53,989,730	)

127

Offsetting Assets and Liabilities

The Funds are subject to master netting agreements or similar arrangements that allow for amounts owed between the Funds and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statement 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 Statement of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2014 and December 31, 2013:


Fair Values of Derivative Instruments as of June 30, 2014
	Assets						Liabilities
	Gross Amounts of Recognized Assets presented in the Statement of Financial Conditions		Gross Amounts Offset in the Statement of Financial Conditions		Net Amounts of Assets presented in the Statement of Financial Conditions		Gross Amounts of Recognized Liabilities presented in the Statement of Financial Conditions		Gross Amounts Offset in the Statement of Financial Conditions		Net Amounts of Liabilities presented in the Statement of Financial Conditions
ProShares UltraShort Bloomberg Commodity
Swap agreements	$	—	$	—	$	—	$	49,719	$	—	$	49,719
ProShares UltraShort Bloomberg Crude Oil
Futures contracts*		778,232		—		778,232		—		—		—
Swap agreements		—		—		—		16,105,152		—		16,105,152
ProShares UltraShort Bloomberg Natural Gas
Futures contracts*		—		—		—		730,316		—		730,316
ProShares UltraShort Gold
Forward agreements		—		—		—		10,583,508		—		10,583,508
Futures contracts*		—		—		—		1,000		—		1,000
ProShares UltraShort Silver
Forward agreements		—		—		—		10,563,213		—		10,563,213
Futures contracts*		780		—		780		—		—		—
ProShares Short Euro
Futures contracts*		—		—		—		49,240		—		49,240
ProShares UltraShort Australian Dollar
Futures contracts*		—		—		—		17,160		—		17,160
ProShares UltraShort Euro
Foreign currency forward contracts		327,971		—		327,971		5,915,312		—		5,915,312
ProShares UltraShort Yen
Foreign currency forward contracts		480,205		—		480,205		10,127,815		—		10,127,815
ProShares Ultra Bloomberg Commodity
Swap agreements		14,121		—		14,121		5,077		—		5,077
ProShares Ultra Bloomberg Crude Oil
Futures contracts*		—		—		—		313,787		—		313,787
Swap agreements		4,111,030		—		4,111,030		—		—		—
ProShares Ultra Bloomberg Natural Gas
Futures contracts*		111,842		—		111,842		—		—		—
ProShares Ultra Gold
Forward agreements		13,227,915		—		13,227,915		—		—		—
Futures contracts*		—		—		—		120		—		120
ProShares Ultra Silver
Forward agreements		86,902,211		—		86,902,211		—		—		—
Futures contracts*		—		—		—		575		—		575
ProShares Ultra Australian Dollar
Futures contracts*		3,080		—		3,080		—		—		—
ProShares Ultra Euro
Foreign currency forward contracts		31,105		—		31,105		378		—		378
ProShares Ultra Yen
Foreign currency forward contracts		76,915		—		76,915		24,196		—		24,196
ProShares VIX Short-Term Futures ETF
Futures contracts*		—		—		—		1,041,667		—		1,041,667
ProShares VIX Mid-Term Futures ETF
Futures contracts*		—		—		—		522,035		—		522,035
ProShares Ultra VIX Short-Term Futures ETF
Futures contracts*		—		—		—		5,702,682		—		5,702,682
ProShares Short VIX Short-Term Futures ETF
Futures contracts*		—		—		—		14,181		—		14,181

*	Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

128

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2014. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the un-collateralized 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 “Account for Derivative Instruments”.


Gross Amounts Not Offset in the Statement of Financial Condition
	Amounts of Recognized Assets / (Liabilities) presented in the Statement of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds)/the Counterparties			Net Amount
ProShares UltraShort Bloomberg Commodity
Deutsche Bank AG	$	(20,115	)	$	20,115		$	—		$	—
Goldman Sachs International		(17,081	)		17,081			—			—
UBS AG		(12,523	)		12,523			—			—
ProShares UltraShort Bloomberg Crude Oil
Deutsche Bank AG		(4,518,754	)		4,518,754			—			—
Goldman Sachs & Co.		778,232			—			—			778,232
Goldman Sachs International		(4,396,306	)		4,396,306			—			—
Societe Generale S.A.		(2,715,109	)		2,715,109			—			—
UBS AG		(4,474,983	)		4,474,983			—			—
ProShares UltraShort Bloomberg Natural Gas
Goldman Sachs & Co.		(730,316	)		—			730,316			—
ProShares UltraShort Gold
Deutsche Bank AG		(5,448,091	)		5,448,091			—			—
Goldman Sachs & Co.		(1,000	)		—			1,000			—
Goldman Sachs International		(2,015,729	)		2,015,729			—			—
Societe Generale S.A.		(1,118,143	)		1,118,143			—			—
UBS AG		(2,001,545	)		2,001,545			—			—
ProShares UltraShort Silver
Deutsche Bank AG		(5,772,553	)		5,772,553			—			—
Goldman Sachs & Co.		780			—			—			780
Goldman Sachs International		(1,869,870	)		1,869,870			—			—
Societe Generale S.A.		(959,772	)		959,772			—			—
UBS AG		(1,961,018	)		1,961,018			—			—
ProShares Short Euro
RBC Capital Markets		(49,240	)		—			49,240			—
ProShares UltraShort Australian Dollar
RBC Capital Markets		(17,160	)		—			17,160			—
ProShares UltraShort Euro
Goldman Sachs International		(2,728,154	)		2,728,154			—			—
UBS AG		(2,859,187	)		2,859,187			—			—
ProShares UltraShort Yen
Goldman Sachs International		(4,793,422	)		4,793,422			—			—
UBS AG		(4,854,188	)		4,854,188			—			—
ProShares Ultra Bloomberg Commodity
Deutsche Bank AG		7,260			—			—			7,260
Goldman Sachs International		(5,077	)		5,077			—			—
UBS AG		6,861			—			—			6,861
ProShares Ultra Bloomberg Crude Oil
Deutsche Bank AG		1,035,637			—			(1,035,637	)		—
Goldman Sachs & Co.		(313,787	)		—			313,787			—
Goldman Sachs International		1,328,164			(1,328,164	)		—			—
Societe Generale S.A.		629,911			(629,911	)		—			—
UBS AG		1,117,318			(1,117,318	)		—			—
ProShares Ultra Bloomberg Natural Gas
Goldman Sachs & Co.		111,842			—			—			111,842
ProShares Ultra Gold
Deutsche Bank AG		7,156,303			—			(7,156,303	)		—
Goldman Sachs & Co.		(120	)		—			120			—
Goldman Sachs International		2,462,460			(2,440,832	)		—			21,628
Societe Generale S.A.		1,379,253			(1,379,253	)		—			—
UBS AG		2,229,899			(2,229,899	)		—			—
ProShares Ultra Silver
Deutsche Bank AG		45,349,782			—			(45,349,782	)		—
Goldman Sachs & Co.		(575	)		—			45			(530	)
Goldman Sachs International		16,680,099			(16,680,099	)		—			—
Societe Generale S.A.		9,222,909			(9,222,909	)		—			—
UBS AG		15,649,421			(15,649,421	)		—			—
ProShares Ultra Australian Dollar
RBC Capital Markets		3,080			—			—			3,080
ProShares Ultra Euro
Goldman Sachs International		5,649			—			—			5,649
UBS AG		25,078			—			—			25,078
ProShares Ultra Yen
Goldman Sachs International		12,173			—			—			12,173
UBS AG		40,546			—			—			40,546
ProShares VIX Short-Term Futures ETF
RBC Capital Markets		(1,041,667	)		—			1,041,667			—
ProShares VIX Mid-Term Futures ETF
RBC Capital Markets		(522,035	)		—			522,035			—
ProShares Ultra VIX Short-Term Futures ETF
RBC Capital Markets		(5,702,682	)		—			5,702,682			—
ProShares Short VIX Short-Term Futures ETF
RBC Capital Markets		(14,181	)		—			14,181			—

129


Fair Values of Derivative Instruments as of December 31, 2013
	Assets						Liabilities
	Gross Amounts of Recognized Assets presented in the Statement of Financial Conditions		Gross Amounts Offset in the Statement of Financial Conditions		Net Amounts of Assets presented in the Statement of Financial Conditions		Gross Amounts of Recognized Liabilities presented in the Statement of Financial Conditions		Gross Amounts Offset in the Statement of Financial Conditions		Net Amounts of Liabilities presented in the Statement of Financial Conditions
ProShares UltraShort Bloomberg Commodity
Swap agreements	$	—	$	—	$	—	$	27,665		—	$	27,665
ProShares UltraShort Bloomberg Crude Oil
Futures contracts*		1,503,943		—		1,503,943		—		—		—
Swap agreements		—		—		—		2,332,900		—		2,332,900
ProShares UltraShort Bloomberg Natural Gas
Futures contracts*		1,520,548		—		1,520,548		—		—		—
ProShares UltraShort Gold
Forward agreements		5,633,053		—		5,633,053		—		—		—
Futures contracts*		300		—		300		—		—		—
ProShares UltraShort Silver
Forward agreements		—		—		—		2,227,857		—		2,227,857
Futures contracts*		2,450		—		2,450		—		—		—
ProShares Short Euro
Futures contracts*		9,100		—		9,100		—		—		—
ProShares UltraShort Australian Dollar
Futures contracts*		—		—		—		86,166		—		86,166
ProShares UltraShort Euro
Foreign currency forward contracts		151,351		—		151,351		13,899,858		—		13,899,858
ProShares UltraShort Yen
Foreign currency forward contracts		31,317,568		—		31,317,568		1,930,884		—		1,930,884
ProShares Ultra Bloomberg Commodity
Swap agreements		15,078		—		15,078		—		—		—
ProShares Ultra Bloomberg Crude Oil
Futures contracts*		—		—		—		997,210		—		997,210
Swap agreements		1,957,893		—		1,957,893		—		—		—
ProShares Ultra Bloomberg Natural Gas
Futures contracts*		—		—		—		5,628,532		—		5,628,532
ProShares Ultra Gold
Forward agreements		—		—		—		6,812,974		—		6,812,974
Futures contracts*		—		—		—		300		—		300
ProShares Ultra Silver
Forward agreements		—		—		—		2,492,880		—		2,492,880
Futures contracts*		—		—		—		2,450		—		2,450
ProShares Ultra Australian Dollar
Futures contracts*		10,650		—		10,650		—		—		—
ProShares Ultra Euro
Foreign currency forward contracts		120,908		—		120,908		19,946		—		19,946
ProShares Ultra Yen
Foreign currency forward contracts		4,052		—		4,052		163,361		—		163,361
ProShares VIX Short-Term Futures ETF
Futures contracts*		3,179,017		—		3,179,017		—		—		—
ProShares VIX Mid-Term Futures ETF
Futures contracts*		100,734		—		100,734		—		—		—
ProShares Ultra VIX Short-Term Futures ETF
Futures contracts*		—		—		—		3,356,803		—		3,356,803
ProShares Short VIX Short-Term Futures ETF
Futures contracts*		603,833		—		603,833		—		—		—

Current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2013 in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments as presented in the Form 10-K for the year ended December 31, 2013.

130

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2013. 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 “Account for Derivative Instruments”.


Gross Amounts Not Offset in the Statement of Financial Condition
	Amounts of Recognized Assets / (Liabilities) presented in the Statement of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares UltraShort Bloomberg Commodity
Deutsche Bank AG	$	(11,710	)	$	11,710		$	—		$	—
Goldman Sachs International		(12,945	)		12,945			—			—
UBS AG		(3,010	)		3,010			—			—
ProShares UltraShort Bloomberg Crude Oil
Deutsche Bank AG		(570,114	)		570,114			—			—
Goldman Sachs & Co.		1,503,943			—			—			1,503,943
Goldman Sachs International		(632,990	)		632,990			—			—
Societe Generale S.A.		(402,586	)		402,586			—			—
UBS AG		(727,210	)		727,210			—			—
ProShares UltraShort Bloomberg Natural Gas Goldman Sachs & Co.		1,520,548			—			—			1,520,548
ProShares UltraShort Gold
Deutsche Bank AG		2,258,281			—			(2,258,281	)		—
Goldman Sachs & Co.		300			—			—			300
Goldman Sachs International		1,411,290			(1,411,290	)		—			—
Societe Generale S.A.		665,044			(665,044	)		—			—
UBS AG		1,298,438			(1,298,438	)		—			—
ProShares UltraShort Silver
Deutsche Bank AG		(445,752	)		445,752			—			—
Goldman Sachs & Co.		2,450			—			—			2,450
Goldman Sachs International		(1,257,636	)		1,257,636			—			—
Societe Generale S.A.		(7,359	)		7,359			—			—
UBS AG		(517,110	)		517,110			—			—
ProShares Short Euro
RBC Capital Markets		9,100			—			—			9,100
ProShares UltraShort Australian Dollar
RBC Capital Markets		(86,166	)		—			86,166			—
ProShares UltraShort Euro
Goldman Sachs International		64,104			—			—			64,104
Goldman Sachs International		(6,820,802	)		6,820,802						—
UBS AG		87,247			—			—			87,247
UBS AG		(7,079,056	)		7,079,056			—			—
ProShares UltraShort Yen
Goldman Sachs International		15,716,318			(13,635,426	)		—			2,080,892
Goldman Sachs International		(884,849	)		884,849			—			—
UBS AG		15,601,250			(14,004,926	)		—			1,596,324
UBS AG		(1,046,035	)		1,046,035			—			—
ProShares Ultra Bloomberg Commodity
Deutsche Bank AG		6,454			—			—			6,454
Goldman Sachs International		4,974			—			—			4,974
UBS AG		3,650			—			—			3,650
ProShares Ultra Bloomberg Crude Oil
Deutsche Bank AG		622,117			—			(622,117	)		—
Goldman Sachs & Co.		(997,210	)		—			997,210			—
Goldman Sachs International		576,723			(576,723	)		—			—
Societe Generale S.A.		275,816			(275,816	)		—			—
UBS AG		483,237			(483,237	)		—			—
ProShares Ultra Bloomberg Natural Gas Goldman Sachs & Co.		(5,628,532	)		—			4,630,277			(998,255	)
ProShares Ultra Gold
Deutsche Bank AG		(3,543,937	)		3,543,937			—			—
Goldman Sachs & Co.		(300	)		—			300			—
Goldman Sachs International		(1,327,335	)		1,327,335			—			—
Societe Generale S.A.		(785,038	)		785,038			—			—
UBS AG		(1,156,664	)		1,156,664			—			—
ProShares Ultra Silver
Deutsche Bank AG		(350,663	)		350,663			—			—
Goldman Sachs & Co.		(2,450	)		—			2,450			—
Goldman Sachs International		(1,345,433	)		1,345,433			—			—
Societe Generale S.A.		(28,581	)		28,581			—			—
UBS AG		(768,203	)		768,203			—			—
ProShares Ultra Australian Dollar
RBC Capital Markets		10,650			—			—			10,650
ProShares Ultra Euro
Goldman Sachs International		56,991			—			—			56,991
Goldman Sachs International		(19,770	)		19,770			—			—
UBS AG		63,917			—			—			63,917
UBS AG		(176	)		176			—			—
ProShares Ultra Yen
Goldman Sachs International		2,462			—			—			2,462
Goldman Sachs International		(78,309	)		78,309			—			—
UBS AG		1,590			—			—			1,590
UBS AG		(85,052	)		85,052			—			—
ProShares VIX Short-Term Futures ETF
RBC Capital Markets		3,179,017			—			—			3,179,017
ProShares VIX Mid-Term Futures ETF
RBC Capital Markets		100,734			—			—			100,734
ProShares Ultra VIX Short-Term Futures ETF
RBC Capital Markets		(3,356,803	)		—			3,356,803			—
ProShares Short VIX Short-Term Futures ETF
RBC Capital Markets		603,833			—			—			603,833

131

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 its 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 the fees and expenses of the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent and any index licensors for the Funds , the routine operational, administrative and other ordinary expenses of each Fund, 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. For the three and six months ended June 30, 2014 and 2013 and until 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. Each Fund incurs and pays its non-recurring and unusual fees and expenses.

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.

132

Routine Operational, Administrative and Other Ordinary Expenses

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, fees and expenses of the Administrator, Custodian, Distributor, PDI, Transfer Agent, accounting and auditing fees and expenses, 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, FINRA filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the NAV 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.

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor did not charge its Management Fee in the first year of operations of the UltraShort Bloomberg Natural Gas Fund, Ultra Bloomberg Natural Gas Fund, Ultra Australian Dollar Fund, UltraShort Australian Dollar Fund, Short Euro Fund, each Geared VIX Fund and each Matching VIX Fund in an amount equal to the offering costs. The Sponsor reimbursed each Fund, with the exception of each Matching VIX Fund, to the extent that its offering costs exceeded 0.95% of its average daily NAV for the first year of operations. The Sponsor reimbursed each Matching VIX Fund to the extent its offering costs exceeded 0.85% of its average daily NAV for the first year of operations.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements, such as references to the Transaction Fees imposed on purchases and redemptions, is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is dictated by the terms of the Authorized Participant Agreement and Authorized Participant Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co., as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% 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.

133

Transaction fees for the three and six months ended June 30, 2014, which are included in the Sale and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:


Fund	Three Months Ended June 30, 2014		Six Months Ended June 30, 2014
UltraShort Bloomberg Commodity	$	—	$	—
UltraShort Bloomberg Crude Oil		60,921		145,500
UltraShort Bloomberg Natural Gas		4,211		16,904
UltraShort Gold		9,726		23,106
UltraShort Silver		8,515		35,268
Short Euro		—		—
UltraShort Australian Dollar		—		—
UltraShort Euro		—		—
UltraShort Yen		—		—
Ultra Bloomberg Commodity		249		249
Ultra Bloomberg Crude Oil		17,201		86,774
Ultra Bloomberg Natural Gas		1,876		9,516
Ultra Gold		1,989		6,998
Ultra Silver		14,593		38,063
Ultra Australian Dollar		—		—
Ultra Euro		—		—
Ultra Yen		—		—
VIX Short-Term Futures ETF		—		—
VIX Mid-Term Futures ETF		—		—
Ultra VIX Short-Term Futures ETF		148,865		282,819
Short VIX Short-Term Futures ETF		32,674		63,974

Total Trust	$	300,820	$	709,171

134

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended June 30, 2014:


For the Three Months Ended June 30, 2014 (unaudited)
Per Share Operating Performance	UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar
Net asset value, at March 31, 2014	$	54.7316		$	28.4845		$	43.9084		$	88.2955		$	82.7317		$	35.5105		$	42.3310
Net investment income (loss)		(0.1211	)		(0.0623	)		(0.1094	)		(0.1972	)		(0.1892	)		(0.0817	)		(0.0991	)
Net realized and unrealized gain (loss)		(0.3675	)		(3.7890	)		(3.2407	)		(4.1015	)		(8.8783	)		0.1843			(1.9777	)
Change in net asset value from operations		(0.4886	)		(3.8513	)		(3.3501	)		(4.2987	)		(9.0675	)		0.1026			(2.0768	)
Net asset value, at June 30, 2014	$	54.2430		$	24.6332		$	40.5583		$	83.9968		$	73.6642		$	35.6131		$	40.2542

Market value per share, at March 31, 2014†	$	55.25		$	28.54		$	43.71		$	89.45		$	84.24		$	35.58		$	42.27
Market value per share, at June 30, 2014†	$	52.00		$	24.61		$	40.43		$	82.11		$	72.05		$	35.66		$	40.29

Total Return, at net asset value^		(0.9	)%		(13.5	)%		(7.6	)%		(4.9	)%		(11.0	)%		0.3	%		(4.9	)%
Total Return, at market value^		(5.9	)%		(13.8	)%		(7.5	)%		(8.2	)%		(14.5	)%		0.2	%		(4.7	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.98	)%		(1.15	)%		(0.95	)%		(0.95	)%		(0.97	)%		(1.00	)%
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	)%		(0.94	)%		(1.11	)%		(0.90	)%		(0.90	)%		(0.92	)%		(0.96	)%

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

^	Percentages are not annualized for the period ended June 30, 2014.

**	Percentages are annualized.

135


For the Three Months Ended June 30, 2014 (unaudited)
Per Share Operating Performance	UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver
Net asset value, at March 31, 2014	$	16.9264		$	67.6164		$	22.1066		$	34.6261		$	45.1373		$	47.0239		$	65.2313
Net investment income (loss)		(0.0380	)		(0.1463	)		(0.0507	)		(0.0846	)		(0.1336	)		(0.1043	)		(0.1410	)
Net realized and unrealized gain (loss)		0.1719			(2.5778	)		(0.0269	)		4.6490			0.0314			1.4581			5.0140
Change in net asset value from operations		0.1339			(2.7241	)		(0.0776	)		4.5644			(0.1022	)		1.3538			4.8730
Net asset value, at June 30, 2014	$	17.0603		$	64.8923		$	22.0290		$	39.1905		$	45.0351		$	48.3777		$	70.1043

Market value per share, at March 31, 2014†	$	16.93		$	67.62		$	21.51		$	34.56		$	45.32		$	46.34		$	64.12
Market value per share, at June 30, 2014†	$	17.05		$	64.89		$	22.02		$	39.19		$	45.02		$	49.41		$	71.76

Total Return, at net asset value^		0.8	%		(4.0	)%		(0.4	)%		13.2	%		(0.2	)%		2.9	%		7.5	%
Total Return, at market value^		0.7	%		(4.0	)%		2.4	%		13.4	%		(0.7	)%		6.6	%		11.9	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.95	)%		(0.95	)%		(0.98	)%		(1.15	)%		(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)		(0.89	)%		(0.89	)%		(0.90	)%		(0.93	)%		(1.11	)%		(0.90	)%		(0.91	)%

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

^	Percentages are not annualized for the period ended June 30, 2014.

**	Percentages are annualized.

136


For the Three Months Ended June 30, 2014 (unaudited)
Per Share Operating Performance	Ultra Australian Dollar			Ultra Euro			Ultra Yen			VIX Short- Term Futures ETF			VIX Mid-Term Futures ETF			Ultra VIX Short-Term Futures ETF			Short VIX Short-Term Futures ETF
Net asset value, at March 31, 2014	$	34.4436		$	26.0292		$	19.3058		$	28.2007		$	18.4937		$	60.2965		$	61.8592
Net investment income (loss)		(0.0814	)		(0.0578	)		(0.0438	)		(0.0488	)		(0.0350	)		(0.1784	)		(0.2536	)
Net realized and unrealized gain (loss)		1.5579			(0.3060	)		0.7057			(9.1435	)		(3.0164	)		(33.5661	)		26.8007
Change in net asset value from operations		1.4765			(0.3638	)		0.6619			(9.1923	)		(3.0514	)		(33.7445	)		26.5471
Net asset value, at June 30, 2014	$	35.9201		$	25.6654		$	19.9677		$	19.0084		$	15.4423		$	26.5520		$	88.4063

Market value per share, at March 31, 2014†	$	34.46		$	25.98		$	19.29		$	28.10		$	18.50		$	59.91		$	61.97
Market value per share, at June 30, 2014†	$	35.65		$	25.80		$	20.07		$	19.03		$	15.47		$	26.62		$	88.27

Total Return, at net asset value^		4.3	%		(1.4	)%		3.4	%		(32.6	)%		(16.5	)%		(56.0	)%		42.9	%
Total Return, at market value^		3.5	%		(0.7	)%		4.0	%		(32.3	)%		(16.4	)%		(55.6	)%		42.4	%

Ratios to Average Net Assets**

Expense ratio		(0.99	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(1.73	)%		(1.48	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.93	)%		(0.90	)%		(0.89	)%		(0.81	)%		(0.81	)%		(1.71	)%		(1.44	)%

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

^	Percentages are not annualized for the period ended June 30, 2014.

**	Percentages are annualized.

137

Selected data for a Share outstanding throughout the three months ended June 30, 2013:


For the Three Months Ended June 30, 2013 (unaudited)
Per Share Operating Performance	UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar
Net asset value, at March 31, 2013	$	55.1027		$	36.4792		$	71.8641		$	67.8681		$	54.0616		$	38.6319		$	36.8899
Net investment income (loss)		(0.1323	)		(0.0890	)		(0.2013	)		(0.1885	)		(0.1695	)		(0.0857	)		(0.1080	)
Net realized and unrealized gain (loss)#		10.9199			(0.0509	)		16.9096			46.4189			56.7051			(0.6198	)		9.6293
Change in net asset value from operations		10.7876			(0.1399	)		16.7083			46.2304			56.5356			(0.7055	)		9.5213
Net asset value, at June 30, 2013	$	65.8903		$	36.3393		$	88.5724		$	114.0985		$	110.5972		$	37.9264		$	46.4112

Market value per share, at March 31, 2013†	$	51.14		$	36.62		$	72.24		$	68.01		$	55.02		$	38.65		$	36.41
Market value per share, at June 30, 2013†	$	64.97		$	36.45		$	88.00		$	106.50		$	101.27		$	38.01		$	46.54

Total Return, at net asset value^		19.6	%		(0.4	)%		23.2	%		68.1	%		104.6	%		(1.8	)%		25.8	%
Total Return, at market value^		27.0	%		(0.5	)%		21.8	%		56.6	%		84.1	%		(1.7	)%		27.8	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.99	)%		(1.22	)%		(0.95	)%		(0.95	)%		(0.96	)%		(1.06	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.89	)%		(0.94	)%		(1.16	)%		(0.90	)%		(0.90	)%		(0.91	)%		(1.03	)%

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

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

^	Percentages are not annualized for the period ended June 30, 2013.

**	Percentages are annualized.

138


For the Three Months Ended June 30, 2013 (unaudited)
Per Share Operating Performance	UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver*
Net asset value, at March 31, 2013	$	20.0135		$	59.0103		$	23.6100		$	31.6693		$	50.2520		$	77.1858		$	153.9142
Net investment income (loss)		(0.0435	)		(0.1447	)		(0.0479	)		(0.0674	)		(0.1359	)		(0.1322	)		(0.2137	)
Net realized and unrealized gain (loss)		(0.6810	)		5.2415			(4.3018	)		(1.4405	)		(14.0947	)		(35.3778	)		(90.7274	)
Change in net asset value from operations		(0.7245	)		5.0968			(4.3497	)		(1.5079	)		(14.2306	)		(35.5100	)		(90.9411	)
Net asset value, at June 30, 2013	$	19.2890		$	64.1071		$	19.2603		$	30.1614		$	36.0214		$	41.6758		$	62.9731

Market value per share, at March 31, 2013†	$	20.00		$	59.00		$	23.92		$	31.56		$	49.95		$	77.01		$	151.00
Market value per share, at June 30, 2013†	$	19.29		$	64.08		$	18.96		$	30.11		$	36.26		$	44.63		$	68.00

Total Return, at net asset value^		(3.6	)%		8.6	%		(18.4	)%		(4.8	)%		(28.3	)%		(46.0	)%		(59.1	)%
Total Return, at market value^		(3.6	)%		8.6	%		(20.7	)%		(4.6	)%		(27.4	)%		(42.0	)%		(55.0	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.95	)%		(0.95	)%		(0.98	)%		(1.19	)%		(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	)%		(0.90	)%		(0.89	)%		(0.94	)%		(1.14	)%		(0.87	)%		(0.88	)%

*	See Note 1 of these Notes to Financial Statements.

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

^	Percentages are not annualized for the period ended June 30, 2013.

**	Percentages are annualized.

139


For the Three Months Ended June 30, 2013 (unaudited)
Per Share Operating Performance	Ultra Australian Dollar			Ultra Euro			Ultra Yen			VIX Short- Term Futures ETF			VIX Mid-Term Futures ETF			Ultra VIX Short-Term Futures ETF*			Short VIX Short-Term Futures ETF*
Net asset value, at March 31, 2013	$	42.1480		$	22.8637		$	23.7738		$	54.1233		$	26.4359		$	303.0453		$	46.0986
Net investment income (loss)		(0.0909	)		(0.0533	)		(0.0482	)		(0.1069	)		(0.0525	)		(1.1661	)		(0.1633	)
Net realized and unrealized gain (loss)#		(9.2248	)		0.6640			(2.5057	)		1.9255			1.9041			(13.8954	)		(6.8039	)
Change in net asset value from operations		(9.3157	)		0.6107			(2.5539	)		1.8186			1.8516			(15.0615	)		(6.9672	)
Net asset value, at June 30, 2013	$	32.8323		$	23.4744		$	21.2199		$	55.9419		$	28.2875		$	287.9838		$	39.1314

Market value per share, at March 31, 2013†	$	42.55		$	22.92		$	23.69		$	54.50		$	26.43		$	307.60		$	45.54
Market value per share, at June 30, 2013†	$	33.96		$	23.25		$	21.10		$	55.91		$	28.25		$	286.76		$	39.23

Total Return, at net asset value^		(22.1	)%		2.7	%		(10.7	)%		3.4	%		7.0	%		(5.0	)%		(15.1	)%
Total Return, at market value^		(20.2	)%		1.4	%		(10.9	)%		2.6	%		6.9	%		(6.8	)%		(13.9	)%

Ratios to Average Net Assets**

Expense ratio		(0.99	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(1.80	)%		(1.56	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.95	)%		(0.90	)%		(0.90	)%		(0.81	)%		(0.81	)%		(1.77	)%		(1.52	)%

*	See Note 1 of these Notes to Financial Statements.

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

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

^	Percentages are not annualized for the period ended June 30, 2013.

**	Percentages are annualized.

140

Selected data for a Share outstanding throughout the six months ended June 30, 2014:


For the Six Months Ended June 30, 2014 (unaudited)
Per Share Operating Performance	UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar
Net asset value, at December 31, 2013	$	63.2936		$	31.7301		$	69.9635		$	103.5180		$	89.7820		$	35.5867		$	46.6384
Net investment income (loss)		(0.2543	)		(0.1298	)		(0.2303	)		(0.3952	)		(0.3644	)		(0.1618	)		(0.2068	)
Net realized and unrealized gain (loss)		(8.7963	)		(6.9671	)		(29.1749	)		(19.1260	)		(15.7534	)		0.1882			(6.1774	)
Change in net asset value from operations		(9.0506	)		(7.0969	)		(29.4052	)		(19.5212	)		(16.1178	)		0.0264			(6.3842	)
Net asset value, at June 30, 2014	$	54.2430		$	24.6332		$	40.5583		$	83.9968		$	73.6642		$	35.6131		$	40.2542
Market value per share, at December 31, 2013†	$	58.41		$	31.58		$	69.36		$	103.53		$	90.19		$	35.66		$	46.66
Market value per share, at June 30, 2014†	$	52.00		$	24.61		$	40.43		$	82.11		$	72.05		$	35.66		$	40.29

Total Return, at net asset value^		(14.3	)%		(22.4	)%		(42.0	)%		(18.9	)%		(18.0	)%		0.1	%		(13.7	)%
Total Return, at market value^		(11.0	)%		(22.1	)%		(41.7	)%		(20.7	)%		(20.1	)%		0.0	% ***		(13.7	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.98	)%		(1.16	)%		(0.95	)%		(0.95	)%		(0.96	)%		(1.01	)%
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	)%		(0.93	)%		(1.12	)%		(0.90	)%		(0.89	)%		(0.91	)%		(0.95	)%

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

^	Percentages are not annualized for the period ended June 30, 2014.

**	Percentages are annualized.

***	Amount represents less than 0.01%.

141


For the Six Months Ended June 30, 2014 (unaudited)
Per Share Operating Performance	UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver
Net asset value, at December 31, 2013	$	17.0613		$	70.8640		$	19.4317		$	32.0899		$	38.8383		$	41.2553		$	63.3305
Net investment income (loss)		(0.0753	)		(0.2923	)		(0.0971	)		(0.1524	)		(0.2458	)		(0.2104	)		(0.2944	)
Net realized and unrealized gain (loss)		0.0743			(5.6794	)		2.6944			7.2530			6.4426			7.3328			7.0682
Change in net asset value from operations		(0.0010	)		(5.9717	)		2.5973			7.1006			6.1968			7.1224			6.7738
Net asset value, at June 30, 2014	$	17.0603		$	64.8923		$	22.0290		$	39.1905		$	45.0351		$	48.3777		$	70.1043
Market value per share, at December 31, 2013†	$	17.06		$	70.91		$	19.13		$	32.22		$	39.28		$	41.26		$	63.04
Market value per share, at June 30, 2014†	$	17.05		$	64.89		$	22.02		$	39.19		$	45.02		$	49.41		$	71.76

Total Return, at net asset value^		(0.0	)% ***		(8.4	)%		13.4	%		22.1	%		16.0	%		17.3	%		10.7	%
Total Return, at market value^		(0.1	)%		(8.5	)%		15.1	%		21.6	%		14.6	%		19.8	%		13.8	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.95	)%		(0.95	)%		(0.98	)%		(1.12	)%		(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)		(0.89	)%		(0.88	)%		(0.91	)%		(0.92	)%		(1.07	)%		(0.90	)%		(0.90	)%

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

^	Percentages are not annualized for the period ended June 30, 2014.

**	Percentages are annualized.

***	Amount represents less than (0.01)%.

142


For the Six Months Ended June 30, 2014 (unaudited)
Per Share Operating Performance	Ultra Australian Dollar			Ultra Euro			Ultra Yen			VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF			Ultra VIX Short-Term Futures ETF			Short VIX Short-Term Futures ETF
Net asset value, at December 31, 2013	$	31.6801		$	26.0346		$	18.6318		$	28.5387		$	19.2959		$	67.0841		$	67.4993
Net investment income (loss)		(0.1547	)		(0.1144	)		(0.0866	)		(0.1078	)		(0.0733	)		(0.4282	)		(0.4717	)
Net realized and unrealized gain (loss)		4.3947			(0.2548	)		1.4225			(9.4225	)		(3.7803	)		(40.1039	)		21.3787
Change in net asset value from operations		4.2400			(0.3692	)		1.3359			(9.5303	)		(3.8536	)		(40.5321	)		20.9070
Net asset value, at June 30, 2014	$	35.9201		$	25.6654		$	19.9677		$	19.0084		$	15.4423		$	26.5520		$	88.4063
Market value per share, at December 31, 2013†	$	31.61		$	25.98		$	18.61		$	28.53		$	19.29		$	67.12		$	67.47
Market value per share, at June 30, 2014†	$	35.65		$	25.80		$	20.07		$	19.03		$	15.47		$	26.62		$	88.27

Total Return, at net asset value^		13.4	%		(1.4	)%		7.2	%		(33.4	)%		(20.0	)%		(60.4	)%		31.0	%
Total Return, at market value^		12.8	%		(0.7	)%		7.8	%		(33.3	)%		(19.8	)%		(60.3	)%		30.8	%

Ratios to Average Net Assets**

Expense ratio		(1.00	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(1.76	)%		(1.49	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.93	)%		(0.89	)%		(0.89	)%		(0.80	)%		(0.81	)%		(1.73	)%		(1.45	)%

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

^	Percentages are not annualized for the period ended June 30, 2014.

**	Percentages are annualized.

143

Selected data for a Share outstanding throughout the six months ended June 30, 2013:


For the Six Months Ended June 30, 2013 (unaudited)
Per Share Operating Performance	UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar
Net asset value, at December 31, 2012	$	54.1021		$	40.3079		$	102.1402		$	63.8688		$	51.3951		$	37.6285		$	37.8081
Net investment income (loss)		(0.2467	)		(0.1744	)		(0.4363	)		(0.3363	)		(0.2677	)		(0.1698	)		(0.2042	)
Net realized and unrealized gain (loss)#		12.0349			(3.7942	)		(13.1315	)		50.5660			59.4698			0.4677			8.8073
Change in net asset value from operations		11.7882			(3.9686	)		(13.5678	)		50.2297			59.2021			0.2979			8.6031
Net asset value, at June 30, 2013	$	65.8903		$	36.3393		$	88.5724		$	114.0985		$	110.5972		$	37.9264		$	46.4112
Market value per share, at December 31, 2012†	$	51.64		$	40.44		$	101.64		$	62.60		$	50.07		$	37.64		$	37.74
Market value per share, at June 30, 2013†	$	64.97		$	36.45		$	88.00		$	106.50		$	101.27		$	38.01		$	46.54

Total Return, at net asset value^		21.8	%		(9.8	)%		(13.3	)%		78.6	%		115.2	%		0.8	%		22.8	%
Total Return, at market value^		25.8	%		(9.9	)%		(13.4	)%		70.1	%		102.3	%		1.0	%		23.3	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.98	)%		(1.21	)%		(0.95	)%		(0.95	)%		(0.96	)%		(1.05	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.88	)%		(0.92	)%		(1.15	)%		(0.89	)%		(0.88	)%		(0.91	)%		(1.01	)%

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

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

^	Percentages are not annualized for the period ended June 30, 2013.

**	Percentages are annualized.

144


For the Six Months Ended June 30, 2013 (unaudited)
Per Share Operating Performance	UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver*
Net asset value, at December 31, 2012	$	19.0172		$	50.7577		$	24.3875		$	29.3941		$	39.0490		$	83.7634		$	171.8906
Net investment income (loss)		(0.0846	)		(0.2699	)		(0.1017	)		(0.1348	)		(0.2278	)		(0.3089	)		(0.5601	)
Net realized and unrealized gain (loss)#		0.3564			13.6193			(5.0255	)		0.9021			(2.7998	)		(41.7787	)		(108.3574	)
Change in net asset value from operations		0.2718			13.3494			(5.1272	)		0.7673			(3.0276	)		(42.0876	)		(108.9175	)
Net asset value, at June 30, 2013	$	19.2890		$	64.1071		$	19.2603		$	30.1614		$	36.0214		$	41.6758		$	62.9731
Market value per share, at December 31, 2012†	$	19.01		$	50.77		$	23.93		$	29.32		$	39.24		$	85.34		$	176.40
Market value per share, at June 30, 2013†	$	19.29		$	64.08		$	18.96		$	30.11		$	36.26		$	44.63		$	68.00

Total Return, at net asset value^		1.4	%		26.3	%		(21.0	)%		2.6	%		(7.8	)%		(50.2	)%		(63.4	)%
Total Return, at market value^		1.5	%		26.2	%		(20.8	)%		2.7	%		(7.6	)%		(47.7	)%		(61.5	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.95	)%		(0.95	)%		(0.97	)%		(1.15	)%		(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)		(0.89	)%		(0.89	)%		(0.89	)%		(0.91	)%		(1.09	)%		(0.88	)%		(0.87	)%

*	See Note 1 of these Notes to Financial Statements.

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

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

^	Percentages are not annualized for the period ended June 30, 2013.

**	Percentages are annualized.

145


For the Six Months Ended June 30, 2013 (unaudited)
Per Share Operating Performance	Ultra Australian Dollar			Ultra Euro			Ultra Yen			VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF			Ultra VIX Short-Term Futures ETF*			Short VIX Short-Term Futures ETF*
Net asset value, at December 31, 2012	$	41.4986		$	24.3499		$	28.1840		$	83.9374		$	34.7003		$	805.2711		$	33.0649
Net investment income (loss)		(0.1859	)		(0.1070	)		(0.1026	)		(0.2241	)		(0.1061	)		(2.7768	)		(0.3152	)
Net realized and unrealized gain (loss)		(8.4804	)		(0.7685	)		(6.8615	)		(27.7714	)		(6.3067	)		(514.5105	)		6.3817
Change in net asset value from operations		(8.6663	)		(0.8755	)		(6.9641	)		(27.9955	)		(6.4128	)		(517.2873	)		6.0665
Net asset value, at June 30, 2013	$	32.8323		$	23.4744		$	21.2199		$	55.9419		$	28.2875		$	287.9838		$	39.1314
Market value per share, at December 31, 2012†	$	41.45		$	24.32		$	28.28		$	85.05		$	34.22		$	836.00		$	32.73
Market value per share, at June 30, 2013†	$	33.96		$	23.25		$	21.10		$	55.91		$	28.25		$	286.76		$	39.23

Total Return, at net asset value^		(20.9	)%		(3.6	)%		(24.7	)%		(33.4	)%		(18.5	)%		(64.2	)%		18.3	%
Total Return, at market value^		(18.1	)%		(4.4	)%		(25.4	)%		(34.3	)%		(17.4	)%		(65.7	)%		19.9	%

Ratios to Average Net Assets**

Expense ratio		(0.99	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(1.86	)%		(1.55	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.94	)%		(0.90	)%		(0.89	)%		(0.80	)%		(0.80	)%		(1.83	)%		(1.50	)%

*	See Note 1 of these Notes to Financial Statements.

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

^	Percentages are not annualized for the period ended June 30, 2013.

**	Percentages are annualized.

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NOTE 8 – RISK

Correlation and Compounding Risk

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

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

While the Funds expect to meet their investment objectives, several factors may affect their ability to do so. Among these factors are: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmarks; (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 August 2014 may specify an October 2014 expiration. For an Ultra Fund and a Matching VIX Fund, as that contract nears expiration, it may be replaced by selling the October 2014 contract and purchasing the contract expiring in December 2014. 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 October 2014 contract would take place at a price that is higher than the price at which the December 2014 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 S&P 500 VIX Short-Term Futures Index or the S&P 500

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VIX Mid-Term Futures Index (each a “VIX Futures Index”). Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.

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

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. The subsequent events were as follows:

Effective as of July 1, 2014, the official name for the Dow-Jones Commodity Index and its sub-indexes (Dow-Jones Commodity Subindex^SM, Dow Jones-UBS WTI Crude Oil Subindex^SM, and Dow-Jones Natural Gas Subindex^SM) changed to the Bloomberg Commodity Index, Bloomberg Commodity Subindex^SM, Bloomberg WTI Crude Oil Subindex^SM, and Bloomberg Natural Gas Subindex^SM, respectively. The changes are being made to reflect the transfer of several Dow Jones-UBS indexes to Bloomberg L.P. The methodology for the underlying index of each Commodity Index Fund will remain the same in all material respects. As a result, the fund name, underlying index name and ticker symbol will change for each of the Commodity Index Funds and are reflected in the financial statements and footnotes. The new name, underlying index name and ticker symbol for each of the Commodity Index Funds are as follows:


Prior Fund Name	New Fund Name	Prior Underlying Index Name and Ticker Symbol	New Underlying Index Name and Ticker Symbol
ProShares UltraShort DJ-UBS Commodity	ProShares UltraShort Bloomberg Commodity	Dow Jones–UBS Commodity Index^SM – DJUBSTR	Bloomberg Commodity Index^SM – BCOMTR
ProShares Ultra DJ-UBS Commodity	ProShares Ultra Bloomberg Commodity	Dow Jones–UBS Commodity Index^SM – DJUBSTR	Bloomberg Commodity Index^SM – BCOMTR
ProShares UltraShort DJ-UBS Crude Oil	ProShares UltraShort Bloomberg Crude Oil	Dow Jones–UBS WTI Crude Oil Subindex^SM – DJUBCLTR	Bloomberg WTI Crude Oil Subindex^SM –BCOMCLTR
ProShares Ultra DJ-UBS Crude Oil	ProShares Ultra Bloomberg Crude Oil	Dow Jones–UBS WTI Crude Oil Subindex^SM – DJUBCLTR	Bloomberg WTI Crude Oil Subindex^SM –BCOMCLTR
ProShares UltraShort DJ-UBS Natural Gas	ProShares UltraShort Bloomberg Natural Gas	Dow Jones–UBS Natural Gas Subindex^SM – DJUBNGTR	Bloomberg Natural Gas Subindex^SM – BCOMNGTR
ProShares Ultra DJ-UBS Natural Gas	ProShares Ultra Bloomberg Natural Gas	Dow Jones–UBS Natural Gas Subindex^SM – DJUBNGTR	Bloomberg Natural Gas Subindex^SM – BCOMNGTR

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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 June 30, 2014, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares UltraShort Bloomberg Commodity (formerly ProShares UltraShort DJ-UBS Commodity), ProShares UltraShort Bloomberg Crude Oil (formerly ProShares UltraShort DJ-UBS Crude Oil), ProShares UltraShort Bloomberg Natural Gas (formerly ProShares UltraShort DJ-UBS Natural Gas), ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity (formerly ProShares Ultra DJ-UBS Commodity), ProShares Ultra Bloomberg Crude Oil (formerly ProShares Ultra DJ-UBS Crude Oil), ProShares Ultra Bloomberg Natural Gas (formerly ProShares Ultra DJ-UBS Natural Gas), ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Australian Dollar, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); (ii) ProShares Short Euro (the “Short Euro Fund”); (iii) ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iv) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”). 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 Leveraged Fund, Short Euro Fund, Geared VIX Fund or Matching VIX Fund. The Shares of each Leveraged Fund, the Short Euro Fund, each Geared VIX Fund and each Matching VIX Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q.

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Eight of the Funds, ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Euro and ProShares Ultra Yen commenced trading on the NYSE Arca on November 25, 2008. Four of the Funds, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Ultra Gold and ProShares Ultra Silver, commenced trading on the NYSE Arca on December 3, 2008. Two of the Funds, ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF, commenced trading on the NYSE Arca on January 3, 2011. Two of the Funds, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF commenced trading on the NYSE Arca on October 3, 2011. Two of the Funds, ProShares UltraShort Bloomberg Natural Gas and ProShares Ultra Bloomberg Natural Gas, commenced trading on the NYSE Arca on October 4, 2011. One of the Funds, ProShares Short Euro, commenced trading on the NYSE Arca on June 26, 2012. Two of the Funds, ProShares UltraShort Australian Dollar and ProShares Ultra Australian Dollar, commenced trading on the NYSE Arca on July 17, 2012.

ProShare Capital Management LLC serves as the Trust’s Sponsor (the “Sponsor”) and commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the CEA and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.

Effective as of July 1, 2014, the official name for the Dow-Jones Commodity Index and its sub-indexes (Dow-Jones Commodity Subindex^SM, Dow Jones-UBS WTI Crude Oil Subindex^SM, and Dow-Jones Natural Gas Subindex^SM) changed to the Bloomberg Commodity Index, Bloomberg Commodity Subindex^SM, Bloomberg WTI Crude Oil Subindex^SM, and Bloomberg Natural Gas Subindex^SM, respectively. The changes are being made to reflect the transfer of several Dow Jones-UBS indexes to Bloomberg L.P. The methodology for the underlying index of each Commodity Index Fund will remain the same in all material respects. As a result, the fund name, underlying index name and ticker symbol will change for each of the Commodity Index Funds and are reflected in this Quarterly Report on Form 10-Q. The new name, underlying index name and ticker symbol for each of the Commodity Index Funds are as follows:


Prior Fund Name	New Fund Name	Prior Underlying Index Name and Ticker Symbol	New Underlying Index Name and Ticker Symbol
ProShares UltraShort DJ-UBS Commodity	ProShares UltraShort Bloomberg Commodity	Dow Jones–UBS Commodity Index^SM – DJUBSTR	Bloomberg Commodity Index^SM – BCOMTR
ProShares Ultra DJ-UBS Commodity	ProShares Ultra Bloomberg Commodity	Dow Jones–UBS Commodity Index^SM – DJUBSTR	Bloomberg Commodity Index^SM – BCOMTR
ProShares UltraShort DJ-UBS Crude Oil	ProShares UltraShort Bloomberg Crude Oil	Dow Jones–UBS WTI Crude Oil Subindex^SM – DJUBCLTR	Bloomberg WTI Crude Oil Subindex^SM –BCOMCLTR
ProShares Ultra DJ-UBS Crude Oil	ProShares Ultra Bloomberg Crude Oil	Dow Jones–UBS WTI Crude Oil Subindex^SM – DJUBCLTR	Bloomberg WTI Crude Oil Subindex^SM –BCOMCLTR
ProShares UltraShort DJ-UBS Natural Gas	ProShares UltraShort Bloomberg Natural Gas	Dow Jones–UBS Natural Gas Subindex^SM – DJUBNGTR	Bloomberg Natural Gas Subindex^SM – BCOMNGTR
ProShares Ultra DJ-UBS Natural Gas	ProShares Ultra Bloomberg Natural Gas	Dow Jones–UBS Natural Gas Subindex^SM – DJUBNGTR	Bloomberg Natural Gas Subindex^SM – BCOMNGTR

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

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objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

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

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

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

Until August 14, 2014, the price of silver for each of ProShares Ultra Silver and ProShares UltraShort Silver is the U.S. dollar price of silver bullion as measured by the London fixing price per troy ounce of unallocated silver bullion for delivery in London through a member of the London Bullion Market Association (“LBMA”) authorized to effect such delivery. In May 2014, the company that runs the London silver fixing announced that, as of August 14, 2014, they will stop running the process. The LBMA has selected the CME Group and Thomson Reuters to calculate the price, which will be renamed the London Silver Price, based on an electronic, auction-based methodology effective August 15, 2014.

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

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Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the net assets of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements and each Fund’s trading in futures and forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and six months ended June 30, 2014 and 2013, each of the Funds earned interest income as follows:


Fund	Interest Income Three Months Ended June 30, 2014		Interest Income Three Months Ended June 30, 2013		Interest Income Six Months Ended June 30, 2014		Interest Income Six Months Ended June 30, 2013
ProShares UltraShort Bloomberg Commodity	$	344	$	510	$	652	$	1,235
ProShares UltraShort Bloomberg Crude Oil		39,315		23,201		76,288		48,510
ProShares UltraShort Bloomberg Natural Gas		6,257		3,549		12,940		5,950
ProShares UltraShort Gold		12,750		19,551		27,945		35,308
ProShares UltraShort Silver		7,838		16,691		20,795		39,046
ProShares Short Euro		1,359		511		2,405		1,025
ProShares UltraShort Australian Dollar		2,127		1,111		5,991		1,609
ProShares UltraShort Euro		59,294		52,873		128,651		140,103
ProShares UltraShort Yen		56,785		61,098		135,009		130,590
ProShares Ultra Bloomberg Commodity		387		664		719		1,414
ProShares Ultra Bloomberg Crude Oil		11,287		38,629		32,988		101,903
ProShares Ultra Bloomberg Natural Gas		1,811		4,949		8,084		16,626
ProShares Ultra Gold		17,629		41,790		31,457		100,868
ProShares Ultra Silver		51,355		102,633		113,957		261,893
ProShares Ultra Australian Dollar		528		424		1,086		1,070
ProShares Ultra Euro		327		421		705		1,097
ProShares Ultra Yen		386		417		821		1,243
ProShares VIX Short-Term Futures ETF		10,546		19,211		34,214		43,539
ProShares VIX Mid-Term Futures ETF		4,925		6,431		10,253		13,751
ProShares Ultra VIX Short-Term Futures ETF		20,656		18,527		41,932		36,066
ProShares Short VIX Short-Term Futures ETF		20,024		7,368		44,229		16,633

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

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

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

154

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

Market Risk

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

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

Credit Risk

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

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

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

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an uncleared swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovery collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

The Sponsor attempts to minimize certain of these market and credit risks by normally:

•

executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

•

limiting the outstanding amounts due from counterparties to the Funds;

•

not posting margin directly with a counterparty;

•

requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;

155

•

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 August 5, 2014, 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. One officer of the Trust also serves as an officer and owner of the Sponsor.

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 or forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.

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

For financial reporting purposes, the Leveraged Funds, the Short Euro Fund and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three and six months ended June 30, 2014.

Derivatives (e.g., futures, swaps and forward agreements) are generally valued using independent sources and/or agreements with counterparties or other procedures as determined by the Sponsor. Futures contracts, except for those entered into by the Gold, Silver, Australian Dollar and Short Euro Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures contracts entered into by the Gold, Silver, Australian Dollar and Short Euro Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. For financial reporting purposes, all futures contracts are valued at last settled price. If there was no sale on that day, and for non-exchange-traded derivatives, the Sponsor may in its sole discretion choose to determine a fair value price as the basis for determining the market value of such position for such day. Such fair value prices would be generally determined based on available inputs about the current value of the underlying financial instrument or

156

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. For the three and six months ended June 30, 2014 and until 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 June 30, 2014 Compared to the Three Months Ended June 30, 2013

ProShares UltraShort Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	3,283,730		$	3,305,997
NAV end of period	$	3,254,416		$	3,953,221
Percentage change in NAV		(0.9	)%		19.6	%
Shares outstanding beginning of period		59,997			59,997
Shares outstanding end of period		59,997			59,997
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	54.73		$	55.10
Per share NAV end of period	$	54.24		$	65.89
Percentage change in per share NAV		(0.9	)%		19.6	%
Percentage change in benchmark		0.1	%		(9.5	)%
Benchmark annualized volatility		7.1	%		13.0	%

157

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index (formerly Dow Jones-UBS Commodity Index). There was no net change in the Fund’s outstanding Shares from March 31, 2014 to June 30, 2014. By comparison, during the three months ended June 30, 2013, 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 March 31, 2013 to June 30, 2013.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.9% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 19.6% for the three months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 11, 2014 at $55.82 per Share and reached its low for the period on April 29, 2014 at $51.38 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 30, 2013 at $65.89 per Share and reached its low for the period on April 1, 2013 at $55.79 per Share.

The benchmark’s rise of 0.1% for the three months ended June 30, 2014, as compared to the benchmark’s decline of 9.5% for the three months ended June 30, 2013, can be attributed to appreciation of the underlying components of the index during the three months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(7,267	)	$	(7,940	)
Management fee		7,611			8,450
Net realized gain (loss)		130,061			150,169
Change in net unrealized appreciation/depreciation		(152,108	)		504,995
Net income (loss)	$	(29,314	)	$	647,224

The Fund’s net income decreased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to an increase in the Fund’s benchmark index during the three months ended June 30, 2014.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	318,170,803		$	141,172,634
NAV end of period	$	362,599,585		$	251,466,116
Percentage change in NAV		14.0	%		78.1	%
Shares outstanding beginning of period		11,169,944			3,869,944
Shares outstanding end of period		14,719,944			6,919,944
Percentage change in shares outstanding		31.8	%		78.8	%
Shares created		6,900,000			7,100,000
Shares redeemed		3,350,000			4,050,000
Per share NAV beginning of period	$	28.48		$	36.48
Per share NAV end of period	$	24.63		$	36.34
Percentage change in per share NAV		(13.5	)%		(0.4	)%
Percentage change in benchmark		6.7	%		(1.7	)%
Benchmark annualized volatility		12.3	%		21.8	%

158

During the three months ended June 30, 2014, the increase in the Fund’s NAV resulted from an increase from 11,169,944 outstanding Shares at March 31, 2014 to 14,719,944 outstanding Shares at June 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM (formerly Dow Jones-UBS WTI Crude Oil Subindex^SM). By comparison, during the three months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 3,869,944 outstanding Shares at March 31, 2013 to 6,919,944 outstanding Shares at June 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.5% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 0.4% for the three months ended June 30, 2013, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 2, 2014 at $29.58 per Share and reached its low for the period on June 20, 2014 at $24.07 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 17, 2013 at $45.45 per Share and reached its low for the period on June 18, 2013 at $34.89 per Share.

The benchmark’s rise of 6.7% for the three months ended June 30, 2014, as compared to the benchmark’s decline of 1.7% for the three months ended June 30, 2013, can be attributed to an increase in the price of WTI Crude Oil during the three months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(829,357	)	$	(438,268	)
Management fee		841,703			442,975
Brokerage commissions		26,969			18,494
Net realized gain (loss)		(31,561,980	)		1,034,624
Change in net unrealized appreciation/depreciation		(14,323,306	)		9,876,289
Net income (loss)	$	(46,714,643	)	$	10,472,645

The Fund’s net income decreased for the three months ended June 30, 2014 as compared to the three months ended June 30, 2013, primarily due to an increase in the Fund’s benchmark index during the three months ended June 30, 2014.

159

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	73,544,544		$	25,153,019
NAV end of period	$	49,682,009		$	19,924,537
Percentage change in NAV		(32.4	)%		(20.8	)%
Shares outstanding beginning of period		1,674,952			350,008
Shares outstanding end of period		1,224,952			224,952
Percentage change in shares outstanding		(26.9	)%		(35.7	)%
Shares created		300,000			100,000
Shares redeemed		750,000			225,056
Per share NAV beginning of period	$	43.91		$	71.86
Per share NAV end of period	$	40.56		$	88.57
Percentage change in per share NAV		(7.6	)%		23.2	%
Percentage change in benchmark		1.0	%		(13.9	)%
Benchmark annualized volatility		27.8	%		34.3	%

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,674,952 outstanding Shares at March 31, 2014 to 1,224,952 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM (formerly Dow Jones-UBS Natural Gas Subindex^SM). By comparison, during the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 350,008 outstanding Shares at March 31, 2013 to 224,952 outstanding Shares at June 30, 2013. 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 June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.6% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 23.2% for the three months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 1, 2014 at $45.81 per Share and reached its low for the period on June 12, 2014 at $35.78 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 30, 2013 at $88.57 per Share and reached its low for the period on April 19, 2013 at $59.27 per Share.

The benchmark’s rise of 1.0% for the three months ended June 30, 2014, as compared to the benchmark’s decline of 13.9% for the three months ended June 30, 2013, can be attributed to an increase in the price of Henry Hub Natural Gas during the three months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(172,282	)	$	(74,590	)
Management fee		147,249			61,051
Brokerage commissions		31,290			17,088
Net realized gain (loss)		(1,968,124	)		(833,614	)
Change in net unrealized appreciation/depreciation		(2,014,256	)		5,825,460
Net income (loss)	$	(4,154,662	)	$	4,917,256

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The Fund’s net income decreased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to an increase in the price of Henry Hub Natural Gas during the three months ended June 30, 2014.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	114,517,274		$	104,990,435
NAV end of period	$	83,742,981		$	170,802,997
Percentage change in NAV		(26.9	)%		62.7	%
Shares outstanding beginning of period		1,296,978			1,546,978
Shares outstanding end of period		996,978			1,496,978
Percentage change in shares outstanding		(23.1	)%		(3.2	)%
Shares created		100,000			950,000
Shares redeemed		400,000			1,000,000
Per share NAV beginning of period	$	88.30		$	67.87
Per share NAV end of period	$	84.00		$	114.10
Percentage change in per share NAV		(4.9	)%		68.1	%
Percentage change in benchmark		1.8	%		(25.4	)%
Benchmark annualized volatility		11.5	%		30.0	%

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,296,978 outstanding Shares at March 31, 2014 to 996,978 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. By comparison, during the three months ended June 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 1,546,978 outstanding Shares at March 31, 2013 to 1,496,978 outstanding Shares at June 30, 2013.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.9% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 68.1% for the three months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 3, 2014 at $94.39 per Share and reached its low for the period on June 24, 2014 at $83.58 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 30, 2013 at $114.10 per Share and reached its low for the period on April 2, 2013 at $69.11 per Share.

The benchmark’s rise of 1.8% for the three months ended June 30, 2014, as compared to the benchmark’s decline of 25.4% for the three months ended June 30, 2013, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2014.

161

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(218,689	)	$	(349,253	)
Management fee		231,431			368,796
Brokerage commissions		8			8
Net realized gain (loss)		13,876,111			20,859,654
Change in net unrealized appreciation/depreciation		(19,138,156	)		55,071,795
Net income (loss)	$	(5,480,734	)	$	75,582,196

The Fund’s net income decreased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to an increase in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2014.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	71,024,281		$	105,879,128
NAV end of period	$	52,190,256		$	83,886,747
Percentage change in NAV		(26.5	)%		(20.8	)%
Shares outstanding beginning of period		858,489			1,958,489
Shares outstanding end of period		708,489			758,489
Percentage change in shares outstanding		(17.5	)%		(61.3	)%
Shares created		150,000			900,000
Shares redeemed		300,000			2,100,000
Per share NAV beginning of period	$	82.73		$	54.06
Per share NAV end of period	$	73.66		$	110.60
Percentage change in per share NAV		(11.0	)%		104.6	%
Percentage change in benchmark		4.5	%		(34.2	)%
Benchmark annualized volatility		19.0	%		42.0	%

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 858,489 outstanding Shares at March 31, 2014 to 708,489 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London. By comparison, during the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 1,958,489 outstanding Shares at March 31, 2013 to 758,489 outstanding Shares at June 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London.

For the three months ended June 30, 2014 and 2013, 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 11.0% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 104.6% for the three months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

162

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 4, 2014 at $91.95 per Share and reached its low for the period on June 24, 2014 at $72.03 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 27, 2013 at $113.67 per Share and reached its low for the period on April 2, 2013 at $56.63 per Share.

The benchmark’s rise of 4.5% for the three months ended June 30, 2014, as compared to the benchmark’s decline of 34.2% for the three months ended June 30, 2013, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(133,126	)	$	(273,413	)
Management fee		140,948			290,088
Brokerage commissions		16			16
Net realized gain (loss)		12,455,585			51,617,283
Change in net unrealized appreciation/depreciation		(18,329,419	)		40,881,903
Net income (loss)	$	(6,006,960	)	$	92,225,773

The Fund’s net income decreased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to an increase in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2014.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	7,102,270		$	3,863,386
NAV end of period	$	14,245,423		$	3,792,834
Percentage change in NAV		100.6	%		(1.8	)%
Shares outstanding beginning of period		200,005			100,005
Shares outstanding end of period		400,005			100,005
Percentage change in shares outstanding		100.0	%		0.0	%
Shares created		200,000			—
Shares redeemed		—			—
Per share NAV beginning of period	$	35.51		$	38.63
Per share NAV end of period	$	35.61		$	37.93
Percentage change in per share NAV		0.3	%		(1.8	)%
Percentage change in benchmark		(0.6	)%		1.5	%
Benchmark annualized volatility		3.9	%		7.6	%

During the three months ended June 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 200,005 outstanding Shares at March 31, 2014 to 400,005 outstanding Shares at June 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2013 to June 30, 2013.

163

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.3% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 1.8% for the three months ended June 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 11, 2014 at $36.07 per Share and reached its low for the period on May 6, 2014 at $35.07 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 2, 2013 at $38.63 per Share and reached its low for the period on June 18, 2013 at $36.88 per Share.

The benchmark’s decline of 0.6% for the three months ended June 30, 2014, as compared to the benchmark’s rise of 1.5% for the three months ended June 30, 2013, can be attributed to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(27,255	)	$	(8,572	)
Management fee		28,155			493
Brokerage commissions		459			114
Offering costs		—			35,401
Limitation by Sponsor		—			(26,925	)
Net realized gain (loss)		225,122			(67,933	)
Change in net unrealized appreciation/depreciation		(159,193	)		5,953
Net income (loss)	$	38,674		$	(70,552	)

The Fund’s net income increased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 2014.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	21,165,734		$	3,689,176
NAV end of period	$	20,127,301		$	23,205,856
Percentage change in NAV		(4.9	)%		529.0	%
Shares outstanding beginning of period		500,005			100,005
Shares outstanding end of period		500,005			500,005
Percentage change in shares outstanding		0.0	%		400.0	%
Shares created		—			400,000
Shares redeemed		—			—
Per share NAV beginning of period	$	42.33		$	36.89
Per share NAV end of period	$	40.25		$	46.41
Percentage change in per share NAV		(4.9	)%		25.8	%
Percentage change in benchmark		1.7	%		(12.2	)%
Benchmark annualized volatility		6.0	%		11.8	%

164

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2014 to June 30, 2014. By comparison, during the three months ended June 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 100,005 outstanding Shares at March 31, 2013 to 500,005 outstanding Shares at June 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.9% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 25.8% for the three months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 3, 2014 at $42.71 per Share and reached its low for the period on June 30, 2014 at $40.25 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 28, 2013 at $46.58 per Share and reached its low for the period on April 11, 2013 at $35.89 per Share.

The benchmark’s rise of 1.7% for the three months ended June 30, 2014, as compared to the benchmark’s decline of 12.2% for the three months ended June 30, 2013, can be attributed to an increase in the value of the Australian dollar versus the U.S. dollar during the three months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(49,562	)	$	(30,369	)
Management fee		49,105			—
Brokerage commissions		2,584			3,381
Offering costs		—			34,834
Limitation by Sponsor		—			(6,735	)
Net realized gain (loss)		(1,846,846	)		1,793,093
Change in net unrealized appreciation/depreciation		857,975			1,508,144
Net income (loss)	$	(1,038,433	)	$	3,270,868

The Fund’s net income decreased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to an increase in the value of the Australian dollar versus the U.S. dollar during the three months ended June 30, 2014.

165

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	410,466,058		$	516,348,251
NAV end of period	$	440,156,895		$	509,228,804
Percentage change in NAV		7.2	%		(1.4	)%
Shares outstanding beginning of period		24,250,014			25,800,014
Shares outstanding end of period		25,800,014			26,400,014
Percentage change in shares outstanding		6.4	%		2.3	%
Shares created		2,050,000			2,750,000
Shares redeemed		500,000			2,150,000
Per share NAV beginning of period	$	16.93		$	20.01
Per share NAV end of period	$	17.06		$	19.29
Percentage change in per share NAV		0.8	%		(3.6	)%
Percentage change in benchmark		(0.6	)%		1.5	%
Benchmark annualized volatility		3.9	%		7.6	%

During the three months ended June 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 24,250,014 outstanding Shares at March 31, 2014 to 25,800,014 outstanding Shares at June 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. The decrease in the Fund’s NAV was offset by an increase from 25,800,014 outstanding shares at March 31, 2013 to 26,400,014 outstanding shares at June 30, 2013.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.8% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 3.6% for the three months ended June 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 11, 2014 at $17.49 per Share and reached its low for the period on May 6, 2014 at $16.52 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 2, 2013 at $20.02 per Share and reached its low for the period on June 18, 2013 at $18.23 per Share.

The benchmark’s decline of 0.6% for the three months ended June 30, 2014, as compared to the benchmark’s rise of 1.5% for the three months ended June 30, 2013, can be attributed to a decline in the value of the euro versus the U.S. dollar during the three months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(948,368	)	$	(1,151,118	)
Management fee		1,007,662			1,203,991
Net realized gain (loss)		5,887,503			(8,142,238	)
Change in net unrealized appreciation/depreciation		(1,867,338	)		(8,941,580	)
Net income (loss)	$	3,071,797		$	(18,234,936	)

The Fund’s net income increased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to a decline in the value of the euro versus the U.S. dollar for the three months ended June 30, 2014.

166

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	405,650,586		$	472,040,826
NAV end of period	$	353,617,215		$	525,633,184
Percentage change in NAV		(12.8	)%		11.4	%
Shares outstanding beginning of period		5,999,294			7,999,294
Shares outstanding end of period		5,449,294			8,199,294
Percentage change in shares outstanding		(9.2	)%		2.5	%
Shares created		300,000			3,100,000
Shares redeemed		850,000			2,900,000
Per share NAV beginning of period	$	67.62		$	59.01
Per share NAV end of period	$	64.89		$	64.11
Percentage change in per share NAV		(4.0	)%		8.6	%
Percentage change in benchmark		1.9	%		(5.1	)%
Benchmark annualized volatility		4.9	%		15.9	%

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,999,294 outstanding Shares at March 31, 2014 to 5,449,294 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended June 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 7,999,294 outstanding Shares at March 31, 2013 to 8,199,294 outstanding Shares at June 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.0% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 8.6% for the three months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014 and 2013, the Fund’s per Share NAV reached its high for the period on April 3, 2014 at $68.48 per Share and reached its low for the period on June 30, 2014 at $64.89 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on May 17, 2013 at $70.23 per Share and reached its low for the period on April 3, 2013 at $57.46 per Share.

The benchmark’s rise of 1.9% for the three months ended June 30, 2014, as compared to the benchmark’s decline of 5.1% for the three months ended June 30, 2013, can be attributed to an increase in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(820,394	)	$	(1,178,365	)
Management fee		877,179			1,239,463
Net realized gain (loss)		271,807			48,143,885
Change in net unrealized appreciation/depreciation		(14,531,898	)		(6,866,776	)
Net income (loss)	$	(15,080,485	)	$	40,098,744

167

The Fund’s net income decreased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2014.

ProShares Ultra Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	3,316,304		$	4,722,331
NAV end of period	$	4,406,118		$	3,852,327
Percentage change in NAV		32.9	%		(18.4	)%
Shares outstanding beginning of period		150,014			200,014
Shares outstanding end of period		200,014			200,014
Percentage change in shares outstanding		33.3	%		0.0	%
Shares created		50,000			—
Shares redeemed		—			—
Per share NAV beginning of period	$	22.11		$	23.61
Per share NAV end of period	$	22.03		$	19.26
Percentage change in per share NAV		(0.4	)%		(18.4	)%
Percentage change in benchmark		0.1	%		(9.5	)%
Benchmark annualized volatility		9.6	%		13.0	%

During the three months ended June 30, 2014, the increase in the Fund’s NAV resulted from the increase from 150,014 outstanding Shares at March 31, 2014 to 200,014 outstanding Shares at June 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg-UBS Commodity Index. By comparison, during the three months ended June 30, 2013, 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 March 31, 2013 to June 30, 2013.

For the three months ended June 30, 2014 and 2013, 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 June 30, 2014, as compared to the Fund’s per Share NAV decrease of 18.4% for the three months ended June 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 29, 2014 at $23.45 per Share and reached its low for the period on June 11, 2014 at $21.47 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 1, 2013 at $23.31 per Share and reached its low for the period on June 30, 2013 at $19.26 per Share.

The benchmark’s rise of 0.1% for the three months ended June 30, 2014, as compared to the benchmark’s decline of 9.5% for the three months ended June 30, 2013, can be attributed to an appreciation of the underlying components of the index during the three months ended June 30, 2014.

168

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(7,738	)	$	(9,573	)
Management fee		8,125			10,237
Net realized gain (loss)		(160,396	)		(274,064	)
Change in net unrealized appreciation/depreciation		123,032			(586,367	)
Net income (loss)	$	(45,102	)	$	(870,004	)

The Fund’s net income increased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to an increase in the Fund’s benchmark index during the three months ended June 30, 2014.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	102,118,128		$	326,167,332
NAV end of period	$	97,943,693		$	218,645,114
Percentage change in NAV		(4.1	)%		(33.0	)%
Shares outstanding beginning of period		2,949,170			10,299,170
Shares outstanding end of period		2,499,170			7,249,170
Percentage change in shares outstanding		(15.3	)%		(29.6	)%
Shares created		850,000			5,850,000
Shares redeemed		1,300,000			8,900,000
Per share NAV beginning of period	$	34.63		$	31.67
Per share NAV end of period	$	39.19		$	30.16
Percentage change in per share NAV		13.2	%		(4.8	)%
Percentage change in benchmark		6.7	%		(1.7	)%
Benchmark annualized volatility		12.3	%		21.8	%

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 2,949,170 outstanding Shares at March 31, 2014 to 2,499,170 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 10,299,170 outstanding Shares at March 31, 2013 to 7,249,170 outstanding shares at June 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the three months ended June 30, 2014 and 2013, 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 June 30, 2014, as compared to the Fund’s per Share NAV decrease of 4.8% for the three months ended June 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 20, 2014 at $40.14 per Share and reached its low for the period on April 2, 2014 at $33.29 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 18, 2013 at $31.68 per Share and reached its low for the period on April 17, 2013 at $25.06 per Share.

169

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(224,621	)	$	(655,340	)
Management fee		228,560			670,575
Brokerage commissions		7,348			23,394
Net realized gain (loss)		9,815,672			20,743,552
Change in net unrealized appreciation/depreciation		2,162,771			(22,061,839	)
Net income (loss)	$	11,753,822		$	(1,973,627	)

The Fund’s net income increased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to an increase in the price of WTI Crude Oil during the three months ended June 30, 2014.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	21,211,850		$	51,254,090
NAV end of period	$	21,163,834		$	42,142,901
Percentage change in NAV		(0.2	)%		(17.8	)%
Shares outstanding beginning of period		469,941			1,019,941
Shares outstanding end of period		469,941			1,169,941
Percentage change in shares outstanding		0.0	%		14.7	%
Shares created		200,000			650,000
Shares redeemed		200,000			500,000
Per share NAV beginning of period	$	45.14		$	50.25
Per share NAV end of period	$	45.04		$	36.02
Percentage change in per share NAV		(0.2	)%		(28.3	)%
Percentage change in benchmark		1.0	%		(13.9	)%
Benchmark annualized volatility		27.8	%		34.3	%

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. There was no net change in the Fund’s outstanding Shares from March 31, 2014 to June 30, 2014. By comparison, during the three months ended June 30, 2013, 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 the increase from 1,019,941 outstanding Shares at March 31, 2013 to 1,169,941 outstanding shares at June 30, 2013.

170

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.2% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 28.3% for the three months ended June 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 29, 2014 at $54.06 per Share and reached its low for the period on April 1, 2014 at $43.17 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 19, 2013 at $59.32 per Share and reached its low for the period on June 30, 2013 at $36.02 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(51,717	)	$	(111,690	)
Management fee		44,242			93,177
Brokerage commissions		9,286			23,462
Net realized gain (loss)		162,957			9,156,331
Change in net unrealized appreciation/depreciation		440,187			(19,993,846	)
Net income (loss)	$	551,427		$	(10,949,205	)

The Fund’s net income increased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to an increase in the price of Henry Hub Natural Gas during the three months ended June 30, 2014.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	136,370,103		$	316,462,981
NAV end of period	$	135,458,124		$	139,614,500
Percentage change in NAV		(0.7	)%		(55.9	)%
Shares outstanding beginning of period		2,900,014			4,100,014
Shares outstanding end of period		2,800,014			3,350,014
Percentage change in shares outstanding		(3.4	)%		(18.3	)%
Shares created		50,000			100,000
Shares redeemed		150,000			850,000
Per share NAV beginning of period	$	47.02		$	77.19
Per share NAV end of period	$	48.38		$	41.68
Percentage change in per share NAV		2.9	%		(46.0	)%
Percentage change in benchmark		1.8	%		(25.4	)%
Benchmark annualized volatility		11.5	%		30.0	%

171

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 2,900,014 outstanding Shares at March 31, 2014 to 2,800,014 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. By comparison, during the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,100,014 outstanding Shares at March 31, 2013 to 3,350,014 outstanding shares at June 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 2.9% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 46.0% for the three months ended June 30, 2013, was primarily due to the appreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 14, 2014 at $49.47 per Share and reached its low for the period on June 3, 2014 at $ 43.29 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 2, 2013 at $75.74 per Share and reached its low for the period on June 30, 2013 at $41.68 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(297,090	)	$	(478,211	)
Management fee		314,711			519,993
Brokerage commissions		8			8
Net realized gain (loss)		(21,488,343	)		(68,002,811	)
Change in net unrealized appreciation/depreciation		25,256,448			(62,980,880	)
Net income (loss)	$	3,471,015		$	(131,461,902	)

The Fund’s net income increased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to an increase in the price of spot gold in U.S. dollar terms during the three months ended June 30, 2014.

ProShares Ultra Silver*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	482,485,237		$	746,484,767
NAV end of period	$	501,002,636		$	425,855,952
Percentage change in NAV		3.8	%		(43.0	)%
Shares outstanding beginning of period		7,396,533			4,850,007
Shares outstanding end of period		7,146,533			6,762,507

172


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Percentage change in shares outstanding		(3.4	)%		39.4	%
Shares created		400,000			2,100,000
Shares redeemed		650,000			187,500
Per share NAV beginning of period	$	65.23		$	153.91
Per share NAV end of period	$	70.10		$	62.97
Percentage change in per share NAV		7.5	%		(59.1	)%
Percentage change in benchmark		4.5	%		(34.2	)%
Benchmark annualized volatility		19.0	%		42.0	%

During the three months ended June 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 7,396,533 outstanding Shares at March 31, 2014 to 7,146,533 outstanding Shares at June 30, 2014. By comparison, during the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase from 4,850,007 outstanding Shares at March 31, 2013 to 6,762,507 outstanding shares at June 30, 2013.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.5% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 59.1% for the three months ended June 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 24, 2014 at $71.86 per Share and reached its low for the period on June 4, 2014 at $56.91 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 2, 2013 at $146.56 per Share and reached its low for the period on June 27, 2013 at $61.32 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(1,047,200	)	$	(1,206,634	)
Management fee		1,098,533			1,309,255
Brokerage commissions		22			12
Net realized gain (loss)		(106,237,339	)		(322,601,825	)
Change in net unrealized appreciation/depreciation		145,040,452			(168,466,730	)
Net income (loss)	$	37,755,913		$	(492,275,189	)

The Fund’s net income increased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to an increase in the price of spot silver in U.S. dollar terms during the three months ended June 30, 2014.

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

173

ProShares Ultra Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	3,444,536		$	4,215,006
NAV end of period	$	3,592,189		$	3,283,396
Percentage change in NAV		4.3	%		(22.1	)%
Shares outstanding beginning of period		100,005			100,005
Shares outstanding end of period		100,005			100,005
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	34.44		$	42.15
Per share NAV end of period	$	35.92		$	32.83
Percentage change in per share NAV		4.3	%		(22.1	)%
Percentage change in benchmark		1.7	%		(12.2	)%
Benchmark annualized volatility		6.0	%		11.8	%

During the three months ended June 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from March 31, 2014 to June 30, 2014. By comparison, during the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from March 31, 2013 to June 30, 2013.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 4.3% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 22.1% for the three months ended June 30, 2013, was primarily due to the appreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 30, 2014 at $35.92 per Share and reached its low for the period on April 3, 2014 at $34.12 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 11, 2013 at $43.27 per Share and reached its low for the period on June 28, 2013 at $32.72 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(8,143	)	$	(9,095	)
Management fee		8,295			—
Brokerage commissions		376			415
Offering costs		—			34,834
Limitation by Sponsor		—			(25,730	)
Net realized gain (loss)		285,670			(590,520	)
Change in net unrealized appreciation/depreciation		(129,874	)		(331,995	)
Net income (loss)	$	147,653		$	(931,610	)

174

The Fund’s net income increased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to a rise in the value of the Australian dollar versus the U.S. dollar during the three months ended June 30, 2014.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	2,603,282		$	4,573,067
NAV end of period	$	2,566,901		$	3,521,494
Percentage change in NAV		(1.4	)%		(23.0	)%
Shares outstanding beginning of period		100,014			200,014
Shares outstanding end of period		100,014			150,014
Percentage change in shares outstanding		0.0	%		(25.0	)%
Shares created		—			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	26.03		$	22.86
Per share NAV end of period	$	25.67		$	23.47
Percentage change in per share NAV		(1.4	)%		2.7	%
Percentage change in benchmark		(0.6	)%		1.5	%
Benchmark annualized volatility		3.9	%		7.6	%

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in outstanding Shares from March 31, 2014 to June 30, 2014. By comparison, during the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 200,014 outstanding Shares at March 31, 2013 to 150,014 outstanding Shares at June 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.4% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 2.7% for the three months ended June 30, 2013, was primarily due to a decrease in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on May 6, 2014 at $26.60 per Share and reached its low for the period on June 11, 2014 at $25.06 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 18, 2013 at $24.88 per Share and reached its low for the period on May 17, 2013 at $22.84 per Share.

175

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(5,779	)	$	(8,143	)
Management fee		6,106			8,564
Net realized gain (loss)		(40,251	)		36,986
Change in net unrealized appreciation/depreciation		9,649			96,891
Net income (loss)	$	(36,381	)	$	125,734

The Fund’s net income decreased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to a decrease in the value of the euro versus the U.S. dollar during the three months ended June 30, 2014.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	2,896,143		$	3,566,403
NAV end of period	$	1,997,051		$	3,183,279
Percentage change in NAV		(31.0	)%		(10.7	)%
Shares outstanding beginning of period		150,014			150,014
Shares outstanding end of period		100,014			150,014
Percentage change in shares outstanding		(33.3	)%		0.0	%
Shares created		—			—
Shares redeemed		50,000			—
Per share NAV beginning of period	$	19.31		$	23.77
Per share NAV end of period	$	19.97		$	21.22
Percentage change in per share NAV		3.4	%		(10.7	)%
Percentage change in benchmark		1.9	%		(5.1	)%
Benchmark annualized volatility		4.9	%		15.9	%

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 150,014 outstanding Shares at March 31, 2014 to 100,014 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2013 to June 30, 2013.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.4% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 10.7% for the three months ended June 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on May 20, 2014 at $20.01 per Share and reached its low for the period on April 3, 2014 at $19.05 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 3, 2013 at $24.40 per Share and reached its low for the period on May 17, 2013 at $19.65 per Share.

176

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(6,068	)	$	(7,227	)
Management fee		6,454			7,644
Net realized gain (loss)		(11,077	)		(456,590	)
Change in net unrealized appreciation/depreciation		93,703			80,693
Net income (loss)	$	76,558		$	(383,124	)

The Fund’s net income increased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar during the three months ended June 30, 2014.

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	117,732,469		$	218,387,479
NAV end of period	$	98,364,760		$	174,808,019
Percentage change in NAV		(16.5	)%		(20.0	)%
Shares outstanding beginning of period		4,174,812			4,035,001
Shares outstanding end of period		5,174,812			3,124,812
Percentage change in shares outstanding		24.0	%		(22.6	)%
Shares created		2,400,000			2,110,000
Shares redeemed		1,400,000			3,020,189
Per share NAV beginning of period	$	28.20		$	54.12
Per share NAV end of period	$	19.01		$	55.94
Percentage change in per share NAV		(32.6	)%		3.4	%
Percentage change in benchmark		(32.4	)%		3.4	%
Benchmark annualized volatility		34.1	%		71.2	%

During the three months ended June 30, 2014, 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 the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 4,174,812 outstanding Shares at March 31, 2014 to 5,174,812 outstanding Shares at June 30, 2014. By comparison, during the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 4,035,001 outstanding Shares at March 31, 2013 to 3,124,812 outstanding Shares at June 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

177

to the Fund’s per Share NAV increase of 3.4% for the three months ended June 30, 2013, was primarily due to the depreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 11, 2014 at $29.77 per Share and reached its low for the period on June 30, 2014 at $19.01 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 24, 2013 at $61.88 per Share and reached its low for the period on May 7, 2013 at $49.08 per Share.

The benchmark’s decline of 32.4% for the three months ended June 30, 2014, as compared to the benchmark’s rise of 3.4% for the three months ended June 30, 2013, can be attributed to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(226,038	)	$	(435,228	)
Management fee		236,584			454,439
Net realized gain (loss)		(41,222,421	)		11,161,136
Change in net unrealized appreciation/depreciation		(1,589,050	)		9,573,290
Net income (loss)	$	(43,037,509	)	$	20,299,198

The Fund’s net income decreased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2014.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	57,792,817		$	68,072,450
NAV end of period	$	40,535,994		$	72,133,381
Percentage change in NAV		(29.9	)%		6.0	%
Shares outstanding beginning of period		3,125,005			2,575,005
Shares outstanding end of period		2,625,005			2,550,005
Percentage change in shares outstanding		(16.0	)%		(1.0	)%
Shares created		750,000			875,000
Shares redeemed		1,250,000			900,000
Per share NAV beginning of period	$	18.49		$	26.44
Per share NAV end of period	$	15.44		$	28.29
Percentage change in per share NAV		(16.5	)%		7.0	%
Percentage change in benchmark		(16.2	)%		7.3	%
Benchmark annualized volatility		16.4	%		28.0	%

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,125,005 outstanding Shares at March 31, 2014 to 2,625,005 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended June 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 2,575,005 outstanding Shares at March 31, 2013 to 2,550,005 outstanding Shares at June 30, 2013.

178

For the three months ended June 30, 2014 and 2013, 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 16.5% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 7.0% for the three months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 14, 2014 at $18.63 per Share and reached its low for the period on June 30, 2014 at $15.44 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 24, 2013 at $28.93 per Share and reached its low for the period on May 7, 2013 at $24.07 per Share.

The benchmark’s decline of 16.2% for the three months ended June 30, 2014, as compared to the benchmark’s rise of 7.3% for the three months ended June 30, 2013, can be attributed to a decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(97,187	)	$	(126,773	)
Management fee		102,112			133,204
Net realized gain (loss)		(6,665,185	)		(2,486,090	)
Change in net unrealized appreciation/depreciation		(1,489,069	)		7,455,011
Net income (loss)	$	(8,251,441	)	$	4,842,148

The Fund’s net income decreased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to a decline in the prices of the future contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended June 30, 2014.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	317,768,440		$	344,396,396
NAV end of period	$	295,261,247		$	215,235,917
Percentage change in NAV		(7.1	)%		(37.5	)%
Shares outstanding beginning of period		5,270,099			1,136,452
Shares outstanding end of period		11,120,099			747,389
Percentage change in shares outstanding		111.0	%		(34.2	)%
Shares created		9,550,000			1,785,000
Shares redeemed		3,700,000			2,174,063
Per share NAV beginning of period	$	60.30		$	303.05
Per share NAV end of period	$	26.55		$	287.98
Percentage change in per share NAV		(56.0	)%		(5.0	)%
Percentage change in benchmark		(32.4	)%		3.4	%
Benchmark annualized volatility		34.1	%		71.2	%

179

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 5,270,099 outstanding Shares at March 31, 2014 to 11,120,099 outstanding Shares at June 30, 2014. By comparison, during the three months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 1,136,452 outstanding Shares at March 31, 2013 to 747,389 outstanding Shares at June 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 56.0% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 5.0% for the three months ended June 30, 2013, was primarily due to greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 11, 2014 at $66.73 per Share and reached its low for the period on June 30, 2014 at $26.55 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 24, 2013 at $353.44 per Share and reached its low for the period on May 7, 2013 at $230.60 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(1,418,872	)	$	(1,390,499	)
Management fee		789,047			744,547
Brokerage commissions		650,481			664,479
Net realized gain (loss)		(247,162,005	)		17,779,919
Change in net unrealized appreciation/depreciation		(10,838,017	)		21,973,942
Net income (loss)	$	(259,418,894	)	$	38,363,362

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

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
NAV beginning of period	$	213,416,566		$	69,149,807
NAV end of period	$	181,236,514		$	117,395,722
Percentage change in NAV		(15.1	)%		69.8	%
Shares outstanding beginning of period		3,450,040			1,500,040
Shares outstanding end of period		2,050,040			3,000,040
Percentage change in shares outstanding		(40.6	)%		100.0	%
Shares created		1,100,000			4,900,000
Shares redeemed		2,500,000			3,400,000
Per share NAV beginning of period	$	61.86		$	46.10
Per share NAV end of period	$	88.41		$	39.13
Percentage change in per share NAV		42.9	%		(15.1	)%
Percentage change in benchmark		(32.4	)%		3.4	%
Benchmark annualized volatility		61.3	%		71.2	%

180

During the three months ended June 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 3,450,040 outstanding Shares at March 31, 2014 to 2,050,040 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,500,040 outstanding Shares at March 31, 2013 to 3,000,040 outstanding Shares at June 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 42.9% for the three months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 15.1% for the three months ended June 30, 2013, was primarily due to appreciation in the value of the assets of the fund during the three months ended June 30, 2014.

During the three months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 30, 2014 at $88.41 per Share and reached its low for the period on April 11, 2014 at $58.05 per Share. By comparison, during the three months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 12, 2013 at $50.45 per Share and reached its low for the period on June 24, 2013 at $35.51 per Share.

The benchmark’s decline of 32.4% for the three months ended June 30, 2014, as compared to the benchmark’s rise of 3.4% for the three months ended June 30, 2013, can be attributed to a decline in the prices of the near-term futures contracts on the VIX Futures curve during the three months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2014 and 2013:


	Three Months Ended June 30, 2014			Three Months Ended June 30, 2013
Net investment income (loss)	$	(740,111	)	$	(296,200	)
Management fee		486,704			185,400
Brokerage commissions		273,431			118,168
Net realized gain (loss)		73,543,760			(4,126,987	)
Change in net unrealized appreciation/depreciation		831,898			(3,024,645	)
Net income (loss)	$	73,635,547		$	(7,447,832	)

The Fund’s net income increased for the three months ended June 30, 2014, as compared to the three months ended June 30, 2013, primarily due to a decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2014.

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

181

Results of Operations for the Six Months Ended June 30, 2014 Compared to the Six Months Ended June 30, 2013

ProShares UltraShort Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	3,797,427		$	3,245,965
NAV end of period	$	3,254,416		$	3,953,221
Percentage change in NAV		(14.3	)%		21.8	%
Shares outstanding beginning of period		59,997			59,997
Shares outstanding end of period		59,997			59,997
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	63.29		$	54.10
Per share NAV end of period	$	54.24		$	65.89
Percentage change in per share NAV		(14.3	)%		21.8	%
Percentage change in benchmark		7.1	%		(10.5	)%
Benchmark annualized volatility		8.4	%		11.0	%

During the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to June 30, 2014. By comparison, during the six months ended June 30, 2013, 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, 2012 to June 30, 2013.

For the six months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.3% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 21.8% for the six months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $66.81 per Share and reached its low for the period on April 29, 2014 at $51.38 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 30, 2013 at $65.89 per Share and reached its low for the period on January 30, 2013 at $51.04 per Share.

The benchmark’s rise of 7.1% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 10.5% for the six months ended June 30, 2013, can be attributed to appreciation of the underlying components of the index during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013

Net investment income (loss)	$	(15,258	)	$	(14,800	)
Management fee		15,910			16,035
Net realized gain (loss)		(505,634	)		458,669
Change in net unrealized appreciation/depreciation		(22,119	)		263,387
Net income (loss)	$	(543,011	)	$	707,256

182

The Fund’s net income decreased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to an increase in the Fund’s benchmark index during the six months ended June 30, 2014.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	256,060,149		$	89,481,266
NAV end of period	$	362,599,585		$	251,466,116
Percentage change in NAV		41.6	%		181.0	%
Shares outstanding beginning of period		8,069,944			2,219,944
Shares outstanding end of period		14,719,944			6,919,944
Percentage change in shares outstanding		82.4	%		211.7	%
Shares created		14,600,000			9,450,000
Shares redeemed		7,950,000			4,750,000
Per share NAV beginning of period	$	31.73		$	40.31
Per share NAV end of period	$	24.63		$	36.34
Percentage change in per share NAV		(22.4	)%		(9.8	)%
Percentage change in benchmark		11.4	%		2.5	%
Benchmark annualized volatility		14.6	%		18.5	%

During the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from an increase from 8,069,944 outstanding Shares at December 31, 2013 to 14,719,944 outstanding Shares at June 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the six months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 2,219,944 outstanding Shares at December 31, 2012 to 6,919,944 outstanding Shares at June 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the six months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.4% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 9.8% for the six months ended June 30, 2013, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $36.34 per Share and reached its low for the period on June 20, 2014 at $24.07 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 17, 2013 at $45.45 per Share and reached its low for the period on June 18, 2013 at $34.89 per Share.

183

The benchmark’s rise of 11.4% for the six months ended June 30, 2014, as compared to the benchmark’s rise of 2.5% for the six months ended June 30, 2013, can be attributed to a greater increase in the price of WTI Crude Oil during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013

Net investment income (loss)	$	(1,428,630	)	$	(759,578	)
Management fee		1,465,256			782,559
Brokerage commission		39,662			25,529
Net realized gain (loss)		(43,834,692	)		(5,091,205	)
Change in net unrealized appreciation/depreciation		(17,716,756	)		8,375,242
Net income (loss)	$	(62,980,078	)	$	2,524,459

The Fund’s net income decreased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to a greater increase in the price of WTI Crude Oil during the six months ended June 30, 2014.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	22,734,767		$	12,768,340
NAV end of period	$	49,682,009		$	19,924,537
Percentage change in NAV		118.5	%		56.0	%
Shares outstanding beginning of period		324,952			125,008
Shares outstanding end of period		1,224,952			224,952
Percentage change in shares outstanding		277.0	%		80.0	%
Shares created		2,400,000			337,500
Shares redeemed		1,500,000			237,556
Per share NAV beginning of period	$	69.96		$	102.14
Per share NAV end of period	$	40.56		$	88.57
Percentage change in per share NAV		(42.0	)%		(13.3	)%
Percentage change in benchmark		13.1	%		(1.0	)%
Benchmark annualized volatility		44.1	%		32.9	%

During the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from an increase from 324,952 outstanding Shares at December 31, 2013 to 1,224,952 outstanding Shares at June 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM. By comparison, during the six months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 125,008 outstanding Shares at December 31, 2012 to 224,952 outstanding Shares at June 30, 2013. 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 Natural Gas Subindex^SM.

184

for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 13.3% for the six months ended June 30, 2013, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $76.82 per Share and reached its low for the period on June 12, 2014 at $35.78 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on January 9, 2013 at $116.81 per Share and reached its low for the period on April 19, 2013 at $59.27 per Share.

The benchmark’s rise of 13.1% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 1.0% for the six months ended June 30, 2013, can be attributed to an increase in the price of Henry Hub Natural Gas during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013

Net investment income (loss)	$	(327,867	)	$	(118,156	)
Management fee		279,055			97,194
Brokerage commission		61,752			26,912
Net realized gain (loss)		(11,181,106	)		(2,607,139	)
Change in net unrealized appreciation/depreciation		1,425,007			1,919,348
Net income (loss)	$	(10,083,966	)	$	(805,947	)

The Fund’s net income decreased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to an increase in the price of Henry Hub Natural Gas during the six months ended June 30, 2014.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	139,436,456		$	92,416,742
NAV end of period	$	83,742,981		$	170,802,997
Percentage change in NAV		(39.9	)%		84.8	%
Shares outstanding beginning of period		1,346,978			1,446,978
Shares outstanding end of period		996,978			1,496,978
Percentage change in shares outstanding		(26.0	)%		3.5	%
Shares created		400,000			1,200,000
Shares redeemed		750,000			1,150,000
Per share NAV beginning of period	$	103.52		$	63.87
Per share NAV end of period	$	84.00		$	114.10
Percentage change in per share NAV		(18.9	)%		78.6	%
Percentage change in benchmark		9.2	%		(28.1	)%
Benchmark annualized volatility		13.2	%		22.9	%

During the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,346,978 outstanding Shares at December 31, 2013 to 996,978 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as

185

comparison, during the six months ended June 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 1,446,978 outstanding Shares at December 31, 2012 to 1,496,978 outstanding Shares at June 30, 2013. 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 gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

For the six months ended June 30, 2014 and 2013, 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 18.9% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 78.6% for the six months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 8, 2014 at $100.49 per Share and reached its low for the period on March 14, 2014 at $77.10 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 30, 2013 at $114.10 per Share and reached its low for the period on January 2, 2013 at $61.07 per Share.

The benchmark’s rise of 9.2% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 28.1% for the six months ended June 30, 2013, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013

Net investment income (loss)	$	(469,062	)	$	(559,970	)
Management fee		496,983			595,254
Brokerage commission		24			24
Net realized gain (loss)		(8,272,081	)		33,742,722
Change in net unrealized appreciation/depreciation		(16,233,578	)		48,079,807
Net income (loss)	$	(24,974,721	)	$	81,262,559

The Fund’s net income decreased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to an increase in the price of spot gold in U.S. dollar terms during the six months ended June 30, 2014.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	112,989,686		$	100,656,703
NAV end of period	$	52,190,256		$	83,886,747
Percentage change in NAV		(53.8	)%		(16.7	)%
Shares outstanding beginning of period		1,258,489			1,958,489
Shares outstanding end of period		708,489			758,489
Percentage change in shares outstanding		(43.7	)%		(61.3	)%
Shares created		700,000			1,500,000

186


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
Shares redeemed		1,250,000			2,700,000
Per share NAV beginning of period	$	89.78		$	51.40
Per share NAV end of period	$	73.66		$	110.60
Percentage change in per share NAV		(18.0	)%		115.2	%
Percentage change in benchmark		7.0	%		(37.0	)%
Benchmark annualized volatility		20.1	%		34.4	%

During the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,258,489 outstanding Shares at December 31, 2013 to 708,489 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London. By comparison, during the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 1,958,489 outstanding Shares at December 31, 2012 to 758,489 outstanding Shares at June 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London.

For the six months ended June 30, 2014 and 2013, 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 18.0% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 115.2% for the six months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 4, 2014 at $91.95 per Share and reached its low for the period on February 24, 2014 at $68.80 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 27, 2013 at $113.67 per Share and reached its low for the period on January 23, 2013 at $43.72 per Share.

The benchmark’s rise of 7.0% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 37.0% for the six months ended June 30, 2013, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013

Net investment income (loss)	$	(324,337	)	$	(501,593	)
Management fee		345,108			540,615
Brokerage commission		24			24
Net realized gain (loss)		(157,279	)		80,822,936
Change in net unrealized appreciation/depreciation		(8,368,370	)		21,813,652
Net income (loss)	$	(8,849,986	)	$	102,134,995

The Fund’s net income decreased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to an increase in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2014.

187

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	8,896,842		$	3,763,040
NAV end of period	$	14,245,423		$	3,792,834
Percentage change in NAV		60.1	%		0.8	%
Shares outstanding beginning of period		250,005			100,005
Shares outstanding end of period		400,005			100,005
Percentage change in shares outstanding		60.0	%		0.0	%
Shares created		200,000			—
Shares redeemed		50,000			—
Per share NAV beginning of period	$	35.59		$	37.63
Per share NAV end of period	$	35.61		$	37.93
Percentage change in per share NAV		0.1	%		0.8	%
Percentage change in benchmark		(0.5	)%		(1.4	)%
Benchmark annualized volatility		5.0	%		8.1	%

During the six months ended June 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 250,005 outstanding Shares at December 31, 2013 to 400,005 outstanding Shares at June 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to June 30, 2013.

For the six months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 0.1% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 0.8% for the six months ended June 30, 2013, was primarily due to a lesser appreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 31, 2014 at $36.34 per Share and reached its low for the period on May 6, 2014 at $35.07 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on March 27, 2013 at $38.76 per Share and reached its low for the period on February 1, 2013 at $36.34 per Share.

The benchmark’s decline of 0.5% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 1.4% for the six months ended June 30, 2013, can be attributed to a lesser decrease in the value of the euro versus the U.S. dollar during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013

Net investment income (loss)	$	(43,854	)	$	(16,977	)
Management fee		45,561			493
Brokerage commission		698			230
Offering costs		—			45,511
Limitation by Sponsor		—			(28,232	)
Net realized gain (loss)		158,792			(75,791	)
Change in net unrealized appreciation/depreciation		(78,252	)		122,562
Net income (loss)	$	36,686		$	29,794

188

The Fund’s net income increased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to a decrease in the value of the euro versus the U.S. dollar in conjunction with an increase in shares outstanding during the six months ended June 30, 2014.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	27,983,279		$	3,780,999
NAV end of period	$	20,127,301		$	23,205,856
Percentage change in NAV		(28.1	)%		513.7	%
Shares outstanding beginning of period		600,005			100,005
Shares outstanding end of period		500,005			500,005
Percentage change in shares outstanding		(16.7	)%		400.0	%
Shares created		—			400,000
Shares redeemed		100,000			—
Per share NAV beginning of period	$	46.64		$	37.81
Per share NAV end of period	$	40.25		$	46.41
Percentage change in per share NAV		(13.7	)%		22.8	%
Percentage change in benchmark		5.6	%		(12.1	)%
Benchmark annualized volatility		7.9	%		9.8	%

During the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,005 outstanding Shares at December 31, 2013 to 500,005 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the six months ended June 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 100,005 outstanding Shares at December 31, 2012 to 500,005 outstanding Shares at June 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

For the six months ended June 30, 2014 and 2013, 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 13.7% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 22.8% for the six months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 24, 2014 at $48.83 per Share and reached its low for the period on June 30, 2014 at $40.25 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on June 28, 2013 at $46.58 per Share and reached its low for the period on April 11, 2013 at $35.89 per Share.

189

The benchmark’s rise of 5.6% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 12.1% for the six months ended June 30, 2013, can be attributed to an increase in the value of the Australian dollar versus the U.S. dollar during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013

Net investment income (loss)	$	(108,740	)	$	(39,038	)
Management fee		108,365			—
Brokerage commission		6,366			3,779
Offering costs		—			44,944
Limitation by Sponsor		—			(8,076	)
Net realized gain (loss)		(1,925,051	)		1,905,258
Change in net unrealized appreciation/depreciation		(1,281,924	)		1,312,825
Net income (loss)	$	(3,315,715	)	$	3,179,045

The Fund’s net income decreased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to an increase in the value of the Australian dollar versus the U.S. dollar during the six months ended June 30, 2014.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	418,001,115		$	526,778,026
NAV end of period	$	440,156,895		$	509,228,804
Percentage change in NAV		5.3	%		(3.3	)%
Shares outstanding beginning of period		24,500,014			27,700,014
Shares outstanding end of period		25,800,014			26,400,014
Percentage change in shares outstanding		5.3	%		(4.7	)%
Shares created		2,250,000			4,850,000
Shares redeemed		950,000			6,150,000
Per share NAV beginning of period	$	17.06		$	19.02
Per share NAV end of period	$	17.06		$	19.29
Percentage change in per share NAV		0.0	%		1.4	%
Percentage change in benchmark		(0.5	)%		(1.4	)%
Benchmark annualized volatility		5.0	%		8.1	%

During the six months ended June 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 24,500,014 outstanding Shares at December 31, 2013 to 25,800,014 outstanding Shares at June 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 27,700,014 outstanding Shares at December 31, 2012 to 26,400,014 outstanding Shares at June 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

190

For the six months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. There was no net change in the Fund’s per Share NAV from December 31, 2013 to June 30, 2014 as compared to the Fund’s per Share NAV increase of 1.4% for the six months ended June 30, 2013, which was primarily due to a lesser appreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 31, 2014 at $17.71 per Share and reached its low for the period on May 6, 2014 at $16.52 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on March 27, 2013 at $20.16 per Share and reached its low for the period on February 1, 2013 at $17.72 per Share.

The benchmark’s decline of 0.5% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 1.4% for the six months ended June 30, 2013, can be attributed to a lesser decline in the value of the euro versus the U.S. dollar during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013

Net investment income (loss)	$	(1,849,767	)	$	(2,244,231	)
Management fee		1,978,418			2,384,334
Net realized gain (loss)		(6,292,600	)		(11,092,311	)
Change in net unrealized appreciation/depreciation		8,146,372			17,870,701
Net income (loss)	$	4,005		$	4,534,159

The Fund’s net income decreased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to a lesser decline in the value of the euro versus the U.S. dollar for the six months ended June 30, 2014.

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	588,121,516		$	408,563,630
NAV end of period	$	353,617,215		$	525,633,184
Percentage change in NAV		(39.9	)%		28.7	%
Shares outstanding beginning of period		8,299,294			8,049,294
Shares outstanding end of period		5,449,294			8,199,294
Percentage change in shares outstanding		(34.3	)%		1.9	%
Shares created		450,000			4,200,000
Shares redeemed		3,300,000			4,050,000
Per share NAV beginning of period	$	70.86		$	50.76
Per share NAV end of period	$	64.89		$	64.11
Percentage change in per share NAV		(8.4	)%		26.3	%
Percentage change in benchmark		3.9	%		(12.6	)%
Benchmark annualized volatility		6.7	%		14.3	%

During the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,299,294 outstanding Shares at December 31, 2013 to 5,449,294 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV also

191

resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the six months ended June 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 8,049,294 outstanding Shares at December 31, 2012 to 8,199,294 outstanding Shares at June 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the six months ended June 30, 2014 and 2013, 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 8.4% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 26.3% for the six months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014 and 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2014 at $70.17 per Share and reached its low for the period on June 30, 2014 at $64.89 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on May 17, 2013 at $70.23 per Share and reached its low for the period on January 8, 2013 at $51.09 per Share.

The benchmark’s rise of 3.9% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 12.6% for the six months ended June 30, 2013, can be attributed to an increase in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013

Net investment income (loss)	$	(1,770,703	)	$	(2,113,971	)
Management fee		1,905,712			2,244,561
Net realized gain (loss)		177,423			145,029,520
Change in net unrealized appreciation/depreciation		(39,074,311	)		(42,252,133	)
Net income (loss)	$	(40,667,591	)	$	100,663,416

The Fund’s net income decreased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2014.

ProShares Ultra Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	2,915,034		$	6,097,211
NAV end of period	$	4,406,118		$	3,852,327
Percentage change in NAV		51.2	%		(36.8	)%
Shares outstanding beginning of period		150,014			250,014
Shares outstanding end of period		200,014			200,014
Percentage change in shares outstanding		33.3	%		(20.0	)%

192


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
Shares created		50,000			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	19.43		$	24.39
Per share NAV end of period	$	22.03		$	19.26
Percentage change in per share NAV		13.4	%		(21.0	)%
Percentage change in benchmark		7.1	%		(10.5	)%
Benchmark annualized volatility		8.4	%		11.0	%

During the six months ended June 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 150,014 outstanding Shares at December 31, 2013 to 200,014 outstanding Shares at June 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. By comparison, during the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,014 outstanding shares at December 31, 2012 to 200,014 outstanding Shares at June 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index.

For the six months ended June 30, 2014 and 2013, 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 13.4% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 21.0% for the six months ended June 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on April 29, 2014 at $23.45 per Share and reached its low for the period on January 9, 2014 at $18.38 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on January 30, 2013 at $25.72 per Share and reached its low for the period on June 30, 2013 at $19.26 per Share.

The benchmark’s rise of 7.1% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 10.5% for the six months ended June 30, 2013, can be attributed to an appreciation of the underlying components of the index during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013

Net investment income (loss)	$	(14,695	)	$	(21,202	)
Management fee		15,414			22,616
Net realized gain (loss)		376,946			(782,945	)
Change in net unrealized appreciation/depreciation		(6,083	)		(165,124	)
Net income (loss)	$	356,168		$	(969,271	)

The Fund’s net income increased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to an increase in the Fund’s benchmark index during the six months ended June 30, 2014.

193

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	142,773,429		$	483,508,964
NAV end of period	$	97,943,693		$	218,645,114
Percentage change in NAV		(31.4	)%		(54.8	)%
Shares outstanding beginning of period		4,449,170			16,449,170
Shares outstanding end of period		2,499,170			7,249,170
Percentage change in shares outstanding		(43.8	)%		(55.9	)%
Shares created		5,200,000			6,700,000
Shares redeemed		7,150,000			15,900,000
Per share NAV beginning of period	$	32.09		$	29.39
Per share NAV end of period	$	39.19		$	30.16
Percentage change in per share NAV		22.1	%		2.6	%
Percentage change in benchmark		11.4	%		2.5	%
Benchmark annualized volatility		14.6	%		18.5	%

During the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 4,449,170 outstanding Shares at December 31, 2013 to 2,499,170 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 16,449,170 outstanding Shares at December 31, 2012 to 7,249,170 outstanding shares at June 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the six months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 22.1% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 2.6% for the six months ended June 30, 2013, was primarily due to a greater appreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 20, 2014 at $40.14 per Share and reached its low for the period on January 9, 2014 at $27.85 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on January 30, 2013 at $33.05 per Share and reached its low for the period on April 17, 2013 at $25.06 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013

Net investment income (loss)	$	(558,013	)	$	(1,447,370	)
Management fee		574,502			1,510,962
Brokerage commission		16,499			38,311
Net realized gain (loss)		31,015,727			87,306,844
Change in net unrealized appreciation/depreciation		2,638,918			(50,811,241	)
Net income (loss)	$	33,096,632		$	35,048,233

194

The Fund’s net income decreased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, due to a significant decline in outstanding shares, offset by an increase in the price of WTI Crude Oil during the six months ended June 30, 2014.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	62,915,779		$	73,019,370
NAV end of period	$	21,163,834		$	42,142,901
Percentage change in NAV		(66.4	)%		(42.3	)%
Shares outstanding beginning of period		1,619,941			1,869,941
Shares outstanding end of period		469,941			1,169,941
Percentage change in shares outstanding		(71.0	)%		(37.4	)%
Shares created		400,000			1,650,000
Shares redeemed		1,550,000			2,350,000
Per share NAV beginning of period	$	38.84		$	39.05
Per share NAV end of period	$	45.04		$	36.02
Percentage change in per share NAV		16.0	%		(7.8	)%
Percentage change in benchmark		13.1	%		(1.0	)%
Benchmark annualized volatility		44.3	%		32.9	%

During the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 1,619,941 outstanding Shares at December 31, 2013 to 469,941 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. By comparison, during the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 1,869,941 outstanding Shares at December 31, 2012 to 1,169,941 outstanding shares at June 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the six months ended June 30, 2014 and 2013, 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 16.0% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 7.8% for the six months ended June 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on January 29, 2014 at $63.78 per Share and reached its low for the period on January 9, 2014 at $34.90 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 19, 2013 at $59.32 per Share and reached its low for the period on January 9, 2013 at $33.68 per Share.

195

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
Net investment income (loss)	$	(169,279	)	$	(309,561	)
Management fee		150,086			269,790
Brokerage commission		27,277			56,397
Net realized gain (loss)		16,969,039			14,905,718
Change in net unrealized appreciation/depreciation		2,242,913			(2,131,003	)
Net income (loss)	$	19,042,673		$	12,465,154

The Fund’s net income increased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to an increase in the price of Henry Hub Natural Gas during the six months ended June 30, 2014.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	132,017,405		$	335,054,752
NAV end of period	$	135,458,124		$	139,614,500
Percentage change in NAV		2.6	%		(58.3	)%
Shares outstanding beginning of period		3,200,014			4,000,014
Shares outstanding end of period		2,800,014			3,350,014
Percentage change in shares outstanding		(12.5	)%		(16.2	)%
Shares created		150,000			200,000
Shares redeemed		550,000			850,000
Per share NAV beginning of period	$	41.26		$	83.76
Per share NAV end of period	$	48.38		$	41.68
Percentage change in per share NAV		17.3	%		(50.2	)%
Percentage change in benchmark		9.2	%		(28.1	)%
Benchmark annualized volatility		13.2	%		22.9	%

During the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 3,200,014 outstanding Shares at December 31, 2013 to 2,800,014 outstanding Shares at June 30, 2014. By comparison, during the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 4,000,014 outstanding Shares at December 31, 2012 to 3,350,014 outstanding shares at June 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

For the six months ended June 30, 2014 and 2013, 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 17.3% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 50.2% for the six months ended June 30, 2013, was primarily due to the appreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

196

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on March 14, 2014 at $54.16 per Share and reached its low for the period on January 8, 2014 at $42.35 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on January 2, 2013 at $87.40 per Share and reached its low for the period on June 30, 2013 at $41.68 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
Net investment income (loss)	$	(614,629	)	$	(1,181,761	)
Management fee		646,062			1,282,605
Brokerage commission		24			24
Net realized gain (loss)		1,945,207			(118,415,357	)
Change in net unrealized appreciation/depreciation		20,066,415			(38,098,348	)
Net income (loss)	$	21,396,993		$	(157,695,466	)

The Fund’s net income increased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to an increase in the price of spot gold in U.S. dollar terms during the six months ended June 30, 2014.

ProShares Ultra Silver*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	465,479,519		$	747,725,400
NAV end of period	$	501,002,636		$	425,855,952
Percentage change in NAV		7.6	%		(43.0	)%
Shares outstanding beginning of period		7,350,007			4,350,007
Shares outstanding end of period		7,146,533			6,762,507
Percentage change in shares outstanding		(2.8	)%		55.5	%
Shares created		1,187,500			2,637,500
Shares redeemed		1,390,974			225,000
Per share NAV beginning of period	$	63.33		$	171.89
Per share NAV end of period	$	70.10		$	62.97
Percentage change in per share NAV		10.7	%		(63.4	)%
Percentage change in benchmark		7.0	%		(37.4	)%
Benchmark annualized volatility		20.1	%		34.4	%

During the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 7,350,007 outstanding Shares at December 31, 2013 to 7,146,533 outstanding Shares at June 30, 2014. By comparison, during the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase from 4,350,007 outstanding Shares at December 31, 2012 to 6,762,507 outstanding shares at June 30, 2013.

197

For the six months ended June 30, 2014 and 2013, 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 10.7% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 63.4% for the six months ended June 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on February 24, 2014 at $80.11 per Share and reached its low for the period on June 4, 2014 at $56.91 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on January 23, 2013 at $197.56 per Share and reached its low for the period on June 27, 2013 at $61.32 per Share.

The benchmark’s rise of 7.0% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 37.4% for the six months ended June 30, 2013, can be attributed to an increase in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
Net investment income (loss)	$	(2,172,510	)	$	(2,831,041	)
Management fee		2,286,437			3,092,914
Brokerage commission		30			20
Net realized gain (loss)		(32,278,698	)		(538,276,160	)
Change in net unrealized appreciation/depreciation		89,399,913			(30,848,113	)
Net income (loss)	$	54,948,705		$	(571,955,314	)

The Fund’s net income increased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to an increase in the price of spot silver in U.S. dollar terms during the six months ended June 30, 2014.

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

ProShares Ultra Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	3,168,165		$	4,150,068
NAV end of period	$	3,592,189		$	3,283,396
Percentage change in NAV		13.4	%		(20.9	)%
Shares outstanding beginning of period		100,005			100,005
Shares outstanding end of period		100,005			100,005
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	31.68		$	41.50
Per share NAV end of period	$	35.92		$	32.83
Percentage change in per share NAV		13.4	%		(20.9	)%
Percentage change in benchmark		5.6	%		(12.1	)%
Benchmark annualized volatility		7.9	%		9.8	%

198

During the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2013 to June 30, 2014. By comparison, during the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2012 to June 30, 2013.

For the six months ended June 30, 2014 and 2013, 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 13.4% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 20.9% for the six months ended June 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 30, 2014 at $35.92 per Share and reached its low for the period on January 24, 2014 at $30.12 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 11, 2013 at $43.27 per Share and reached its low for the period on June 28, 2013 at $32.72 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
Net investment income (loss)	$	(15,473	)	$	(18,587	)
Management fee		15,803			—
Brokerage commission		756			777
Offering costs		—			44,944
Limitation by Sponsor		—			(26,064	)
Net realized gain (loss)		258,243			(739,890	)
Change in net unrealized appreciation/depreciation		181,254			(108,195	)
Net income (loss)	$	424,024		$	(866,672	)

The Fund’s net income increased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to a rise in the value of the Australian dollar versus the U.S. dollar during the six months ended June 30, 2014.

199

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	2,603,827		$	4,870,316
NAV end of period	$	2,566,901		$	3,521,494
Percentage change in NAV		(1.4	)%		(27.7	)%
Shares outstanding beginning of period		100,014			200,014
Shares outstanding end of period		100,014			150,014
Percentage change in shares outstanding		0.0	%		(25.0	)%
Shares created		—			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	26.03		$	24.35
Per share NAV end of period	$	25.67		$	23.47
Percentage change in per share NAV		(1.4	)%		(3.6	)%
Percentage change in benchmark		(0.5	)%		(1.4	)%
Benchmark annualized volatility		5.0	%		8.1	%

During the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2013 to June 30, 2014. By comparison, during the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 200,014 outstanding Shares at December 31, 2012 to 150,014 outstanding Shares at June 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

For the six months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.4% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 3.6% for the six months ended June 30, 2013, was primarily due to a lesser decrease in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on March 18, 2014 at $26.63 per Share and reached its low for the period on January 31, 2014 at $24.99 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on February 1, 2013 at $26.03 per Share and reached its low for the period on March 27, 2013 at $22.71 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
Net investment income (loss)	$	(11,443	)	$	(18,867	)
Management fee		12,148			19,964
Net realized gain (loss)		44,885			(28,362	)
Change in net unrealized appreciation/depreciation		(70,368	)		(124,286	)
Net income (loss)	$	(36,926	)	$	(171,515	)

The Fund’s net income increased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to a lesser decrease in the value of the euro versus the U.S. dollar during the six months ended June 30, 2014.

200

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	2,795,026		$	4,227,995
NAV end of period	$	1,997,051		$	3,183,279
Percentage change in NAV		(28.5	)%		(24.7	)%
Shares outstanding beginning of period		150,014			150,014
Shares outstanding end of period		100,014			150,014
Percentage change in shares outstanding		(33.3	)%		0.0	%
Shares created		—			50,000
Shares redeemed		50,000			50,000
Per share NAV beginning of period	$	18.63		$	28.18
Per share NAV end of period	$	19.97		$	21.22
Percentage change in per share NAV		7.2	%		(24.7	)%
Percentage change in benchmark		3.9	%		(12.6	)%
Benchmark annualized volatility		6.7	%		14.3	%

During the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 150,014 outstanding Shares at December 31, 2013 to 100,014 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the six months ended June 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to June 30, 2013.

For the six months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.2% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 24.7% for the six months ended June 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on February 3, 2014 at $20.21 per Share and reached its low for the period on January 9, 2014 at $18.80 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on January 8, 2013 at $27.97 per Share and reached its low for the period on May 17, 2013 at $19.65 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
Net investment income (loss)	$	(12,488	)	$	(17,287	)
Management fee		13,309			18,530
Net realized gain (loss)		(21,518	)		(1,674,519	)
Change in net unrealized appreciation/depreciation		211,681			504,268
Net income (loss)	$	177,675		$	(1,187,538	)

201

The Fund’s net income increased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to an increase in the value of the Japanese yen versus the U.S. dollar during the six months ended June 30, 2014.

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	270,398,554		$	137,657,464
NAV end of period	$	98,364,760		$	174,808,019
Percentage change in NAV		(63.6	)%		27.0	%
Shares outstanding beginning of period		9,474,812			1,640,001
Shares outstanding end of period		5,174,812			3,124,812
Percentage change in shares outstanding		(45.4	)%		90.5	%
Shares created		3,875,000			5,270,000
Shares redeemed		8,175,000			3,785,189
Per share NAV beginning of period	$	28.54		$	83.94
Per share NAV end of period	$	19.01		$	55.94
Percentage change in per share NAV		(33.4	)%		(33.4	)%
Percentage change in benchmark		(32.8	)%		(33.6	)%
Benchmark annualized volatility		49.5	%		68.3	%

During the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,474,812 outstanding Shares at December 31, 2013 to 5,174,812 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the six months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,640,001 outstanding Shares at December 31, 2012 to 3,124,812 outstanding Shares at June 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the six months ended June 30, 2014 and 2013, 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 33.4% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 33.4% for the six months ended June 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $36.25 per Share and reached its low for the period on June 30, 2014 at $19.01 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $76.11 per Share and reached its low for the period on May 7, 2013 at $49.08 per Share.

The benchmark’s decline of 32.8% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 33.6% for the six months ended June 30, 2013, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the six months ended June 30, 2014.

202

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
Net investment income (loss)	$	(579,835	)	$	(762,571	)
Management fee		614,049			806,110
Net realized gain (loss)		(25,436,108	)		(44,249,575	)
Change in net unrealized appreciation/depreciation		10,032,087			1,448,578
Net income (loss)	$	(15,983,856	)	$	(43,563,568	)

The Fund’s net income increased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures contracts on the VIX future curve during the six months ended June 30, 2014.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	51,134,323		$	37,302,992
NAV end of period	$	40,535,994		$	72,133,381
Percentage change in NAV		(20.7	)%		93.4	%
Shares outstanding beginning of period		2,650,005			1,075,005
Shares outstanding end of period		2,625,005			2,550,005
Percentage change in shares outstanding		(0.9	)%		137.2	%
Shares created		1,850,000			2,700,000
Shares redeemed		1,875,000			1,225,000
Per share NAV beginning of period	$	19.30		$	34.70
Per share NAV end of period	$	15.44		$	28.29
Percentage change in per share NAV		(20.0	)%		(18.5	)%
Percentage change in benchmark		(19.5	)%		(18.2	)%
Benchmark annualized volatility		22.4	%		26.6	%

During the six months ended June 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,650,005 outstanding Shares at December 31, 2013 to 2,625,005 outstanding Shares at June 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the six months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,075,005 outstanding Shares at December 31, 2012 to 2,550,005 outstanding Shares at June 30, 2013. 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 six months ended June 30, 2014 and 2013, 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 20.0% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 18.5% for the six months ended June 30, 2013, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $21.39 per Share and reached its low for the period on June 30, 2014 at $15.44 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $32.37 per Share and reached its low for the period on May 7, 2013 at $24.07 per Share.

203

The benchmark’s decline of 19.5% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 18.2% for the six months ended June 30, 2013, can be attributed to a greater decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
Net investment income (loss)	$	(207,195	)	$	(224,269	)
Management fee		217,448			238,020
Net realized gain (loss)		(12,062,604	)		(12,745,775	)
Change in net unrealized appreciation/depreciation		1,400,878			7,047,772
Net income (loss)	$	(10,868,921	)	$	(5,922,272	)

The Fund’s net income decreased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, primarily due to a greater decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the six months ended June 30, 2014.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	226,233,584		$	84,716,132
NAV end of period	$	295,261,247		$	215,235,917
Percentage change in NAV		30.5	%		154.1	%
Shares outstanding beginning of period		3,372,389			105,202
Shares outstanding end of period		11,120,099			747,389
Percentage change in shares outstanding		229.7	%		610.4	%
Shares created		14,325,000			3,337,500
Shares redeemed		6,577,290			2,695,313
Per share NAV beginning of period	$	67.08		$	805.27
Per share NAV end of period	$	26.55		$	287.98
Percentage change in per share NAV		(60.4	)%		(64.2	)%
Percentage change in benchmark		(32.8	)%		(33.6	)%
Benchmark annualized volatility		49.3	%		68.3	%

During the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from an increase from 3,372,389 outstanding Shares at December 31, 2013 to 11,120,099 outstanding Shares at June 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the six months ended June 30, 2013, the increase in the Fund’s NAV resulted from an increase from 105,202 outstanding Shares at December 31, 2012 to 747,389 outstanding Shares at June 30, 2013. 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.

204

For the six months ended June 30, 2014 and 2013, 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 60.4% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV decrease of 64.2% for the six months ended June 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $104.52 per Share and reached its low for the period on June 30, 2014 at $26.55 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $652.24 per Share and reached its low for the period on May 7, 2013 at $230.60 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
Net investment income (loss)	$	(2,503,175	)	$	(2,463,204	)
Management fee		1,375,179			1,277,454
Brokerage commission		1,169,928			1,221,816
Net realized gain (loss)		(250,709,223	)		(104,906,019	)
Change in net unrealized appreciation/depreciation		(16,527,391	)		882,973
Net income (loss)	$	(269,739,789	)	$	(106,486,250	)

The Fund’s net income decreased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, due to a decline in the prices of the near-term futures contracts on the VIX futures curve in conjunction with a significant increase in shares outstanding during the six months ended June 30, 2014.

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

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended June 30, 2014			Six Months Ended June 30, 2013
NAV beginning of period	$	141,751,202		$	82,663,633
NAV end of period	$	181,236,514		$	117,395,722
Percentage change in NAV		27.9	%		42.0	%
Shares outstanding beginning of period		2,100,040			2,500,040
Shares outstanding end of period		2,050,040			3,000,040
Percentage change in shares outstanding		(2.4	)%		20.0	%
Shares created		3,950,000			7,700,000
Shares redeemed		4,000,000			7,200,000
Per share NAV beginning of period	$	67.50		$	33.06
Per share NAV end of period	$	88.41		$	39.13
Percentage change in per share NAV		31.0	%		18.4	%
Percentage change in benchmark		(32.8	)%		(33.6	)%
Benchmark annualized volatility		49.5	%		68.3	%

205

During the six months ended June 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 2,100,040 outstanding Shares at December 31, 2013 to 2,050,040 outstanding Shares at June 30, 2014. By comparison, during the six months ended June 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 2,500,040 outstanding Shares at December 31, 2012 to 3,000,040 outstanding Shares at June 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the six months ended June 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 31.0% for the six months ended June 30, 2014, as compared to the Fund’s per Share NAV increase of 18.4% for the six months ended June 30, 2013, was primarily due to a greater appreciation in the value of the assets of the fund during the six months ended June 30, 2014.

During the six months ended June 30, 2014, the Fund’s per Share NAV reached its high for the period on June 30, 2014 at $88.41 per Share and reached its low for the period on February 5, 2014 at $50.78 per Share. By comparison, during the six months ended June 30, 2013, the Fund’s per Share NAV reached its high for the period on April 12, 2013 at $50.45 per Share and reached its low for the period on June 24, 2013 at $35.51 per Share.

The benchmark’s decline of 32.8% for the six months ended June 30, 2014, as compared to the benchmark’s decline of 33.6% for the six months ended June 30, 2013, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX Futures curve during the six months ended June 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2014 and 2013:


	Six Months Ended			Six Months Ended
	June 30, 2014			June 30, 2013

Net investment income (loss)	$	(1,511,150	)	$	(509,619	)
Management fee		990,622			323,063
Brokerage commission		564,757			203,189
Net realized gain (loss)		76,278,010			21,077,200
Change in net unrealized appreciation/depreciation		799,651			749,584
Net income (loss)	$	75,566,511		$	21,317,165

The Fund’s net income increased for the six months ended June 30, 2014, as compared to the six months ended June 30, 2013, due to a decline in the prices of the near-term futures contracts on the VIX Futures curve in conjunction with a significant increase in shares outstanding during the six months ended June 30, 2014.

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

206

Item 3.

Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of June 30, 2014 and 2013, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort Bloomberg Commodity:

As of June 30, 2014 and 2013, 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 June 30, 2014 and 2013, which were sensitive to commodity price risk.


Swap Agreements as of June 30, 2014

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Index	Deutsche Bank AG	Short	$	134.6268	$	(2,595,868	)
Bloomberg Commodity Index	Goldman Sachs International	Short		134.6268		(2,767,667	)
Bloomberg Commodity Index	UBS AG	Short		134.6268		(1,138,280	)


Swap Agreements as of June 30, 2013

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Index	Deutsche Bank AG	Short	$	124.4651	$	(2,097,156	)
Bloomberg Commodity Index	Goldman Sachs International	Short	$	124.4651		(4,702,593	)
Bloomberg Commodity Index	UBS AG	Short	$	124.4651		(1,097,705	)

The June 30, 2014 and 2013 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 Trust’s Annual Report on Form 10-K for the year ended December 31, 2013 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 3, 2014 (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.

207

ProShares UltraShort Bloomberg Crude Oil:

As of June 30, 2014 and 2013, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Short

September 2014

2,920

104.73

1,000

(305,811,600

)


Swap Agreements as of June 30, 2014
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Short		272.2784	$	(116,423,779	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		272.2784		(127,285,152	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A	Short		272.2784		(59,190,848	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		272.2784		(116,599,880	)

Futures Positions as of June 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Short

September 2013

2,108

96.44

1,000

(203,295,520

)


Swap Agreements as of June 30, 2013
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Short	$	234.5052	$	(41,002,905	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short	$	234.5052		(131,067,619	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Short	$	234.5052		(44,714,076	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short	$	234.5052		(82,852,782	)

The June 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2014 and 2013 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.

208

ProShares UltraShort Bloomberg Natural Gas:

As of June 30, 2014 and 2013, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Short

September 2014

2,238

4.44

10,000

(99,367,200

)

Futures Positions as of June 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Short

September 2013

1,120

3.56

10,000

(39,860,800

)

The June 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Gold:

As of June 30, 2014 and 2013, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Short

August 2014

1,322.00

100

(264,400

)


Forward Agreements as of June 30, 2014
Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short	$	1,315.02	$	(78,243,690	)

0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,315 .02		(32,083,858	)

0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,315 .02		(19,330,794	)

0.995 Fine Troy Ounce Gold	UBS AG	Short		1,315 .02		(37,543,821	)

Futures Positions as of June 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Short

August 2013

1,223.70

100

(244,740

)

209


Forward Agreements as of June 30, 2013
Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short	$	1,192.02	$	(191,319,210	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,192.02		(56,856,970	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,192.02		(48,157,608	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,192.02		(44,998,755	)

The June 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2014 and 2013 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Silver:

As of June 30, 2014 and 2013, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Short

September 2014

21.056

5,000

(210,560

)


Forward Agreements as of June 30, 2014
Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short	$	20.8726	$	(55,521,116	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		20.8726		(18,253,089	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		20.8726		(10,895,497	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		20.8726		(19,495,008	)

Futures Positions as of June 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Short

September 2013

19.470

5,000

(194,700

)

210


Forward Agreements as of June 30, 2013
Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short	$	18.8631	$	(121,534,953	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		18.8631		(7,875,344	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		18.8631		(32,595,437	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		18.8631		(5,621,204	)

The June 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2014 and 2013 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.

ProShares Ultra Bloomberg Commodity:

As of June 30, 2014 and 2013, 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 June 30, 2014 and 2013, which were sensitive to commodity price risk.

Swap Agreements as of June 30, 2014

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg Commodity Index

Deutsche Bank AG

Long

134.6268

3,598,575

Bloomberg Commodity Index

Goldman Sachs
International

Long

134.6268

3,955,878

Bloomberg Commodity Index

UBS AG

Long

134.6268

1,276,872


Swap Agreements as of June 30, 2013
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Index	Deutsche Bank AG	Long	$	124.4651	$	1,822,734
Bloomberg Commodity Index	Goldman Sachs International	Long	$	124.4651		3,776,452
Bloomberg Commodity Index	UBS AG	Long	$	124.4651		2,113,290

The June 30, 2014 and 2013 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

211

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 June 30, 2014 and 2013, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Long

September 2014

842

104 .73

1,000

88,182,660

Swap Agreements as of June 30, 2014

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg WTI Crude Oil Subindex

Deutsche Bank AG

Long

272.2784

31,823,119

Bloomberg WTI Crude Oil Subindex

Goldman Sachs
International

Long

272.2784

27,268,424

Bloomberg WTI Crude Oil Subindex

Societe Generale S.A.

Long

272.2784

17,530,561

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

272.2784

31,095,182

Futures Positions as of June 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

WTI Crude Oil (NYMEX)

Long

September 2013

1,553

96.44

1,000

149,771,320


Swap Agreements as of June 30, 2013
Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Long	$	234.5052	$	62,000,092
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Long	$	234.5052		91,806,162
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Long	$	234.5052		36,864,746
Bloomberg WTI Crude Oil Subindex	UBS AG	Long	$	234.5052		96,863,044

The June 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2014 and 2013 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

212

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 June 30, 2014 and 2013, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

September 2014

953

4 .44

10,000

42,313,200

Futures Positions as of June 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

September 2013

2,368

3.56

10,000

84,277,120

The June 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

As of June 30, 2014 and 2013, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

August 2014

1,322 .00

100

264,400

Forward Agreements as of June 30, 2014

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Deutsche Bank AG

Long

1,315 .02

143,994,690

0.995 Fine Troy Ounce Gold

Goldman Sachs
International

Long

1,315 .02

54,205,124

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,315 .02

28,272,930

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,315 .02

44,184,672

213

Futures Positions as of June 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

August 2013

1,223.70

100

244,740

Forward Agreements as of June 30, 2013

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Deutsche Bank AG

Long

1,192.02

193,941,654

0.995 Fine Troy Ounce Gold

Goldman Sachs
International

Long

1,192.02

24,221,846

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,192.02

34,926,186

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,192.02

25,866,834

The June 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2014 and 2013 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of June 30, 2014 and 2013, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

September 2014

21.056

5,000

105,280

Forward Agreements as of June 30, 2014

Reference Index

Counterparty

Long or
Short

Valuation Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Deutsche Bank AG

Long

20.8726

544,294,790

0.999 Fine Troy Ounce Silver

Goldman Sachs
International

Long

20.8726

165,515,543

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

20.8726

105,427,503

0.999 Fine Troy Ounce Silver

UBS AG

Long

20.8726

186,663,662

214

Futures Positions as of June 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

September 2013

19.470

5,000

194,700

Forward Agreements as of June 30, 2013

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Deutsche Bank AG

Long

18.8631

514,698,547

0.999 Fine Troy Ounce Silver

Goldman Sachs
International

Long

18.8631

87,502,148

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

18.8631

159,298,880

0.999 Fine Troy Ounce Silver

UBS AG

Long

18.8631

90,071,303

The June 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2014 and 2013 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

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of June 30, 2014 and 2013, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of June 30, 2014 and 2013, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Euro Fx Currency Futures (CME)

Short

September 2014

1.3698

125,000

(14,211,675

)

Futures Positions as of June 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Euro Fx Currency Futures (CME)

Short

September 2013

1.3023

125,000

(3,744,113

)

215

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

ProShares UltraShort Australian Dollar:

As of June 30, 2014 and 2013, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Australian Dollar Fx Currency Futures (CME)

Short

September 2014

429

93.76

1,000

(40,223,040

)

Futures Positions as of June 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Australian Dollar Fx Currency Futures (CME)

Short

September 2013

512

91.07

1,000

(46,627,840

)

The June 30, 2014 and 2013 short futures notional value is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional value will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Euro:

As of June 30, 2014 and 2013, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to exchange rate price risk.


Foreign Currency Forward Contracts as of June 30, 2014

Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/11/14		28,302,000			1.3694	$	38,755,476
Euro	UBS AG	Long	07/11/14		27,582,600			1.3694		37,770,362
Euro	Goldman Sachs International	Short	07/11/14		(351,137,125	)		1.3694		(480,831,260	)
Euro	UBS AG	Short	07/11/14		(347,608,700	)		1.3694		(475,999,595	)

216

Foreign Currency Forward Contracts as of June 30, 2013


Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/12/13		44,814,400			1.3016	$	58,332,335
Euro	UBS AG	Long	07/12/13		34,423,300			1.3016		44,806,836
Euro	Goldman Sachs International	Short	07/12/13		(422,574,325	)		1.3016		(550,040,774	)
Euro	UBS AG	Short	07/12/13		(439,602,400	)		1.3016		(572,205,246	)

The June 30, 2014 and 2013 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

As of June 30, 2014 and 2013, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2014


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/11/14		4,021,491,200			0.009872	$	39,699,116
Yen	UBS AG	Long	07/11/14		3,928,152,500			0.009872		38,777,700
Yen	Goldman Sachs International	Short	07/11/14		(39,448,933,400	)		0.009872		(389,429,615	)
Yen	UBS AG	Short	07/11/14		(40,348,769,000	)		0.009872		(398,312,558	)

Foreign Currency Forward Contracts as of June 30, 2013


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/12/13		8,350,733,600			0.010082	$	84,194,393
Yen	UBS AG	Long	07/12/13		16,247,876,600			0.010082		163,815,560
Yen	Goldman Sachs International	Short	07/12/13		(62,614,065,100	)		0.010082		(631,292,223	)
Yen	UBS AG	Short	07/12/13		(66,314,387,400	)		0.010082		(668,599,890	)

217

The June 30, 2014 and 2013 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.

ProShares Ultra Australian Dollar:

As of June 30, 2014 and 2013, the ProShares Ultra Australian Dollar Fund was exposed to exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of June 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional
Amount at
Value

Australian Dollar Fx Currency Futures (CME)

Long

September 2014

93.76

1,000

7,219,520

Futures Positions as of June 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional
Amount at
Value

Australian Dollar Fx Currency Futures (CME)

Long

September 2013

91.07

1,000

6,557,040

The June 30, 2014 and 2013 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 have $2.00 of 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 two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

218

ProShares Ultra Euro:

As of June 30, 2014 and 2013, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2014

Reference Currency

Counterparty

Long or
Short

Settlement
Date

Euro

Forward
Rate

Market Value
USD

Euro

Goldman Sachs
International

Long

07/11/14

733,425

1.3694

1,004,319

Euro

UBS AG

Long

07/11/14

3,046,300

1.3694

4,171,465

Euro

Goldman Sachs
International

Short

07/11/14

(30,700

)

1.3694

(42,040

)

Foreign Currency Forward Contracts as of June 30, 2013


Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/12/13		1,560,125			1.3016	$	2,030,725
Euro	UBS AG	Long	07/12/13		4,001,900			1.3016		5,209,044
Euro	Goldman Sachs International	Short	07/12/13		(113,700	)		1.3106		(147,997	)
Euro	UBS AG	Short	07/12/13		(39,200	)		1.3106		(51,024	)

The June 30, 2014 and 2013 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Yen:

As of June 30, 2014 and 2013, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2014


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/11/14		291,065,100			0.009872	$	2,873,319
Yen	UBS AG	Long	07/11/14		317,397,400			0.009872		3,133,265
Yen	Goldman Sachs International	Short	07/11/14		(202,709,800	)		0.009872		(2,001,098	)
Yen	UBS AG	Short	07/11/14		(1,488,900	)		0.009872		(14,698	)

219

Foreign Currency Forward Contracts as of June 30, 2013


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/12/13		335,178,000			0.010082	$	3,379,357
Yen	UBS AG	Long	07/12/13		340,182,000			0.010082		3,429,808
Yen	Goldman Sachs International	Short	07/12/13		(30,988,700	)		0.010082		(312,437	)
Yen	UBS AG	Short	07/12/13		(13,025,800	)		0.010082		(131,330	)

The June 30, 2014 and 2013 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Equity Market Volatility Sensitivity

Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. The following tables provide information about each of the VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes. As of June 30, 2014 and 2013, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of June 30, 2014 and 2013, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2014		4,028	$	12.45		1,000	$	50,148,600
VIX Futures (CBOE)	Long	August 2014		3,624		13.35		1,000		48,380,400

Futures Positions as of June 30, 2013


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2013		5,513	$	18.05		1,000	$	99,509,650
VIX Futures (CBOE)	Long	August 2013		4,009		18.90		1,000		75,770,100

220

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

ProShares VIX Mid-Term Futures ETF

As of June 30, 2014 and 2013, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2014		450	$	15.00		1,000	$	6,750,000
VIX Futures (CBOE)	Long	November 2014		855		15.60		1,000		13,338,000
VIX Futures (CBOE)	Long	December 2014		855		16.00		1,000		13,680,000
VIX Futures (CBOE)	Long	January 2015		405		16.70		1,000		6,763,500

Futures Positions as of June 30, 2013


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2013		667	$	20.35		1,000	$	13,573,450
VIX Futures (CBOE)	Long	November 2013		1,152		20.70		1,000		23,846,400
VIX Futures (CBOE)	Long	December 2013		1,152		21.00		1,000		24,192,000
VIX Futures (CBOE)	Long	January 2014		485		21.70		1,000		10,524,500

The June 30, 2014 and 2013 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 Ultra VIX Short-Term Futures ETF

As of June 30, 2014 and 2013, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these VIX futures contracts as of June 30, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2014		24,158	$	12.45		1,000	$	300,767,100
VIX Futures (CBOE)	Long	August 2014		21,742		13.35		1,000		290,255,700

221

Futures Positions as of June 30, 2013


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2013		13,560	$	18.05		1,000	$	244,758,000
VIX Futures (CBOE)	Long	August 2013		9,859		18.90		1,000		186,335,100

The June 30, 2014 and 2013 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.

ProShares Short VIX Short-Term Futures ETF

As of June 30, 2014 and 2013, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Short	July 2014		7,404	$	12.45		1,000	$	(92,179,800	)
VIX Futures (CBOE)	Short	August 2014		6,657		13.35		1,000		(88,870,950	)

Futures Positions as of June 30, 2013


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Short	July 2013		3,687	$	18.05		1,000	$	(66,550,350	)
VIX Futures (CBOE)	Short	August 2013		2,681		18.90		1,000		(50,670,900	)

The June 30, 2014 and 2013 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.

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

222

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. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and direct exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 of this Quarterly Report on Form 10-Q, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

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).

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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 should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds, 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, 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

224

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).

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 June 30, 2014, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended June 30, 2014, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

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Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

None.

Item 1A. Risk Factors.

There has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form 10-K for the year ended for the year ended December 31, 2013, filed on March 3, 2014, as amended.

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

(a)

None.

(b)

The Trust initially registered Shares on its Registration Statement on Form S-1 (File No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (File No. 333- 156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all registered Shares and re-allocated the remaining amount of the registered Shares among the Funds listed on its Registration Statement on Form S-3 (File No. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on Form S-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on Form S-1 (File No. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on Form S-3 (File No. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on Form S-1 (File No. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on Form S-1 (File No. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (File No. 333-183672) was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-176878). On September 27, 2012, a Registration Statement on Form S-3 (File No. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro. This registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on Form S-1 (File No. 333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on Form S-1 (File No. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statements (File Nos. 333-183672 and 333-178707). Also, on January 30, 2013, a Registration Statement on Form S-3 (File No. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statement (File No. 333-193672) and Form S-3 Registration Statement (File No. 333-183674). On April 24, 2013, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on Form S-3 (File No. 333-187820) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-185289). On May 21, 2013, a Registration Statement on Form S-1 (File 333-188215) was declared effective, which registered additional 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

226

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. Thus, as of July 31, 2014, the Trust continued to have two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-196884); and 2) a Form S-3 Registration Statement (No. 333-196885).

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 be used to collateralize swap agreements or forward contracts or deposited with FCMs as margin in connection with any futures transactions. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.


Title of Securities Registered	Amount Registered As of June 30, 2014		Shares Sold For the Three Months Ended June 30, 2014		Sale Price of Shares Sold For the Three Months Ended June 30, 2014
ProShares UltraShort Bloomberg Commodity*
Common Units of Beneficial Interest	$	500,000,000		—	$	—
ProShares UltraShort Bloomberg Crude Oil*
Common Units of Beneficial Interest	$	3,275,000,000		6,900,000	$	183,543,630
ProShares UltraShort Bloomberg Natural Gas
Common Units of Beneficial Interest	$	570,000,000		300,000	$	11,393,686
ProShares UltraShort Gold
Common Units of Beneficial Interest	$	1,000,000,000		100,000	$	9,313,585
ProShares UltraShort Silver*
Common Units of Beneficial Interest	$	2,700,000,000		150,000	$	13,026,765
ProShares Short Euro
Common Units of Beneficial Interest	$	200,000,000		200,000	$	7,104,479
ProShares UltraShort Australian Dollar
Common Units of Beneficial Interest	$	200,000,000		—	$	—
ProShares UltraShort Euro*
Common Units of Beneficial Interest	$	2,753,506,872		2,050,000	$	35,202,028
ProShares UltraShort Yen
Common Units of Beneficial Interest	$	1,800,000,000		300,000	$	19,763,166
ProShares Ultra Bloomberg Commodity*
Common Units of Beneficial Interest	$	300,000,000		50,000	$	1,134,916
ProShares Ultra Bloomberg Crude Oil*
Common Units of Beneficial Interest	$	4,408,246,073		850,000	$	31,259,828
ProShares Ultra Bloomberg Natural Gas	$	680,000,000		200,000	$	9,318,331
Common Units of Beneficial Interest
ProShares Ultra Gold*
Common Units of Beneficial Interest	$	1,000,000,000		50,000	$	2,340,961
ProShares Ultra Silver*
Common Units of Beneficial Interest	$	3,300,000,000		400,000	$	23,612,553
ProShares Ultra Australian Dollar
Common Units of Beneficial Interest	$	200,000,000		—	$	—
ProShares Ultra Euro*
Common Units of Beneficial Interest	$	500,000,000		—	$	—
ProShares Ultra Yen*
Common Units of Beneficial Interest	$	500,000,000		—	$	—
ProShares VIX Short-Term Futures ETF
Common Units of Beneficial Interest	$	3,250,000,000		2,400,000	$	57,697,492
ProShares VIX Mid-Term Futures ETF*
Common Units of Beneficial Interest	$	1,300,000,000		750,000	$	12,589,940
ProShares Ultra VIX Short-Term Futures ETF
Common Units of Beneficial Interest	$	8,000,000,000		9,550,000	$	427,547,460
ProShares Short VIX Short-Term Futures ETF
Common Units of Beneficial Interest	$	2,750,000,000		1,100,000	$	84,632,526
Total:	$	39,186,752,945		25,350,000	$	929,481,346

On July 30, 2014, a Registration Statement on Form S-1 (File No. 333-196884) and a Registration Statement on Form S-3 (No. 333-196885) were declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil (increasing its total amount registered to $4,608,246,073), ProShares UltraShort Bloomberg Crude Oil (increasing its total amount registered to $4,275,000,000) and ProShares UltraShort Euro (increasing its total amount registered to $2,953,506,872) and partially terminated registered and unissued Shares of ProShares Ultra Gold (decreasing its total amount registered to $700,000,000), ProShares Ultra Silver (decreasing its total amount registered to $3,100,000,000), ProShares UltraShort Silver (decreasing its total amount registered to $2,600,000,000), ProShares VIX Mid-Term Futures ETF (decreasing its total amount registered to $1,100,000,000), ProShares Ultra Bloomberg Commodity (decreasing its total amount registered to $200,000,000), ProShares ProShares UltraShort Bloomberg Commodity (decreasing its total amount registered to $300,000,000), ProShares Ultra Euro (decreasing its total amount registered to $300,000,000) and ProShares Ultra Yen (decreasing its total amount registered to $300,000,000).

227

(c) From April 1, 2014 to June 30, 2014, the number of Shares redeemed and average price per Share for each Fund were as follows:


Fund	Total Number of Shares Redeemed		Average Price Per Share
ProShares UltraShort Bloomberg Commodity
04/01/14 to 04/30/14		—	$	—
05/01/14 to 05/31/14		—	$	—
06/01/14 to 06/30/14		—	$	—
ProShares UltraShort Bloomberg Crude Oil
04/01/14 to 04/30/14		1,600,000	$	28.49
05/01/14 to 05/31/14		850,000	$	28.48
06/01/14 to 06/30/14		900,000	$	25.12
ProShares UltraShort Bloomberg Natural Gas
04/01/14 to 04/30/14		100,000	$	43.21
05/01/14 to 05/31/14		350,000	$	42.21
06/01/14 to 06/30/14		300,000	$	40.02
ProShares UltraShort Gold
04/01/14 to 04/30/14		200,000	$	86.33
05/01/14 to 05/31/14		50,000	$	88.29
06/01/14 to 06/30/14		150,000	$	86.18
ProShares UltraShort Silver
04/01/14 to 04/30/14		150,000	$	84.13
05/01/14 to 05/31/14		150,000	$	88.23
06/01/14 to 06/30/14		—	$	—
ProShares Short Euro
04/01/14 to 04/30/14		—	$	—
05/01/14 to 05/31/14		—	$	—
06/01/14 to 06/30/14		—	$	—
ProShares UltraShort Australian Dollar
04/01/14 to 04/30/14		—	$	—
05/01/14 to 05/31/14		—	$	—
06/01/14 to 06/30/14		—	$	—
ProShares UltraShort Euro
04/01/14 to 04/30/14		—	$	—
05/01/14 to 05/31/14		—	$	—
06/01/14 to 06/30/14		500,000	$	17.17
ProShares UltraShort Yen
04/01/14 to 04/30/14		550,000	$	67.23
05/01/14 to 05/31/14		—	$	—
06/01/14 to 06/30/14		300,000	$	65.79
ProShares Ultra Bloomberg Commodity
04/01/14 to 04/30/14		—	$	—
05/01/14 to 05/31/14		—	$	—
06/01/14 to 06/30/14		—	$	—
ProShares Ultra Bloomberg Crude Oil
04/01/14 to 04/30/14		350,000	$	36.07
05/01/14 to 05/31/14		500,000	$	35.42
06/01/14 to 06/30/14		450,000	$	37.45
ProShares Ultra Bloomberg Natural Gas
04/01/14 to 04/30/14		150,000	$	49.95
05/01/14 to 05/31/14		50,000	$	48.51
06/01/14 to 06/30/14		—	$	—
ProShares Ultra Gold
04/01/14 to 04/30/14		—	$	—
05/01/14 to 05/31/14		150,000	$	44.83
06/01/14 to 06/30/14		—	$	—
ProShares Ultra Silver
04/01/14 to 04/30/14		50,000	$	65.88
05/01/14 to 05/31/14		100,000	$	62.67
06/01/14 to 06/30/14		500,000	$	66.58
ProShares Ultra Australian Dollar
04/01/14 to 04/30/14		—	$	—
05/01/14 to 05/31/14		—	$	—
06/01/14 to 06/30/14		—	$	—
ProShares Ultra Euro
04/01/14 to 04/30/14		—	$	—
05/01/14 to 05/31/14		—	$	—
06/01/14 to 06/30/14		—	$	—
ProShares Ultra Yen
04/01/14 to 04/30/14		—	$	—
05/01/14 to 05/31/14		—	$	—
06/01/14 to 06/30/14		50,000	$	19.51
ProShares VIX Short-Term Futures ETF
04/01/14 to 04/30/14		550,000	$	28.84
05/01/14 to 05/31/14		200,000	$	24.93
06/01/14 to 06/30/14		650,000	$	20.28
ProShares VIX Mid-Term Futures ETF
04/01/14 to 04/30/14		350,000	$	18.33
05/01/14 to 05/31/14		450,000	$	17.54
06/01/14 to 06/30/14		450,000	$	16.19
ProShares Ultra VIX Short-Term Futures ETF
04/01/14 to 04/30/14		2,200,000	$	63.80
05/01/14 to 05/31/14		250,000	$	46.18
06/01/14 to 06/30/14		1,250,000	$	30.98
ProShares Short VIX Short-Term Futures ETF
04/01/14 to 04/30/14		450,000	$	63.32
05/01/14 to 05/31/14		950,000	$	69.39
06/01/14 to 06/30/14		1,100,000	$	87.30
Total:		17,350,000	$	45.74

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Item 3. Defaults Upon Senior Securities.

None.

Item 4. Mine Safety Disclosures.

Not applicable.

Item 5. Other Information.

None.

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(2)

101.SCH		XBRL Taxonomy Extension Schema(2)

101.CAL		XBRL Taxonomy Extension Calculation Linkbase(2)

101.DEF		XBRL Taxonomy Extension Definition Linkbase(2)

101.LAB		XBRL Taxonomy Extension Label Linkbase(2)

101.PRE		XBRL Taxonomy Extension Presentation Linkbase(2)

(1)	Filed herewith.

(2)

In accordance with Rule 402 of Regulation S-T, the information in these exhibits is furnished and deemed not filed or part of a registration statement or prospectus for purposes of Sections 11 and 12 of the Securities Act of 1933, is deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, and otherwise is not subject to liability under these sections.

229

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.


PROSHARES TRUST II

/s/ Todd Johnson
By:		Todd Johnson
Principal Executive Officer

Date:		August 11, 2014

/s/ Edward Karpowicz
By:		Edward Karpowicz
Principal Financial Officer

Date:		August 11, 2014

230