ProShares Ultra Silver (AGQ) 10-Q 2014 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

x Quarterly report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the quarterly period ended March 31, 2014.

OR

¨ Transition report pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 for the transition period from                    to                    .

Commission file number: 001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

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

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip code)

(240) 497-6400

(Registrant’s telephone number, including area code)

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.

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

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).    ¨  Yes    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.		144
Item 3. Quantitative and Qualitative Disclosures About Market Risk.		176
Item 4. Controls and Procedures.		194
Part II. OTHER INFORMATION
Item 1. Legal Proceedings.		195
Item 1A. Risk Factors.		195
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		195
Item 3. Defaults Upon Senior Securities.		199
Item 4. Mine Safety Disclosures.		199
Item 5. Other Information.		199
Item 6. Exhibits.		199

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 DJ-UBS Commodity		2
ProShares UltraShort DJ-UBS Crude Oil		7
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 DJ-UBS Commodity		47
ProShares Ultra DJ-UBS Crude Oil		52
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

1

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	697,377	$	374,245
Short-term U.S. government and agency obligations (Note 3) (cost $2,486,639 and $3,453,851, respectively)		2,486,733		3,453,890
Unrealized appreciation on swap agreements		102,269		—
Total assets		3,286,379		3,828,135
Liabilities and shareholders’ equity
Liabilities
Management fee payable		2,649		3,043
Unrealized depreciation on swap agreements		—		27,665
Total liabilities		2,649		30,708
Shareholders’ equity
Shareholders’ equity		3,283,730		3,797,427
Total liabilities and shareholders’ equity	$	3,286,379	$	3,828,135
Shares outstanding		59,997		59,997
Net asset value per share	$	54.73	$	63.29
Market value per share (Note 2)	$	55.25	$	58.41

See accompanying notes to financial statements.

2

PROSHARES ULTRASHORT DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(76% of shareholders’ equity)
U.S. Treasury Bills:
0.061% due 04/10/14†	$	273,000	$	272,999
0.046% due 06/05/14		291,000		290,989
0.045% due 06/19/14†		1,046,000		1,045,942
0.070% due 08/14/14†		877,000		876,803
Total short-term U.S. government and agency obligations (cost $2,486,639)			$	2,486,733

Swap Agreements^

	Rate Paid (Received)			Termination Date	Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Dow Jones-UBS Commodity Index		0.25	%	04/07/14	$	(2,673,904	)	$	39,020
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index		0.25		04/07/14		(2,839,014	)		50,319
Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index		0.60		04/07/14		(1,071,987	)		12,930
								$	102,269

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

^ The positions and counterparties herein are as of March 31, 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.

3

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	308		$	725
Expenses
Management fee		8,299			7,585
Total expenses		8,299			7,585
Net investment income (loss)		(7,991	)		(6,860	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(635,695	)		308,498
Short-term U.S. government and agency obligations		—			2
Net realized gain (loss)		(635,695	)		308,500
Change in net unrealized appreciation/depreciation on
Swap agreements		129,934			(241,421	)
Short-term U.S. government and agency obligations		55			(187	)
Change in net unrealized appreciation/depreciation		129,989			(241,608	)
Net realized and unrealized gain (loss)		(505,706	)		66,892
Net income (loss)	$	(513,697	)	$	60,032
Net income (loss) per weighted-average share	$	(8.56	)	$	1.00
Weighted-average shares outstanding		59,997			59,997

See accompanying notes to financial statements.

4

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	3,797,427
Net investment income (loss)		(7,991	)
Net realized gain (loss)		(635,695	)
Change in net unrealized appreciation/depreciation		129,989
Net income (loss)		(513,697	)
Shareholders’ equity, at March 31, 2014	$	3,283,730

See accompanying notes to financial statements.

5

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	(513,697	)	$	60,032
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		967,212			(259,095	)
Change in unrealized appreciation/depreciation on investments		(129,989	)		241,608
Increase (Decrease) in management fee payable		(394	)		2,437
Net cash provided by (used in) operating activities		323,132			44,982
Net increase (decrease) in cash		323,132			44,982
Cash, beginning of period		374,245			296,119
Cash, end of period	$	697,377		$	341,101

See accompanying notes to financial statements.

6

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	3,980,858	$	1,872,915
Segregated cash balances with brokers for futures contracts		9,384,320		7,633,395
Short-term U.S. government and agency obligations (Note 3) (cost $288,249,529 and $247,573,678, respectively)		288,258,596		247,584,623
Unrealized appreciation on swap agreements		71,219		—
Receivable from capital shares sold		17,154,728		—
Receivable on open futures contracts		345,825		1,503,943
Total assets		319,195,546		258,594,876
Liabilities and shareholders’ equity
Liabilities
Management fee payable		260,593		201,827
Unrealized depreciation on swap agreements		764,150		2,332,900
Total liabilities		1,024,743		2,534,727
Shareholders’ equity
Shareholders’ equity		318,170,803		256,060,149
Total liabilities and shareholders’ equity	$	319,195,546	$	258,594,876
Shares outstanding		11,169,944		8,069,944
Net asset value per share	$	28.48	$	31.73
Market value per share (Note 2)	$	28.54	$	31.58

See accompanying notes to financial statements.

7

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount			Value
Short-term U.S. government and agency obligations
(91% of shareholders’ equity)			��
U.S. Treasury Bills:
0.075% due 04/03/14	$	4,678,000		$	4,677,997
0.061% due 04/10/14		16,690,000			16,689,916
0.080% due 04/17/14		39,596,000			39,595,472
0.093% due 04/24/14		2,000,000			1,999,962
0.080% due 05/01/14†		6,659,000			6,658,861
0.088% due 05/08/14†		2,477,000			2,476,924
0.034% due 05/22/14		5,973,000			5,972,831
0.076% due 06/05/14		5,200,000			5,199,812
0.043% due 06/12/14		8,778,000			8,777,649
0.054% due 06/19/14		17,571,000			17,570,036
0.046% due 06/26/14†		52,337,000			52,332,624
0.049% due 07/10/14†		78,529,000			78,520,275
0.056% due 08/07/14		18,387,000			18,383,731
0.068% due 08/14/14†		7,835,000			7,833,237
0.071% due 08/21/14†		19,164,000			19,159,843
0.071% due 09/04/14†		2,410,000			2,409,426
Total short-term U.S. government and agency obligations (cost $288,249,529)				$	288,258,596

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil - NYMEX, expires May 2014		2,752	$	279,548,160	$	(6,264,314	)

Swap Agreements^

	Rate Paid (Received)			Termination Date	Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Dow Jones-UBS WTI Crude Oil Sub-Index		0.25	%	04/07/14	$	(99,488,785	)	$	(72,184	)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS WTI Crude Oil Sub-Index		0.25		04/07/14		(108,344,369	)		(543,435	)
Swap agreement with Societe Generale S.A. based on Dow Jones-UBS WTI Crude Oil Sub-Index		0.25		04/07/14		(36,118,314	)		71,219
Swap agreement with UBS AG based on Dow Jones-UBS WTI Crude Oil Sub-Index		0.25		04/07/14		(112,771,776	)		(148,531	)
								$	(692,931	)

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

†† Cash collateral in the amount of $9,384,320 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

^ The positions and counterparties herein are as of March 31, 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.

8

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	36,973		$	25,309
Expenses
Management fee		623,553			339,584
Brokerage commissions		12,693			7,035
Total expenses		636,246			346,619
Net investment income (loss)		(599,273	)		(321,310	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(2,911,251	)		(8,487,969	)
Swap agreements		(9,366,750	)		2,362,811
Short-term U.S. government and agency obligations		5,289			(671	)
Net realized gain (loss)		(12,272,712	)		(6,125,829	)
Change in net unrealized appreciation/depreciation on
Futures contracts		(5,031,541	)		4,261,245
Swap agreements		1,639,969			(5,761,354	)
Short-term U.S. government and agency obligations		(1,878	)		(938	)
Change in net unrealized appreciation/depreciation		(3,393,450	)		(1,501,047	)
Net realized and unrealized gain (loss)		(15,666,162	)		(7,626,876	)
Net income (loss)	$	(16,265,435	)	$	(7,948,186	)
Net income (loss) per weighted-average share	$	(1.87	)	$	(2.10	)
Weighted-average shares outstanding		8,687,722			3,779,388

See accompanying notes to financial statements.

9

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	256,060,149
Addition of 7,700,000 shares		231,318,912
Redemption of 4,600,000 shares		(152,942,823	)
Net addition (redemption) of 3,100,000 shares		78,376,089
Net investment income (loss)		(599,273	)
Net realized gain (loss)		(12,272,712	)
Change in net unrealized appreciation/depreciation		(3,393,450	)
Net income (loss)		(16,265,435	)
Shareholders’ equity, at March 31, 2014	$	318,170,803

See accompanying notes to financial statements.

10

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	(16,265,435	)	$	(7,948,186	)
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		(1,750,925	)		(3,162,226	)
Net sale (purchase) of short-term U.S. government and agency obligations		(40,675,851	)		(58,428,161	)
Change in unrealized appreciation/depreciation on investments		(1,638,091	)		5,762,292
Decrease (Increase) in receivable on futures contracts		1,158,118			—
Increase (Decrease) in management fee payable		58,766			176,430
Increase (Decrease) in payable on futures contracts		—			371,637
Net cash provided by (used in) operating activities		(59,113,418	)		(63,228,214	)
Cash flow from financing activities
Proceeds from addition of shares		214,164,184			91,804,047
Payment on shares redeemed		(152,942,823	)		(28,133,016	)
Net cash provided by (used in) financing activities		61,221,361			63,671,031
Net increase (decrease) in cash		2,107,943			442,817
Cash, beginning of period		1,872,915			658,676
Cash, end of period	$	3,980,858		$	1,101,493

See accompanying notes to financial statements.

11

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	2,998,409	$	564,647
Segregated cash balances with brokers for futures contracts		11,104,500		2,384,800
Short-term U.S. government and agency obligations (Note 3) (cost $56,750,896 and $18,274,602, respectively)		56,753,250		18,274,713
Receivable on open futures contracts		2,752,495		1,520,548
Total assets		73,608,654		22,744,708
Liabilities and shareholders’ equity
Liabilities
Management fee payable		64,110		9,941
Total liabilities		64,110		9,941
Shareholders’ equity
Shareholders’ equity		73,544,544		22,734,767
Total liabilities and shareholders’ equity	$	73,608,654	$	22,744,708
Shares outstanding		1,674,952		324,952
Net asset value per share	$	43.91	$	69.96
Market value per share (Note 2)	$	43.71	$	69.36

See accompanying notes to financial statements.

12

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(77% of shareholders’ equity)
U.S. Treasury Bills:
0.059% due 04/10/14	$	675,000	$	674,997
0.075% due 04/17/14		522,000		521,993
0.081% due 05/01/14		765,000		764,984
0.068% due 05/08/14		2,406,000		2,405,926
0.036% due 05/22/14		1,161,000		1,160,967
0.047% due 06/12/14		11,605,000		11,604,536
0.049% due 06/19/14		12,703,000		12,702,303
0.045% due 06/26/14		1,920,000		1,919,839
0.050% due 07/10/14		1,172,000		1,171,870
0.050% due 08/07/14		2,991,000		2,990,468
0.067% due 08/14/14		13,863,000		13,859,881
0.072% due 08/21/14		6,977,000		6,975,486
Total short-term U.S. government and agency obligations (cost $56,750,896)			$	56,753,250

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, expires May 2014		3,365	$	147,084,150	$	4,479,320

†† Cash collateral in the amount of $11,104,500 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

See accompanying notes to financial statements.

13

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	6,683		$	2,401
Expenses
Management fee		131,806			36,143
Brokerage commissions		30,462			9,824
Total expenses		162,268			45,967
Net investment income (loss)		(155,585	)		(43,566	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(9,215,034	)		(1,773,421	)
Short-term U.S. government and agency obligations		2,052			(104	)
Net realized gain (loss)		(9,212,982	)		(1,773,525	)
Change in net unrealized appreciation/depreciation on
Futures contracts		3,437,020			(3,905,888	)
Short-term U.S. government and agency obligations		2,243			(224	)
Change in net unrealized appreciation/depreciation		3,439,263			(3,906,112	)
Net realized and unrealized gain (loss)		(5,773,719	)		(5,679,637	)
Net income (loss)	$	(5,929,304	)	$	(5,723,203	)
Net income (loss) per weighted-average share (Note 1)	$	(4.67	)	$	(33.69	)
Weighted-average shares outstanding (Note 1)		1,270,507			169,869

See accompanying notes to financial statements.

14

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	22,734,767
Addition of 2,100,000 shares		89,514,809
Redemption of 750,000 shares		(32,775,728	)
Net addition (redemption) of 1,350,000 shares		56,739,081
Net investment income (loss)		(155,585	)
Net realized gain (loss)		(9,212,982	)
Change in net unrealized appreciation/depreciation		3,439,263
Net income (loss)		(5,929,304	)
Shareholders’ equity, at March 31, 2014	$	73,544,544

See accompanying notes to financial statements.

15

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	(5,929,304	)	$	(5,723,203	)
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		(8,719,700	)		(1,092,470	)
Net sale (purchase) of short-term U.S. government and agency obligations		(38,476,294	)		(11,150,709	)
Change in unrealized appreciation/depreciation on investments		(2,243	)		224
Decrease (Increase) in receivable on futures contracts		(1,231,947	)		190,419
Increase (Decrease) in management fee payable		54,169			13,807
Net cash provided by (used in) operating activities		(54,305,319	)		(17,761,932	)
Cash flow from financing activities
Proceeds from addition of shares		89,514,809			19,490,998
Payment on shares redeemed		(32,775,728	)		(1,383,116	)
Net cash provided by (used in) financing activities		56,739,081			18,107,882
Net increase (decrease) in cash		2,433,762			345,950
Cash, beginning of period		564,647			310,060
Cash, end of period	$	2,998,409		$	656,010

See accompanying notes to financial statements.

16

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	212,051	$	197,647
Segregated cash balances with brokers for futures contracts		15,950		15,950
Short-term U.S. government and agency obligations (Note 3) (cost $105,836,793 and $148,987,995, respectively)		105,840,656		148,988,329
Unrealized appreciation on forward agreements		8,531,762		5,633,053
Receivable on open futures contracts		2,100		300
Total assets		114,602,519		154,835,279
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		15,275,004
Management fee payable		85,245		123,819
Total liabilities		85,245		15,398,823
Shareholders’ equity
Shareholders’ equity		114,517,274		139,436,456
Total liabilities and shareholders’ equity	$	114,602,519	$	154,835,279
Shares outstanding		1,296,978		1,346,978
Net asset value per share	$	88.30	$	103.52
Market value per share (Note 2)	$	89.45	$	103.53

See accompanying notes to financial statements.

17

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(92% of shareholders’ equity)
U.S. Treasury Bills:
0.070% due 04/03/14	$	6,643,000	$	6,642,996
0.070% due 05/01/14		1,971,000		1,970,959
0.075% due 05/08/14†		19,357,000		19,356,403
0.054% due 06/05/14†		16,065,000		16,064,420
0.037% due 06/12/14†		8,806,000		8,805,648
0.070% due 06/19/14†		6,960,000		6,959,618
0.058% due 08/07/14†		41,774,000		41,766,574
0.070% due 08/14/14†		4,275,000		4,274,038
Total short-term U.S. government and agency obligations (cost $105,836,793)			$	105,840,656

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires June 2014		2	$	256,760	$	16,860

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		0.30	%	04/07/14	$	(94,700	)	$	(122,330,619	)	$	4,557,728
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		0.40		04/07/14		(32,598	)		(42,109,118	)		1,618,593
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		0.50		04/07/14		(15,600	)		(20,151,612	)		827,157
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		0.40		04/07/14		(34,150	)		(44,113,946	)		1,528,284
											$	8,531,762

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

†† Cash collateral in the amount of $15,950 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

^ The positions and counterparties herein are as of March 31, 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.

18

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	15,195		$	15,757
Expenses
Management fee		265,552			226,458
Brokerage commissions		16			16
Total expenses		265,568			226,474
Net investment income (loss)		(250,373	)		(210,717	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(18,560	)		33,420
Forward agreements		(22,131,127	)		12,850,047
Short-term U.S. government and agency obligations		1,495			(399	)
Net realized gain (loss)		(22,148,192	)		12,883,068
Change in net unrealized appreciation/depreciation on
Futures contracts		2,340			(16,650	)
Forward agreements		2,898,709			(6,976,138	)
Short-term U.S. government and agency obligations		3,529			800
Change in net unrealized appreciation/depreciation		2,904,578			(6,991,988	)
Net realized and unrealized gain (loss)		(19,243,614	)		5,891,080
Net income (loss)	$	(19,493,987	)	$	5,680,363
Net income (loss) per weighted-average share	$	(15.41	)	$	3.85
Weighted-average shares outstanding		1,265,311			1,475,311

See accompanying notes to financial statements.

19

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	139,436,456
Addition of 300,000 shares		27,505,358
Redemption of 350,000 shares		(32,930,553	)
Net addition (redemption) of (50,000) shares		(5,425,195	)
Net investment income (loss)		(250,373	)
Net realized gain (loss)		(22,148,192	)
Change in net unrealized appreciation/depreciation		2,904,578
Net income (loss)		(19,493,987	)
Shareholders’ equity, at March 31, 2014	$	114,517,274

See accompanying notes to financial statements.

20

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	(19,493,987	)	$	5,680,363
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		—			2,970
Net sale (purchase) of short-term U.S. government and agency obligations		43,151,202			(19,580,879	)
Change in unrealized appreciation/depreciation on investments		(2,902,238	)		6,975,338
Decrease (Increase) in receivable on futures contracts		(1,800	)		(2,300	)
Increase (Decrease) in management fee payable		(38,574	)		78,554
Increase (Decrease) in payable on futures contracts		—			(3,980	)
Net cash provided by (used in) operating activities		20,714,603			(6,849,934	)
Cash flow from financing activities
Proceeds from addition of shares		27,505,358			16,775,145
Payment on shares redeemed		(48,205,557	)		(9,881,815	)
Net cash provided by (used in) financing activities		(20,700,199	)		6,893,330
Net increase (decrease) in cash		14,404			43,396
Cash, beginning of period		197,647			175,194
Cash, end of period	$	212,051		$	218,590

See accompanying notes to financial statements.

21

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	269,479	$	461,167
Segregated cash balances with brokers for futures contracts		22,000		22,000
Short-term U.S. government and agency obligations (Note 3) (cost $67,185,974 and $114,822,672, respectively)		67,188,850		114,826,066
Unrealized appreciation on forward agreements		7,742,580		—
Receivable on open futures contracts		—		2,450
Total assets		75,222,909		115,311,683
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		4,135,426		—
Payable on open futures contracts		440		—
Management fee payable		62,762		94,140
Unrealized depreciation on forward agreements		—		2,227,857
Total liabilities		4,198,628		2,321,997
Shareholders’ equity
Shareholders’ equity		71,024,281		112,989,686
Total liabilities and shareholders’ equity	$	75,222,909	$	115,311,683
Shares outstanding		858,489		1,258,489
Net asset value per share	$	82.73	$	89.78
Market value per share (Note 2)	$	84.24	$	90.19

See accompanying notes to financial statements.

22

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(95% of shareholders’ equity)
U.S. Treasury Bills:
0.074% due 04/17/14	$	4,251,000	$	4,250,943
0.081% due 05/01/14†		11,629,000		11,628,758
0.052% due 05/22/14†		4,530,000		4,529,872
0.043% due 06/12/14		4,077,000		4,076,837
0.045% due 06/19/14†		21,402,000		21,400,826
0.058% due 08/07/14†		7,482,000		7,480,670
0.070% due 08/14/14†		7,040,000		7,038,416
0.073% due 08/21/14†		6,784,000		6,782,528
Total short-term U.S. government and agency obligations (cost $67,185,974)			$	67,188,850

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires May 2014		2	$	197,520	$	5,330

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		0.30	%	04/07/14	$	(3,343,000	)	$	(66,767,733	)	$	3,858,673
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		0.40		04/07/14		(1,352,500	)		(27,012,671	)		1,401,484
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		0.50		04/07/14		(820,000	)		(16,377,368	)		920,983
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		0.45		04/07/14		(1,586,000	)		(31,676,226	)		1,561,440
											$	7,742,580

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

†† Cash collateral in the amount of $22,000 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

^ The positions and counterparties herein are as of March 31, 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.

23

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	12,957		$	22,355
Expenses
Management fee		204,160			250,527
Brokerage commissions		8			8
Total expenses		204,168			250,535
Net investment income (loss)		(191,211	)		(228,180	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		5,350			31,940
Forward agreements		(12,619,755	)		29,172,572
Short-term U.S. government and agency obligations		1,541			1,141
Net realized gain (loss)		(12,612,864	)		29,205,653
Change in net unrealized appreciation/depreciation on
Futures contracts		(8,870	)		(12,500	)
Forward agreements		9,970,437			(19,052,397	)
Short-term U.S. government and agency obligations		(518	)		(3,354	)
Change in net unrealized appreciation/depreciation		9,961,049			(19,068,251	)
Net realized and unrealized gain (loss)		(2,651,815	)		10,137,402
Net income (loss)	$	(2,843,026	)	$	9,909,222
Net income (loss) per weighted-average share	$	(2.64	)	$	4.64
Weighted-average shares outstanding		1,078,489			2,136,822

See accompanying notes to financial statements.

24

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	112,989,686
Addition of 550,000 shares		41,391,244
Redemption of 950,000 shares		(80,513,623	)
Net addition (redemption) of (400,000) shares		(39,122,379	)
Net investment income (loss)		(191,211	)
Net realized gain (loss)		(12,612,864	)
Change in net unrealized appreciation/depreciation		9,961,049
Net income (loss)		(2,843,026	)
Shareholders’ equity, at March 31, 2014	$	71,024,281

See accompanying notes to financial statements.

25

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	(2,843,026	)	$	9,909,222
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		—			3,300
Net sale (purchase) of short-term U.S. government and agency obligations		47,636,698			(19,143,896	)
Change in unrealized appreciation/depreciation on investments		(9,969,919	)		19,055,751
Decrease (Increase) in receivable on futures contracts		2,450			(2,890	)
Increase (Decrease) in management fee payable		(31,378	)		89,524
Increase (Decrease) in payable on futures contracts		440			(2,520	)
Net cash provided by (used in) operating activities		34,795,265			9,908,491
Cash flow from financing activities
Proceeds from addition of shares		41,391,244			27,224,574
Payment on shares redeemed		(76,378,197	)		(37,049,487	)
Net cash provided by (used in) financing activities		(34,986,953	)		(9,824,913	)
Net increase (decrease) in cash		(191,688	)		83,578
Cash, beginning of period		461,167			344,378
Cash, end of period	$	269,479		$	427,956

See accompanying notes to financial statements.

26

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	791,550	$	863,980
Segregated cash balances with brokers for futures contracts		101,475		128,700
Short-term U.S. government and agency obligations (Note 3) (cost $6,226,796 and $7,901,405, respectively)		6,227,257		7,902,056
Receivable on open futures contracts		—		9,100
Total assets		7,120,282		8,903,836
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		12,300		—
Management fee payable		5,712		6,994
Total liabilities		18,012		6,994
Shareholders’ equity
Shareholders’ equity		7,102,270		8,896,842
Total liabilities and shareholders’ equity	$	7,120,282	$	8,903,836
Shares outstanding		200,005		250,005
Net asset value per share	$	35.51	$	35.59
Market value per share (Note 2)	$	35.58	$	35.66

See accompanying notes to financial statements.

27

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(88% of shareholders’ equity)
U.S. Treasury Bills:
0.046% due 06/05/14	$	1,485,000	$	1,484,946
0.086% due 06/12/14		1,543,000		1,542,938
0.045% due 06/19/14		411,000		410,978
0.071% due 08/21/14		2,789,000		2,788,395
Total short-term U.S. government and agency obligations (cost $6,226,796)			$	6,227,257

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Euro Fx Currency Futures - CME, expires June 2014		41	$	7,059,175	$	47,900

†† Cash collateral in the amount of $101,475 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

See accompanying notes to financial statements.

28

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	1,046		$	514
Expenses
Management fee		17,406			—
Brokerage commissions		239			116
Offering costs		—			10,110
Limitation by Sponsor		—			(1,307	)
Total expenses		17,645			8,919
Net investment income (loss)		(16,599	)		(8,405	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(66,588	)		(8,000	)
Short-term U.S. government and agency obligations		258			142
Net realized gain (loss)		(66,330	)		(7,858	)
Change in net unrealized appreciation/depreciation on
Futures contracts		81,131			116,769
Short-term U.S. government and agency obligations		(190	)		(160	)
Change in net unrealized appreciation/depreciation		80,941			116,609
Net realized and unrealized gain (loss)		14,611			108,751
Net income (loss)	$	(1,988	)	$	100,346
Net income (loss) per weighted-average share	$	(0.01	)	$	1.00
Weighted-average shares outstanding		207,783			100,005

See accompanying notes to financial statements.

29

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	8,896,842
Redemption of 50,000 shares		(1,792,584	)
Net addition (redemption) of (50,000) shares		(1,792,584	)
Net investment income (loss)		(16,599	)
Net realized gain (loss)		(66,330	)
Change in net unrealized appreciation/depreciation		80,941
Net income (loss)		(1,988	)
Shareholders’ equity, at March 31, 2014	$	7,102,270

See accompanying notes to financial statements.

30

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	(1,988	)	$	100,346
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		27,225			3,850
Net sale (purchase) of short-term U.S. government and agency obligations		1,674,609			37,779
Change in unrealized appreciation/depreciation on investments		190			160
Decrease (Increase) in receivable on futures contracts		9,100			6,612
Decrease (Increase) in Limitation by Sponsor		—			(1,307	)
Change in offering cost		—			10,110
Increase (Decrease) in management fee payable		(1,282	)		—
Increase (Decrease) in payable on futures contracts		12,300			12,300
Net cash provided by (used in) operating activities		1,720,154			169,850
Cash flow from financing activities
Payment on shares redeemed		(1,792,584	)		—
Net cash provided by (used in) financing activities		(1,792,584	)		—
Net increase (decrease) in cash		(72,430	)		169,850
Cash, beginning of period		863,980			302,359
Cash, end of period	$	791,550		$	472,209

See accompanying notes to financial statements.

31

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	1,112,402	$	2,751,320
Segregated cash balances with brokers for futures contracts		934,065		1,141,635
Short-term U.S. government and agency obligations (Note 3) (cost $19,226,421 and $24,197,046, respectively)		19,227,467		24,198,507
Total assets		21,273,934		28,091,462
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		89,099		86,166
Management fee payable		19,101		22,017
Total liabilities		108,200		108,183
Shareholders’ equity
Shareholders’ equity		21,165,734		27,983,279
Total liabilities and shareholders’ equity	$	21,273,934	$	28,091,462
Shares outstanding		500,005		600,005
Net asset value per share	$	42.33	$	46.64
Market value per share (Note 2)	$	42.27	$	46.66

See accompanying notes to financial statements.

32

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(91% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 04/03/14	$	659,000	$	659,000
0.066% due 04/17/14		1,269,000		1,268,983
0.085% due 04/24/14		651,000		650,988
0.076% due 05/01/14		2,167,000		2,166,955
0.088% due 05/08/14		2,324,000		2,323,928
0.067% due 05/22/14		9,779,000		9,778,723
0.045% due 06/12/14		1,399,000		1,398,944
0.045% due 06/19/14		980,000		979,946
Total short-term U.S. government and agency obligations (cost $19,226,421)			$	19,227,467

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Australian Dollar Fx Currency Futures - CME, expires June 2014		459	$	42,342,750	$	(1,221,879	)

†† Cash collateral in the amount of $934,065 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

See accompanying notes to financial statements.

33

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	3,864		$	498
Expenses
Management fee		59,260			—
Brokerage commissions		3,782			398
Offering costs		—			10,110
Limitation by Sponsor		—			(1,341	)
Total expenses		63,042			9,167
Net investment income (loss)		(59,178	)		(8,669	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(78,609	)		112,030
Short-term U.S. government and agency obligations		404			135
Net realized gain (loss)		(78,205	)		112,165
Change in net unrealized appreciation/depreciation on
Futures contracts		(2,139,484	)		(195,160	)
Short-term U.S. government and agency obligations		(415	)		(159	)
Change in net unrealized appreciation/depreciation		(2,139,899	)		(195,319	)
Net realized and unrealized gain (loss)		(2,218,104	)		(83,154	)
Net income (loss)	$	(2,277,282	)	$	(91,823	)
Net income (loss) per weighted-average share	$	(4.13	)	$	(0.92	)
Weighted-average shares outstanding		551,672			100,005

See accompanying notes to financial statements.

34

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	27,983,279
Redemption of 100,000 shares		(4,540,263	)
Net addition (redemption) of (100,000) shares		(4,540,263	)
Net investment income (loss)		(59,178	)
Net realized gain (loss)		(78,205	)
Change in net unrealized appreciation/depreciation		(2,139,899	)
Net income (loss)		(2,277,282	)
Shareholders’ equity, at March 31, 2014	$	21,165,734

See accompanying notes to financial statements.

35

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	(2,277,282	)	$	(91,823	)
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		207,570			27,390
Net sale (purchase) of short-term U.S. government and agency obligations		4,970,625			(27,222	)
Change in unrealized appreciation/depreciation on investments		415			159
Decrease (Increase) in receivable on futures contracts		—			(21,300	)
Decrease (Increase) in Limitation by Sponsor		—			(1,341	)
Change in offering cost		—			10,110
Increase (Decrease) in management fee payable		(2,916	)		—
Increase (Decrease) in payable on futures contracts		2,933			(10,950	)
Net cash provided by (used in) operating activities		2,901,345			(114,977	)
Cash flow from financing activities
Payment on shares redeemed		(4,540,263	)		—
Net cash provided by (used in) financing activities		(4,540,263	)		—
Net increase (decrease) in cash		(1,638,918	)		(114,977	)
Cash, beginning of period		2,751,320			361,157
Cash, end of period	$	1,112,402		$	246,180

See accompanying notes to financial statements.

36

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	206,909	$	218,940
Short-term U.S. government and agency obligations (Note 3) (cost $414,295,727 and $437,821,545, respectively)		414,310,854		437,847,159
Unrealized appreciation on foreign currency forward contracts		—		151,351
Total assets		414,517,763		438,217,450
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		5,971,084
Management fee payable		327,395		345,393
Unrealized depreciation on foreign currency forward contracts		3,724,310		13,899,858
Total liabilities		4,051,705		20,216,335
Shareholders’ equity
Shareholders’ equity		410,466,058		418,001,115
Total liabilities and shareholders’ equity	$	414,517,763	$	438,217,450
Shares outstanding		24,250,014		24,500,014
Net asset value per share	$	16.93	$	17.06
Market value per share (Note 2)	$	16.93	$	17.06

See accompanying notes to financial statements.

37

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(101% of shareholders’ equity)
U.S. Treasury Bills:
0.070% due 04/03/14	$	39,196,000	$	39,195,978
0.081% due 05/01/14		59,285,000		59,283,765
0.083% due 05/08/14†		81,810,000		81,807,478
0.086% due 06/12/14†		8,036,000		8,035,679
0.050% due 07/10/14†		32,975,000		32,971,336
0.066% due 08/07/14		7,838,000		7,836,607
0.061% due 08/14/14		100,034,000		100,011,492
0.071% due 08/21/14†		85,187,000		85,168,519
Total short-term U.S. government and agency obligations (cost $414,295,727)			$	414,310,854

Foreign Currency Forward Contracts^

	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International	04/04/14		18,383,800		$	25,325,422		$	(150,026	)
Euro with UBS AG	04/04/14		26,715,000			36,802,438			(225,321	)
								$	(375,347	)
Contracts to Sell
Euro with Goldman Sachs International	04/04/14		(315,847,325	)	$	(435,109,546	)	$	(1,548,826	)
Euro with UBS AG	04/04/14		(324,757,500	)		(447,384,155	)		(1,800,137	)
								$	(3,348,963	)

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

^ The positions and counterparties herein are as of March 31, 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.

38

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	69,357		$	87,230
Expenses
Management fee		970,756			1,180,343
Total expenses		970,756			1,180,343
Net investment income (loss)		(901,399	)		(1,093,113	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(12,182,041	)		(2,949,680	)
Short-term U.S. government and agency obligations		1,938			(393	)
Net realized gain (loss)		(12,180,103	)		(2,950,073	)
Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		10,024,197			26,813,021
Short-term U.S. government and agency obligations		(10,487	)		(740	)
Change in net unrealized appreciation/depreciation		10,013,710			26,812,281
Net realized and unrealized gain (loss)		(2,166,393	)		23,862,208
Net income (loss)	$	(3,067,792	)	$	22,769,095
Net income (loss) per weighted-average share	$	(0.13	)	$	0.86
Weighted-average shares outstanding		24,156,681			26,607,236

See accompanying notes to financial statements.

39

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	418,001,115
Addition of 200,000 shares		3,360,054
Redemption of 450,000 shares		(7,827,319	)
Net addition (redemption) of (250,000) shares		(4,467,265	)
Net investment income (loss)		(901,399	)
Net realized gain (loss)		(12,180,103	)
Change in net unrealized appreciation/depreciation		10,013,710
Net income (loss)		(3,067,792	)
Shareholders’ equity, at March 31, 2014	$	410,466,058

See accompanying notes to financial statements.

40

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	(3,067,792	)	$	22,769,095
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		23,525,818			46,239,280
Change in unrealized appreciation/depreciation on investments		(10,013,710	)		(26,812,281	)
Increase (Decrease) in management fee payable		(17,998	)		258,112
Net cash provided by (used in) operating activities		10,426,318			42,454,206
Cash flow from financing activities
Proceeds from addition of shares		3,360,054			40,321,956
Payment on shares redeemed		(13,798,403	)		(82,800,121	)
Net cash provided by (used in) financing activities		(10,438,349	)		(42,478,165	)
Net increase (decrease) in cash		(12,031	)		(23,959	)
Cash, beginning of period		218,940			276,372
Cash, end of period	$	206,909		$	252,413

See accompanying notes to financial statements.

41

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	400,052	$	575,108
Short-term U.S. government and agency obligations (Note 3) (cost $400,704,523 and $558,563,134, respectively)		400,736,540		558,597,264
Unrealized appreciation on foreign currency forward contracts		6,121,534		31,317,568
Total assets		407,258,126		590,489,940
Liabilities and shareholders’ equity
Liabilities
Management fee payable		332,390		437,540
Unrealized depreciation on foreign currency forward contracts		1,275,150		1,930,884
Total liabilities		1,607,540		2,368,424
Shareholders’ equity
Shareholders’ equity		405,650,586		588,121,516
Total liabilities and shareholders’ equity	$	407,258,126	$	590,489,940
Shares outstanding		5,999,294		8,299,294
Net asset value per share	$	67.62	$	70.86
Market value per share (Note 2)	$	67.62	$	70.91

See accompanying notes to financial statements.

42

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(99% of shareholders’ equity)
U.S. Treasury Bills:
0.087% due 04/17/14	$	31,984,000	$	31,983,574
0.093% due 05/01/14		13,705,000		13,704,714
0.086% due 05/08/14†		19,927,000		19,926,386
0.052% due 05/22/14		38,964,000		38,962,896
0.076% due 06/05/14		79,259,000		79,256,138
0.086% due 06/12/14†		99,596,000		99,592,016
0.061% due 06/26/14†		85,148,000		85,140,881
0.050% due 07/10/14†		15,472,000		15,470,281
0.057% due 08/07/14†		9,148,000		9,146,374
0.070% due 08/28/14†		7,555,000		7,553,280
Total short-term U.S. government and agency obligations (cost $400,704,523)			$	400,736,540

Foreign Currency Forward Contracts^

	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International	04/04/14		7,547,835,100		$	73,124,249		$	(874,876	)
Yen with UBS AG	04/04/14		3,218,173,300			31,178,013			(400,274	)
								$	(1,275,150	)
Contracts to Sell
Yen with Goldman Sachs International	04/04/14		(48,716,397,300	)	$	(471,969,766	)	$	3,209,960
Yen with UBS AG	04/04/14		(45,710,614,400	)		(442,849,413	)		2,911,574
								$	6,121,534

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

^ The positions and counterparties herein are as of March 31, 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.

43

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	78,224		$	69,492
Expenses
Management fee		1,028,533			1,005,098
Total expenses		1,028,533			1,005,098
Net investment income (loss)		(950,309	)		(935,606	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(102,730	)		96,886,297
Short-term U.S. government and agency obligations		8,346			(662	)
Net realized gain (loss)		(94,384	)		96,885,635
Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(24,540,300	)		(35,381,549	)
Short-term U.S. government and agency obligations		(2,113	)		(3,808	)
Change in net unrealized appreciation/depreciation		(24,542,413	)		(35,385,357	)
Net realized and unrealized gain (loss)		(24,636,797	)		61,500,278
Net income (loss)	$	(25,587,106	)	$	60,564,672
Net income (loss) per weighted-average share	$	(3.93	)	$	8.05
Weighted-average shares outstanding		6,513,738			7,522,627

See accompanying notes to financial statements.

44

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	588,121,516
Addition of 150,000 shares		9,974,148
Redemption of 2,450,000 shares		(166,857,972	)
Net addition (redemption) of (2,300,000) shares		(156,883,824	)
Net investment income (loss)		(950,309	)
Net realized gain (loss)		(94,384	)
Change in net unrealized appreciation/depreciation		(24,542,413	)
Net income (loss)		(25,587,106	)
Shareholders’ equity, at March 31, 2014	$	405,650,586

See accompanying notes to financial statements.

45

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	(25,587,106	)	$	60,564,672
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		157,858,611			(100,878,272	)
Change in unrealized appreciation/depreciation on investments		24,542,413			35,385,357
Increase (Decrease) in management fee payable		(105,150	)		409,085
Net cash provided by (used in) operating activities		156,708,768			(4,519,158	)
Cash flow from financing activities
Proceeds from addition of shares		9,974,148			67,118,406
Payment on shares redeemed		(166,857,972	)		(62,493,620	)
Net cash provided by (used in) financing activities		(156,883,824	)		4,624,786
Net increase (decrease) in cash		(175,056	)		105,628
Cash, beginning of period		575,108			363,826
Cash, end of period	$	400,052		$	469,454

See accompanying notes to financial statements.

46

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	1,022,219	$	85,642
Short-term U.S. government and agency obligations (Note 3) (cost $2,410,744 and $2,816,627, respectively)		2,410,896		2,816,688
Unrealized appreciation on swap agreements		—		15,078
Total assets		3,433,115		2,917,408
Liabilities and shareholders’ equity
Liabilities
Management fee payable		2,683		2,374
Unrealized depreciation on swap agreements		114,128		—
Total liabilities		116,811		2,374
Shareholders’ equity
Shareholders’ equity		3,316,304		2,915,034
Total liabilities and shareholders’ equity	$	3,433,115	$	2,917,408
Shares outstanding		150,014		150,014
Net asset value per share	$	22.11	$	19.43
Market value per share (Note 2)	$	21.51	$	19.13

See accompanying notes to financial statements.

47

PROSHARES ULTRA DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(73% of shareholders’ equity)
U.S. Treasury Bills:
0.081% due 05/01/14†	$	192,000	$	191,996
0.066% due 06/05/14†		1,163,000		1,162,958
0.045% due 06/19/14†		1,056,000		1,055,942
Total short-term U.S. government and agency obligations (cost $2,410,744)			$	2,410,896

Swap Agreements^

	Rate Paid (Received)			Termination Date	Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Dow Jones-UBS Commodity Index		0.25	%	04/07/14	$	2,847,170	$	(49,579	)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index		0.25		04/07/14		2,448,497		(40,052	)
Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index		0.60		04/07/14		1,327,486		(24,497	)
							$	(114,128	)

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

^ The positions and counterparties herein are as of March 31, 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.

48

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	332		$	750
Expenses
Management fee		7,289			12,379
Total expenses		7,289			12,379
Net investment income (loss)		(6,957	)		(11,629	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		537,342			(508,897	)
Short-term U.S. government and agency obligations		—			16
Net realized gain (loss)		537,342			(508,881	)
Change in net unrealized appreciation/depreciation on
Swap agreements		(129,206	)		421,315
Short-term U.S. government and agency obligations		91			(72	)
Change in net unrealized appreciation/depreciation		(129,115	)		421,243
Net realized and unrealized gain (loss)		408,227			(87,638	)
Net income (loss)	$	401,270		$	(99,267	)
Net income (loss) per weighted-average share	$	2.67		$	(0.46	)
Weighted-average shares outstanding		150,014			217,236

See accompanying notes to financial statements.

49

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	2,915,034
Net investment income (loss)		(6,957	)
Net realized gain (loss)		537,342
Change in net unrealized appreciation/depreciation		(129,115	)
Net income (loss)		401,270
Shareholders’ equity, at March 31, 2014	$	3,316,304

See accompanying notes to financial statements.

50

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014		Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	401,270	$	(99,267	)
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		405,883		2,890,227
Change in unrealized appreciation/depreciation on investments		129,115		(421,243	)
Increase (Decrease) in management fee payable		309		2,392
Net cash provided by (used in) operating activities		936,577		2,372,109
Cash flow from financing activities
Payment on shares redeemed		—		(1,275,613	)
Net cash provided by (used in) financing activities		—		(1,275,613	)
Net increase (decrease) in cash		936,577		1,096,496
Cash, beginning of period		85,642		167,546
Cash, end of period	$	1,022,219	$	1,264,042

See accompanying notes to financial statements.

��

51

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	1,682,198	$	689,596
Segregated cash balances with brokers for futures contracts		2,925,780		3,821,895
Short-term U.S. government and agency obligations (Note 3) (cost $112,050,123 and $137,423,179, respectively)		112,053,990		137,435,610
Unrealized appreciation on swap agreements		959,951		1,957,893
Receivable on open futures contracts		121,862		—
Total assets		117,743,781		143,904,994
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		15,537,458		—
Payable on open futures contracts		—		997,210
Management fee payable		88,195		134,355
Total liabilities		15,625,653		1,131,565
Shareholders’ equity
Shareholders’ equity		102,118,128		142,773,429
Total liabilities and shareholders’ equity	$	117,743,781	$	143,904,994
Shares outstanding		2,949,170		4,449,170
Net asset value per share	$	34.63	$	32.09
Market value per share (Note 2)	$	34.56	$	32.22

See accompanying notes to financial statements.

52

PROSHARES ULTRA DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(110% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 04/03/14	$	764,000	$	764,000
0.077% due 04/10/14		6,830,000		6,829,966
0.080% due 04/17/14†		10,491,000		10,490,860
0.085% due 04/24/14		1,277,000		1,276,976
0.082% due 05/01/14†		5,257,000		5,256,890
0.035% due 05/08/14†		11,681,000		11,680,640
0.037% due 05/22/14†		11,090,000		11,089,686
0.076% due 06/05/14		424,000		423,985
0.035% due 06/12/14†		7,934,000		7,933,683
0.056% due 06/19/14†		10,110,000		10,109,445
0.035% due 06/26/14		1,538,000		1,537,871
0.049% due 07/10/14†		15,048,000		15,046,328
0.060% due 08/07/14†		6,913,000		6,911,771
0.067% due 08/21/14†		5,483,000		5,481,810
0.070% due 08/28/14†		17,224,000		17,220,079
Total short-term U.S. government and agency obligations (cost $112,050,123)			$	112,053,990

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		��	Unrealized Appreciation (Depreciation)
Crude Oil - NYMEX, expires May 2014		858	$	87,155,640		$	2,109,314

Swap Agreements^

	Rate Paid (Received)			Termination Date	Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Dow Jones-UBS WTI Crude Oil Sub-Index		0.25	%	04/07/14	$	31,611,457	$	136,953
Swap agreement with Goldman Sachs International based on Dow Jones-UBS WTI Crude Oil Sub-Index		0.25		04/07/14		38,736,489		289,177
Swap agreement with Societe Generale S.A. based on Dow Jones-UBS WTI Crude Oil Sub-Index		0.25		04/07/14		16,715,352		89,308
Swap agreement with UBS AG based on Dow Jones-UBS WTI Crude Oil Sub-Index		0.25		04/07/14		30,001,585		444,513
							$	959,951

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

†† Cash collateral in the amount of $2,925,780 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

^ The positions and counterparties herein are as of March 31, 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.

53

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	21,701		$	63,274
Expenses
Management fee		345,942			840,387
Brokerage commissions		9,151			14,917
Total expenses		355,093			855,304
Net investment income (loss)		(333,392	)		(792,030	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		7,591,428			39,747,184
Swap agreements		13,602,240			26,817,141
Short-term U.S. government and agency obligations		6,387			(1,033	)
Net realized gain (loss)		21,200,055			66,563,292
Change in net unrealized appreciation/depreciation on
Futures contracts		1,482,653			(20,597,894	)
Swap agreements		(997,942	)		(8,140,049	)
Short-term U.S. government and agency obligations		(8,564	)		(11,459	)
Change in net unrealized appreciation/depreciation		476,147			(28,749,402	)
Net realized and unrealized gain (loss)		21,676,202			37,813,890
Net income (loss)	$	21,342,810		$	37,021,860
Net income (loss) per weighted-average share	$	4.56		$	3.15
Weighted-average shares outstanding		4,680,281			11,755,281

See accompanying notes to financial statements.

54

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	142,773,429
Addition of 4,350,000 shares		127,214,584
Redemption of 5,850,000 shares		(189,212,695	)
Net addition (redemption) of (1,500,000) shares		(61,998,111	)
Net investment income (loss)		(333,392	)
Net realized gain (loss)		21,200,055
Change in net unrealized appreciation/depreciation		476,147
Net income (loss)		21,342,810
Shareholders’ equity, at March 31, 2014	$	102,118,128

See accompanying notes to financial statements.

55

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	21,342,810		$	37,021,860
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		896,115			9,447,127
Net sale (purchase) of short-term U.S. government and agency obligations		25,373,056			133,651,080
Change in unrealized appreciation/depreciation on investments		1,006,506			8,151,508
Decrease (Increase) in receivable on futures contracts		(121,862	)		1,044,112
Increase (Decrease) in management fee payable		(46,160	)		97,262
Increase (Decrease) in payable on futures contracts		(997,210	)		—
Net cash provided by (used in) operating activities		47,453,255			189,412,949
Cash flow from financing activities
Proceeds from addition of shares		127,214,584			24,265,179
Payment on shares redeemed		(173,675,237	)		(214,347,828	)
Net cash provided by (used in) financing activities		(46,460,653	)		(190,082,649	)
Net increase (decrease) in cash		992,602			(669,700	)
Cash, beginning of period		689,596			2,198,932
Cash, end of period	$	1,682,198		$	1,529,232

See accompanying notes to financial statements.

56

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	803,776	$	3,102,827
Segregated cash balances with brokers for futures contracts		3,204,300		6,602,200
Short-term U.S. government and agency obligations (Note 3) (cost $18,277,464 and $58,918,095, respectively)		18,277,978		58,921,011
Total assets		22,286,054		68,626,038
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		1,050,517		5,628,532
Management fee payable		23,687		81,727
Total liabilities		1,074,204		5,710,259
Shareholders’ equity
Shareholders’ equity		21,211,850		62,915,779
Total liabilities and shareholders’ equity	$	22,286,054	$	68,626,038
Shares outstanding		469,941		1,619,941
Net asset value per share	$	45.14	$	38.84
Market value per share (Note 2)	$	45.32	$	39.28

See accompanying notes to financial statements.

57

PROSHARES ULTRA DJ-UBS NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(86% of shareholders’ equity)
U.S. Treasury Bills:
0.074% due 04/03/14	$	742,000	$	742,000
0.061% due 04/10/14		4,896,000		4,895,976
0.080% due 04/17/14		43,000		42,999
0.082% due 04/24/14		3,354,000		3,353,936
0.093% due 05/01/14		222,000		221,995
0.035% due 05/08/14		958,000		957,970
0.058% due 05/22/14		2,521,000		2,520,929
0.076% due 06/05/14		259,000		258,991
0.048% due 06/12/14		289,000		288,988
0.049% due 07/10/14		2,226,000		2,225,753
0.057% due 08/07/14		1,361,000		1,360,758
0.073% due 08/14/14		1,408,000		1,407,683
Total short-term U.S. government and agency obligations (cost $18,277,464)			$	18,277,978

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, expires May 2014		971	$	42,442,410	$	(1,851,411	)

†† Cash collateral in the amount of $3,204,300 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

See accompanying notes to financial statements.

58

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	6,273		$	11,677
Expenses
Management fee		105,844			176,613
Brokerage commissions		17,991			32,935
Total expenses		123,835			209,548
Net investment income (loss)		(117,562	)		(197,871	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		16,803,375			5,748,194
Short-term U.S. government and agency obligations		2,707			1,193
Net realized gain (loss)		16,806,082			5,749,387
Change in net unrealized appreciation/depreciation on
Futures contracts		1,805,128			17,861,568
Short-term U.S. government and agency obligations		(2,402	)		1,275
Change in net unrealized appreciation/depreciation		1,802,726			17,862,843
Net realized and unrealized gain (loss)		18,608,808			23,612,230
Net income (loss)	$	18,491,246		$	23,414,359
Net income (loss) per weighted-average share	$	18.61		$	12.31
Weighted-average shares outstanding		993,830			1,902,163

See accompanying notes to financial statements.

59

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	62,915,779
Addition of 200,000 shares		9,133,238
Redemption of 1,350,000 shares		(69,328,413	)
Net addition (redemption) of (1,150,000) shares		(60,195,175	)
Net investment income (loss)		(117,562	)
Net realized gain (loss)		16,806,082
Change in net unrealized appreciation/depreciation		1,802,726
Net income (loss)		18,491,246
Shareholders’ equity, at March 31, 2014	$	21,211,850

See accompanying notes to financial statements.

60

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	18,491,246		$	23,414,359
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		3,397,900			4,378,210
Net sale (purchase) of short-term U.S. government and agency obligations		40,640,631			10,612,320
Change in unrealized appreciation/depreciation on investments		2,402			(1,275	)
Increase (Decrease) in management fee payable		(58,040	)		59,580
Increase (Decrease) in payable on futures contracts		(4,578,015	)		(4,057,094	)
Net cash provided by (used in) operating activities		57,896,124			34,406,100
Cash flow from financing activities
Proceeds from addition of shares		9,133,238			35,932,249
Payment on shares redeemed		(69,328,413	)		(70,895,102	)
Net cash provided by (used in) financing activities		(60,195,175	)		(34,962,853	)
Net increase (decrease) in cash		(2,299,051	)		(556,753	)
Cash, beginning of period		3,102,827			3,385,764
Cash, end of period	$	803,776		$	2,829,011

See accompanying notes to financial statements.

61

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	147,280	$	142,566
Segregated cash balances with brokers for futures contracts		15,950		15,950
Short-term U.S. government and agency obligations (Note 3) (cost $148,333,041 and $140,884,104, respectively)		148,339,252		140,880,950
Total assets		148,502,482		141,039,466
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		2,097,225
Payable on open futures contracts		2,200		300
Management fee payable		120,107		111,562
Unrealized depreciation on forward agreements		12,010,072		6,812,974
Total liabilities		12,132,379		9,022,061
Shareholders’ equity
Shareholders’ equity		136,370,103		132,017,405
Total liabilities and shareholders’ equity	$	148,502,482	$	141,039,466
Shares outstanding		2,900,014		3,200,014
Net asset value per share	$	47.02	$	41.26
Market value per share (Note 2)	$	46.34	$	41.26

See accompanying notes to financial statements.

62

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(109% of shareholders’ equity)
U.S. Treasury Bills:
0.080% due 04/17/14†	$	10,244,000	$	10,243,864
0.070% due 05/22/14†		13,207,000		13,206,626
0.046% due 06/05/14		19,572,000		19,571,293
0.086% due 06/12/14		334,000		333,987
0.045% due 06/19/14†		41,501,000		41,498,723
0.057% due 08/07/14†		44,403,000		44,395,106
0.070% due 08/28/14†		19,094,000		19,089,653
Total short-term U.S. government and agency obligations (cost $148,333,041)			$	148,339,252

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires June 2014		2	$	256,760	$	(16,860	)

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		0.30	%	04/07/14	$	109,900	$	141,965,523	$	(6,314,073	)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		0.45		04/07/14		41,220		53,246,759		(2,340,133	)
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		0.50		04/07/14		21,000		27,127,170		(1,128,141	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		0.40		04/07/14		38,800		50,120,676		(2,227,725	)
									$	(12,010,072	)

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

†† Cash collateral in the amount of $15,950 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

^ The positions and counterparties herein are as of March 31, 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.

63

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	13,828		$	59,078
Expenses
Management fee		331,351			762,612
Brokerage commissions		16			16
Total expenses		331,367			762,628
Net investment income (loss)		(317,539	)		(703,550	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		18,520			(33,500	)
Forward agreements		23,415,100			(50,381,705	)
Short-term U.S. government and agency obligations		(70	)		2,659
Net realized gain (loss)		23,433,550			(50,412,546	)
Change in net unrealized appreciation/depreciation on
Futures contracts		(2,300	)		16,620
Forward agreements		(5,197,098	)		24,874,498
Short-term U.S. government and agency obligations		9,365			(8,586	)
Change in net unrealized appreciation/depreciation		(5,190,033	)		24,882,532
Net realized and unrealized gain (loss)		18,243,517			(25,530,014	)
Net income (loss)	$	17,925,978		$	(26,233,564	)
Net income (loss) per weighted-average share	$	5.98		$	(6.50	)
Weighted-average shares outstanding		2,996,125			4,034,458

See accompanying notes to financial statements.

64

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	132,017,405
Addition of 100,000 shares		4,708,180
Redemption of 400,000 shares		(18,281,460	)
Net addition (redemption) of (300,000) shares		(13,573,280	)
Net investment income (loss)		(317,539	)
Net realized gain (loss)		23,433,550
Change in net unrealized appreciation/depreciation		(5,190,033	)
Net income (loss)		17,925,978
Shareholders’ equity, at March 31, 2014	$	136,370,103

See accompanying notes to financial statements.

65

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	17,925,978		$	(26,233,564	)
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		—			2,970
Net sale (purchase) of short-term U.S. government and agency obligations		(7,448,937	)		43,232,276
Change in unrealized appreciation/depreciation on investments		5,187,733			(24,865,912	)
Decrease (Increase) in receivable on futures contracts		—			3,980
Increase (Decrease) in management fee payable		8,545			210,040
Increase (Decrease) in payable on futures contracts		1,900			2,300
Net cash provided by (used in) operating activities		15,675,219			(7,647,910	)
Cash flow from financing activities
Proceeds from addition of shares		4,708,180			7,641,793
Payment on shares redeemed		(20,378,685	)		—
Net cash provided by (used in) financing activities		(15,670,505	)		7,641,793
Net increase (decrease) in cash		4,714			(6,117	)
Cash, beginning of period		142,566			342,345
Cash, end of period	$	147,280		$	336,228

See accompanying notes to financial statements.

66

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	530,530	$	463,001
Segregated cash balances with brokers for futures contracts		22,000		22,000
Short-term U.S. government and agency obligations (Note 3) (cost $530,685,172 and $467,849,038, respectively)		530,701,182		467,868,976
Receivable from capital shares sold		9,786,524		—
Total assets		541,040,236		468,353,977
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		380		2,450
Management fee payable		416,258		379,128
Unrealized depreciation on forward agreements		58,138,361		2,492,880
Total liabilities		58,554,999		2,874,458
Shareholders’ equity
Shareholders’ equity		482,485,237		465,479,519
Total liabilities and shareholders’ equity	$	541,040,236	$	468,353,977
Shares outstanding		7,396,533		7,350,007
Net asset value per share	$	65.23	$	63.33
Market value per share (Note 2)	$	64.12	$	63.04

See accompanying notes to financial statements.

67

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(110% of shareholders’ equity)
U.S. Treasury Bills:
0.070% due 04/03/14	$	14,766,000	$	14,765,992
0.066% due 04/10/14†		7,392,000		7,391,963
0.080% due 04/17/14†		119,398,000		119,396,408
0.093% due 04/24/14†		2,451,000		2,450,953
0.093% due 05/01/14		2,934,000		2,933,939
0.088% due 05/08/14†		5,528,000		5,527,830
0.033% due 05/22/14†		177,607,000		177,601,968
0.046% due 06/05/14		26,127,000		26,126,057
0.045% due 06/19/14†		89,531,000		89,526,088
0.046% due 07/10/14†		17,973,000		17,971,003
0.067% due 08/07/14†		4,977,000		4,976,115
0.070% due 08/14/14†		11,706,000		11,703,366
0.070% due 08/28/14†		46,560,000		46,549,401
0.071% due 09/04/14†		3,781,000		3,780,099
Total short-term U.S. government and agency obligations (cost $530,685,172)			$	530,701,182

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires May 2014		2	$	197,520	$	(5,330	)

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		0.30	%	04/07/14	$	25,173,000	$	502,765,225	$	(30,257,024	)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		0.45		04/07/14		9,451,800		188,775,130		(11,457,887	)
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		0.50		04/07/14		4,307,000		86,021,127		(5,025,453	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		0.45		04/07/14		9,372,000		187,181,333		(11,397,997	)
									$	(58,138,361	)

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

†† Cash collateral in the amount of $22,000 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

^ The positions and counterparties herein are as of March 31, 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.

68

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	62,602		$	159,260
Expenses
Management fee		1,187,904			1,783,659
Brokerage commissions		8			8
Total expenses		1,187,912			1,783,667
Net investment income (loss)		(1,125,310	)		(1,624,407	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(5,350	)		(32,140	)
Forward agreements		73,960,922			(215,656,408	)
Short-term U.S. government and agency obligations		3,069			14,213
Net realized gain (loss)		73,958,641			(215,674,335	)
Change in net unrealized appreciation/depreciation on
Futures contracts		8,870			12,250
Forward agreements		(55,645,481	)		137,633,988
Short-term U.S. government and agency obligations		(3,928	)		(27,621	)
Change in net unrealized appreciation/depreciation		(55,640,539	)		137,618,617
Net realized and unrealized gain (loss)		18,318,102			(78,055,718	)
Net income (loss)	$	17,192,792		$	(79,680,125	)
Net income (loss) per weighted-average share (Note 1)	$	2.34		$	(17.88	)
Weighted-average shares outstanding (Note 1)		7,332,328			4,456,118

See accompanying notes to financial statements.

69

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	465,479,519
Addition of 787,500 shares (Note 1)		53,059,528
Redemption of 740,974 shares (Note 1)		(53,246,602	)
Net addition (redemption) of 46,526 shares (Note 1)		(187,074	)
Net investment income (loss)		(1,125,310	)
Net realized gain (loss)		73,958,641
Change in net unrealized appreciation/depreciation		(55,640,539	)
Net income (loss)		17,192,792
Shareholders’ equity, at March 31, 2014	$	482,485,237

See accompanying notes to financial statements.

70

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	17,192,792		$	(79,680,125	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		—			3,300
Net sale (purchase) of short-term U.S. government and agency obligations		(62,836,134	)		136,068,407
Change in unrealized appreciation/depreciation on investments		55,649,409			(137,606,367	)
Decrease (Increase) in receivable on futures contracts		—			2,520
Increase (Decrease) in management fee payable		37,130			486,307
Increase (Decrease) in payable on futures contracts		(2,070	)		2,890
Net cash provided by (used in) operating activities		10,041,127			(80,723,068	)
Cash flow from financing activities
Proceeds from addition of shares		43,273,004			87,889,563
Payment on shares redeemed		(53,246,602	)		(7,301,114	)
Net cash provided by (used in) financing activities		(9,973,598	)		80,588,449
Net increase (decrease) in cash		67,529			(134,619	)
Cash, beginning of period		463,001			890,051
Cash, end of period	$	530,530		$	755,432

See accompanying notes to financial statements.

71

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	505,170	$	314,796
Segregated cash balances with brokers for futures contracts		152,625		128,865
Short-term U.S. government and agency obligations (Note 3) (cost $2,775,556 and $2,716,026, respectively)		2,775,892		2,716,439
Receivable on open futures contracts		13,503		10,650
Total assets		3,447,190		3,170,750
Liabilities and shareholders’ equity
Liabilities
Management fee payable		2,654		2,585
Total liabilities		2,654		2,585
Shareholders’ equity
Shareholders’ equity		3,444,536		3,168,165
Total liabilities and shareholders’ equity	$	3,447,190	$	3,170,750
Shares outstanding		100,005		100,005
Net asset value per share	$	34.44	$	31.68
Market value per share (Note 2)	$	34.46	$	31.61

See accompanying notes to financial statements.

72

PROSHARES ULTRA AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(81% of shareholders’ equity)
U.S. Treasury Bills:
0.065% due 04/17/14	$	86,000	$	85,999
0.046% due 06/05/14		242,000		241,991
0.086% due 06/12/14		2,448,000		2,447,902
Total short-term U.S. government and agency obligations (cost $2,775,556)			$	2,775,892

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Australian Dollar Fx Currency Futures - CME, expires June 2014		75	$	6,918,750	$	192,985

†† Cash collateral in the amount of $152,625 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

See accompanying notes to financial statements.

73

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	558		$	646
Expenses
Management fee		7,508			—
Brokerage commissions		380			362
Offering costs		—			10,110
Limitation by Sponsor		—			(334	)
Total expenses		7,888			10,138
Net investment income (loss)		(7,330	)		(9,492	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(27,427	)		(149,275	)
Short-term U.S. government and agency obligations		—			(95	)
Net realized gain (loss)		(27,427	)		(149,370	)
Change in net unrealized appreciation/depreciation on
Futures contracts		311,205			223,960
Short-term U.S. government and agency obligations		(77	)		(160	)
Change in net unrealized appreciation/depreciation		311,128			223,800
Net realized and unrealized gain (loss)		283,701			74,430
Net income (loss)	$	276,371		$	64,938
Net income (loss) per weighted-average share	$	2.76		$	0.65
Weighted-average shares outstanding		100,005			100,005

See accompanying notes to financial statements.

74

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	3,168,165
Net investment income (loss)		(7,330	)
Net realized gain (loss)		(27,427	)
Change in net unrealized appreciation/depreciation		311,128
Net income (loss)		276,371
Shareholders’ equity, at March 31, 2014	$	3,444,536

See accompanying notes to financial statements.

75

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	276,371		$	64,938
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		(23,760	)		24,750
Net sale (purchase) of short-term U.S. government and agency obligations		(59,530	)		(106,168	)
Change in unrealized appreciation/depreciation on investments		77			159
Decrease (Increase) in receivable on futures contracts		(2,853	)		12,000
Decrease (Increase) in Limitation by Sponsor		—			(334	)
Change in offering cost		—			10,110
Increase (Decrease) in management fee payable		69			—
Increase (Decrease) in payable on futures contracts		—			22,982
Net cash provided by (used in) operating activities		190,374			28,437
Net increase (decrease) in cash		190,374			28,437
Cash, beginning of period		314,796			426,634
Cash, end of period	$	505,170		$	455,071

See accompanying notes to financial statements.

76

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	276,678	$	49,723
Short-term U.S. government and agency obligations (Note 3) (cost $2,307,628 and $2,455,715, respectively)		2,307,737		2,455,863
Unrealized appreciation on foreign currency forward contracts		21,019		120,908
Total assets		2,605,434		2,626,494
Liabilities and shareholders’ equity
Liabilities
Management fee payable		2,117		2,721
Unrealized depreciation on foreign currency forward contracts		35		19,946
Total liabilities		2,152		22,667
Shareholders’ equity
Shareholders’ equity		2,603,282		2,603,827
Total liabilities and shareholders’ equity	$	2,605,434	$	2,626,494
Shares outstanding		100,014		100,014
Net asset value per share	$	26.03	$	26.03
Market value per share (Note 2)	$	25.98	$	25.98

See accompanying notes to financial statements.

77

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
U.S. Treasury Bills:
0.061% due 06/05/14†	$	638,000	$	637,977
0.045% due 06/19/14†		467,000		466,974
0.060% due 08/07/14		1,203,000		1,202,786
Total short-term U.S. government and agency obligations (cost $2,307,628)			$	2,307,737

Foreign Currency Forward Contracts^

	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International	04/04/14		788,225		$	1,085,855		$	4,214
Euro with UBS AG	04/04/14		3,071,000			4,230,593			16,581
								$	20,795
Contracts to Sell
Euro with Goldman Sachs International	04/04/14		(51,500	)	$	(70,946	)	$	224
Euro with UBS AG	04/04/14		(27,600	)		(38,021	)		(35	)
								$	189

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

^ The positions and counterparties herein are as of March 31, 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.

78

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	378		$	676
Expenses
Management fee		6,042			11,400
Total expenses		6,042			11,400
Net investment income (loss)		(5,664	)		(10,724	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		85,136			(65,362	)
Short-term U.S. government and agency obligations		—			14
Net realized gain (loss)		85,136			(65,348	)
Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(79,978	)		(221,155	)
Short-term U.S. government and agency obligations		(39	)		(22	)
Change in net unrealized appreciation/depreciation		(80,017	)		(221,177	)
Net realized and unrealized gain (loss)		5,119			(286,525	)
Net income (loss)	$	(545	)	$	(297,249	)
Net income (loss) per weighted-average share	$	(0.01	)	$	(1.49	)
Weighted-average shares outstanding		100,014			200,014

See accompanying notes to financial statements.

79

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	2,603,827
Net investment income (loss)		(5,664	)
Net realized gain (loss)		85,136
Change in net unrealized appreciation/depreciation		(80,017	)
Net income (loss)		(545	)
Shareholders’ equity, at March 31, 2014	$	2,603,282

See accompanying notes to financial statements.

80

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	(545	)	$	(297,249	)
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		148,087			68,002
Change in unrealized appreciation/depreciation on investments		80,017			221,177
Increase (Decrease) in management fee payable		(604	)		3,545
Net cash provided by (used in) operating activities		226,955			(4,525	)
Net increase (decrease) in cash		226,955			(4,525	)
Cash, beginning of period		49,723			240,086
Cash, end of period	$	276,678		$	235,561

See accompanying notes to financial statements.

81

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	467,904	$	28,116
Short-term U.S. government and agency obligations (Note 3) (cost $2,471,639 and $2,928,242, respectively)		2,471,851		2,928,556
Unrealized appreciation on foreign currency forward contracts		1,004		4,052
Total assets		2,940,759		2,960,724
Liabilities and shareholders’ equity
Liabilities
Management fee payable		2,383		2,337
Unrealized depreciation on foreign currency forward contracts		42,233		163,361
Total liabilities		44,616		165,698
Shareholders’ equity
Shareholders’ equity		2,896,143		2,795,026
Total liabilities and shareholders’ equity	$	2,940,759	$	2,960,724
Shares outstanding		150,014		150,014
Net asset value per share	$	19.31	$	18.63
Market value per share (Note 2)	$	19.29	$	18.61

See accompanying notes to financial statements.

82

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(85% of shareholders’ equity)
U.S. Treasury Bills:
0.086% due 06/12/14†	$	1,355,000	$	1,354,946
0.045% due 06/19/14		310,000		309,983
0.045% due 06/26/14		446,000		445,962
0.050% due 07/10/14†		361,000		360,960
Total short-term U.S. government and agency obligations (cost $2,471,639)			$	2,471,851

Foreign Currency Forward Contracts^

	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International	04/04/14		304,953,900		$	2,954,426		$	(20,852	)
Yen with UBS AG	04/04/14		313,415,000			3,036,399			(21,381	)
								$	(42,233	)
Contracts to Sell
Yen with Goldman Sachs International	04/04/14		(13,523,300	)	$	(131,016	)	$	929
Yen with UBS AG	04/04/14		(6,832,900	)		(66,198	)		75
								$	1,004

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

^ The positions and counterparties herein are as of March 31, 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.

83

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	435		$	826
Expenses
Management fee		6,855			10,886
Total expenses		6,855			10,886
Net investment income (loss)		(6,420	)		(10,060	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(10,517	)		(1,217,971	)
Short-term U.S. government and agency obligations		76			42
Net realized gain (loss)		(10,441	)		(1,217,929	)
Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		118,080			423,734
Short-term U.S. government and agency obligations		(102	)		(159	)
Change in net unrealized appreciation/depreciation		117,978			423,575
Net realized and unrealized gain (loss)		107,537			(794,354	)
Net income (loss)	$	101,117		$	(804,414	)
Net income (loss) per weighted-average share	$	0.67		$	(4.30	)
Weighted-average shares outstanding		150,014			187,236

See accompanying notes to financial statements.

84

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	2,795,026
Net investment income (loss)		(6,420	)
Net realized gain (loss)		(10,441	)
Change in net unrealized appreciation/depreciation		117,978
Net income (loss)		101,117
Shareholders’ equity, at March 31, 2014	$	2,896,143

See accompanying notes to financial statements.

85

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	101,117		$	(804,414	)
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		456,603			1,052,825
Change in unrealized appreciation/depreciation on investments		(117,978	)		(423,575	)
Increase (Decrease) in management fee payable		46			3,411
Net cash provided by (used in) operating activities		439,788			(171,753	)
Cash flow from financing activities
Proceeds from addition of shares		—			1,323,474
Payment on shares redeemed		—			(1,180,652	)
Net cash provided by (used in) financing activities		—			142,822
Net increase (decrease) in cash		439,788			(28,931	)
Cash, beginning of period		28,116			138,033
Cash, end of period	$	467,904		$	109,102

See accompanying notes to financial statements.

86

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	1,867,520	$	4,333,752
Segregated cash balances with brokers for futures contracts		24,889,000		64,020,350
Short-term U.S. government and agency obligations (Note 3) (cost $94,147,330 and $207,628,319, respectively)		94,150,810		207,636,383
Receivable on open futures contracts		—		3,179,017
Total assets		120,907,330		279,169,502
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		8,562,195
Payable on open futures contracts		3,088,786		—
Management fee payable		86,075		208,753
Total liabilities		3,174,861		8,770,948
Shareholders’ equity
Shareholders’ equity		117,732,469		270,398,554
Total liabilities and shareholders’ equity	$	120,907,330	$	279,169,502
Shares outstanding		4,174,812		9,474,812
Net asset value per share	$	28.20	$	28.54
Market value per share (Note 2)	$	28.10	$	28.53

See accompanying notes to financial statements.

87

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(80% of shareholders’ equity)
U.S. Treasury Bills:
0.075% due 04/03/14	$	380,000	$	380,000
0.067% due 04/10/14		10,572,000		10,571,947
0.077% due 04/17/14		826,000		825,989
0.082% due 04/24/14		4,895,000		4,894,906
0.068% due 05/08/14		2,126,000		2,125,934
0.046% due 06/05/14		8,612,000		8,611,689
0.045% due 06/12/14		15,734,000		15,733,371
0.035% due 06/26/14		2,539,000		2,538,788
0.048% due 07/10/14		1,424,000		1,423,842
0.055% due 08/07/14		5,843,000		5,841,961
0.069% due 08/14/14		8,826,000		8,824,014
0.067% due 08/21/14		4,099,000		4,098,111
0.066% due 09/04/14		28,287,000		28,280,258
Total short-term U.S. government and agency obligations (cost $94,147,330)			$	94,150,810

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires April 2014		3,998	$	60,569,700	$	(3,342,385	)
VIX Futures - CBOE, expires May 2014		3,632		57,567,200		(1,684,580	)
					$	(5,026,965	)

†† Cash collateral in the amount of $24,889,000 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

See accompanying notes to financial statements.

88

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	23,668		$	24,328
Expenses
Management fee		377,465			351,671
Total expenses		377,465			351,671
Net investment income (loss)		(353,797	)		(327,343	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		15,779,707			(55,408,949	)
Short-term U.S. government and agency obligations		6,606			(1,762	)
Net realized gain (loss)		15,786,313			(55,410,711	)
Change in net unrealized appreciation/depreciation on
Futures contracts		11,625,721			(8,124,641	)
Short-term U.S. government and agency obligations		(4,584	)		(71	)
Change in net unrealized appreciation/depreciation		11,621,137			(8,124,712	)
Net realized and unrealized gain (loss)		27,407,450			(63,535,423	)
Net income (loss)	$	27,053,653		$	(63,862,766	)
Net income (loss) per weighted-average share (Note 1)	$	4.41		$	(23.44	)
Weighted-average shares outstanding (Note 1)		6,135,368			2,724,723

See accompanying notes to financial statements.

89

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	270,398,554
Addition of 1,475,000 shares		42,065,649
Redemption of 6,775,000 shares		(221,785,387	)
Net addition (redemption) of (5,300,000) shares		(179,719,738	)
Net investment income (loss)		(353,797	)
Net realized gain (loss)		15,786,313
Change in net unrealized appreciation/depreciation		11,621,137
Net income (loss)		27,053,653
Shareholders’ equity, at March 31, 2014	$	117,732,469

See accompanying notes to financial statements.

90

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	27,053,653		$	(63,862,766	)
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		39,131,350			(32,971,498	)
Net sale (purchase) of short-term U.S. government and agency obligations		113,480,989			(8,875,959	)
Change in unrealized appreciation/depreciation on investments		4,584			71
Decrease (Increase) in receivable on futures contracts		3,179,017			—
Increase (Decrease) in management fee payable		(122,678	)		142,555
Increase (Decrease) in payable on futures contracts		3,088,786			(29,068,833	)
Net cash provided by (used in) operating activities		185,815,701			(134,636,430	)
Cash flow from financing activities
Proceeds from addition of shares		42,065,649			197,130,250
Payment on shares redeemed		(230,347,582	)		(62,230,720	)
Net cash provided by (used in) financing activities		(188,281,933	)		134,899,530
Net increase (decrease) in cash		(2,466,232	)		263,100
Cash, beginning of period		4,333,752			2,989,958
Cash, end of period	$	1,867,520		$	3,253,058

See accompanying notes to financial statements.

91

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	1,019,417	$	1,906,397
Segregated cash balances with brokers for futures contracts		9,129,600		8,454,390
Short-term U.S. government and agency obligations (Note 3) (cost $48,694,338 and $46,039,268, respectively)		48,695,771		46,040,233
Receivable on open futures contracts		—		100,734
Total assets		58,844,788		56,501,754
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		5,321,983
Payable on open futures contracts		1,009,664		—
Management fee payable		42,307		45,448
Total liabilities		1,051,971		5,367,431
Shareholders’ equity
Shareholders’ equity		57,792,817		51,134,323
Total liabilities and shareholders’ equity	$	58,844,788	$	56,501,754
Shares outstanding		3,125,005		2,650,005
Net asset value per share	$	18.49	$	19.30
Market value per share (Note 2)	$	18.50	$	19.29

See accompanying notes to financial statements.

92

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(84% of shareholders’ equity)
U.S. Treasury Bills:
0.071% due 04/10/14	$	3,040,000	$	3,039,985
0.066% due 04/17/14		164,000		163,998
0.077% due 05/01/14		2,053,000		2,052,957
0.086% due 05/08/14		58,000		57,998
0.045% due 05/22/14		2,282,000		2,281,935
0.045% due 06/12/14		5,198,000		5,197,792
0.037% due 06/26/14		6,316,000		6,315,472
0.050% due 07/10/14		18,548,000		18,545,939
0.057% due 08/07/14		3,780,000		3,779,328
0.069% due 08/14/14		3,328,000		3,327,251
0.067% due 08/21/14		2,464,000		2,463,466
0.071% due 09/04/14		1,470,000		1,469,650
Total short-term U.S. government and agency obligations (cost $48,694,338)			$	48,695,771

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2014		576	$	9,763,200	$	(439,150	)
VIX Futures - CBOE, expires August 2014		1,099		19,067,650		(953,310	)
VIX Futures - CBOE, expires September 2014		1,099		19,507,250		(494,910	)
VIX Futures - CBOE, expires October 2014		524		9,458,200		(119,840	)
					$	(2,007,210	)

†† Cash collateral in the amount of $9,129,600 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

See accompanying notes to financial statements.

93

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	5,328		$	7,320
Expenses
Management fee		115,336			104,816
Total expenses		115,336			104,816
Net investment income (loss)		(110,008	)		(97,496	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(5,397,902	)		(10,260,171	)
Short-term U.S. government and agency obligations		483			486
Net realized gain (loss)		(5,397,419	)		(10,259,685	)
Change in net unrealized appreciation/depreciation on
Futures contracts		2,889,479			(406,019	)
Short-term U.S. government and agency obligations		468			(1,220	)
Change in net unrealized appreciation/depreciation		2,889,947			(407,239	)
Net realized and unrealized gain (loss)		(2,507,472	)		(10,666,924	)
Net income (loss)	$	(2,617,480	)	$	(10,764,420	)
Net income (loss) per weighted-average share	$	(0.91	)	$	(5.95	)
Weighted-average shares outstanding		2,872,505			1,808,616

See accompanying notes to financial statements.

94

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	51,134,323
Addition of 1,100,000 shares		21,263,524
Redemption of 625,000 shares		(11,987,550	)
Net addition (redemption) of 475,000 shares		9,275,974
Net investment income (loss)		(110,008	)
Net realized gain (loss)		(5,397,419	)
Change in net unrealized appreciation/depreciation		2,889,947
Net income (loss)		(2,617,480	)
Shareholders’ equity, at March 31, 2014	$	57,792,817

See accompanying notes to financial statements.

95

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	(2,617,480	)	$	(10,764,420	)
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		(675,210	)		(9,121,501	)
Net sale (purchase) of short-term U.S. government and agency obligations		(2,655,070	)		30,227,208
Change in unrealized appreciation/depreciation on investments		(468	)		1,220
Decrease (Increase) in receivable on futures contracts		100,734			(211,350	)
Increase (Decrease) in management fee payable		(3,141	)		20,663
Increase (Decrease) in payable on futures contracts		1,009,664			(1,890,675	)
Net cash provided by (used in) operating activities		(4,840,971	)		8,261,145
Cash flow from financing activities
Proceeds from addition of shares		21,263,524			51,106,840
Payment on shares redeemed		(17,309,533	)		(60,144,511	)
Net cash provided by (used in) financing activities		3,953,991			(9,037,671	)
Net increase (decrease) in cash		(886,980	)		(776,526	)
Cash, beginning of period		1,906,397			2,063,715
Cash, end of period	$	1,019,417		$	1,287,189

See accompanying notes to financial statements.

96

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	3,547,934	$	2,240,977
Segregated cash balances with brokers for futures contracts		134,046,000		107,101,750
Short-term U.S. government and agency obligations (Note 3) (cost $173,848,340 and $109,530,861, respectively)		173,853,508		109,533,487
Receivable from service provider		925,804		—
Receivable from capital shares sold		30,154,522		10,903,664
Total assets		342,527,768		229,779,878
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		24,525,510		3,356,803
Management fee payable		233,818		189,491
Total liabilities		24,759,328		3,546,294
Shareholders’ equity
Shareholders’ equity		317,768,440		226,233,584
Total liabilities and shareholders’ equity	$	342,527,768	$	229,779,878
Shares outstanding		5,270,099		3,372,389
Net asset value per share	$	60.30	$	67.08
Market value per share (Note 2)	$	59.91	$	67.12

See accompanying notes to financial statements.

97

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(55% of shareholders’ equity)
U.S. Treasury Bills:
0.075% due 04/03/14	$	3,793,000	$	3,792,998
0.068% due 04/10/14		5,109,000		5,108,974
0.087% due 04/17/14		6,764,000		6,763,910
0.091% due 05/08/14		6,000		6,000
0.045% due 06/19/14		5,780,000		5,779,683
0.035% due 06/26/14		11,665,000		11,664,025
0.054% due 08/07/14		7,121,000		7,119,734
0.069% due 08/14/14		2,808,000		2,807,368
0.063% due 09/04/14		130,842,000		130,810,816
Total short-term U.S. government and agency obligations (cost $173,848,340)			$	173,853,508

Futures Contracts Purchased††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires April 2014		21,528	$	326,149,200	$	(21,010,956	)
VIX Futures - CBOE, expires May 2014		19,566		310,121,100		(8,690,871	)
					$	(29,701,827	)

†† Cash collateral in the amount of $134,046,000 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

See accompanying notes to financial statements.

98

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	21,276		$	17,539
Expenses
Management fee		586,132			532,907
Brokerage commissions		519,447			557,337
Total expenses		1,105,579			1,090,244
Net investment income (loss)		(1,084,303	)		(1,072,705	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(3,546,304	)		(118,236,966	)
Swap agreements		—			(4,453,107	)
Short-term U.S. government and agency obligations		(914	)		4,135
Net realized gain (loss)		(3,547,218	)		(122,685,938	)
Change in net unrealized appreciation/depreciation on
Futures contracts		(5,691,916	)		(20,794,183	)
Swap agreements		—			(301,351	)
Short-term U.S. government and agency obligations		2,542			4,565
Change in net unrealized appreciation/depreciation		(5,689,374	)		(21,090,969	)
Net realized and unrealized gain (loss)		(9,236,592	)		(143,776,907	)
Net income (loss)	$	(10,320,895	)	$	(144,849,612	)
Net income (loss) per weighted-average share (Note 1)	$	(2.53	)	$	(250.49	)
Weighted-average shares outstanding (Note 1)		3,714,601			578,258

See accompanying notes to financial statements.

99

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	226,233,584
Addition of 4,775,000 shares (Note 1)		322,232,448
Redemption of 2,877,290 shares (Note 1)		(220,376,697	)
Net addition (redemption) of 1,897,710 shares (Note 1)		101,855,751
Net investment income (loss)		(1,084,303	)
Net realized gain (loss)		(3,547,218	)
Change in net unrealized appreciation/depreciation		(5,689,374	)
Net income (loss)		(10,320,895	)
Shareholders’ equity, at March 31, 2014	$	317,768,440

See accompanying notes to financial statements.

100

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	(10,320,895	)	$	(144,849,612	)
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		(26,944,250	)		(172,363,485	)
Net sale (purchase) of short-term U.S. government and agency obligations		(64,317,479	)		(21,339,348	)
Change in unrealized appreciation/depreciation on investments		(2,542	)		296,786
Increase (Decrease) in management fee payable		44,327			304,837
Increase (Decrease) in payable on futures contracts		21,168,707			(30,704,802	)
Net cash provided by (used in) operating activities		(80,372,132	)		(368,655,624	)
Cash flow from financing activities
Proceeds from addition of shares		302,055,786			626,858,240
Payment on shares redeemed		(220,376,697	)		(257,521,767	)
Net cash provided by (used in) financing activities		81,679,089			369,336,473
Net increase (decrease) in cash		1,306,957			680,849
Cash, beginning of period		2,240,977			1,790,825
Cash, end of period	$	3,547,934		$	2,471,674

See accompanying notes to financial statements.

101

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	5,087,077	$	2,153,370
Segregated cash balances with brokers for futures contracts		44,907,500		33,552,650
Short-term U.S. government and agency obligations (Note 3) (cost $169,484,257 and $105,554,675, respectively)		169,490,113		105,559,022
Receivable on open futures contracts		6,484,331		603,833
Total assets		225,969,021		141,868,875
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		12,370,194		—
Management fee payable		182,261		117,673
Total liabilities		12,552,455		117,673
Shareholders’ equity
Shareholders’ equity		213,416,566		141,751,202
Total liabilities and shareholders’ equity	$	225,969,021	$	141,868,875
Shares outstanding		3,450,040		2,100,040
Net asset value per share	$	61.86	$	67.50
Market value per share (Note 2)	$	61.97	$	67.47

See accompanying notes to financial statements.

102

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

	Principal Amount		Value
Short-term U.S. government and agency obligations
(79% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 04/03/14	$	3,156,000	$	3,155,998
0.068% due 04/10/14		6,065,000		6,064,970
0.070% due 04/17/14		12,309,000		12,308,836
0.084% due 04/24/14		6,658,000		6,657,872
0.081% due 05/01/14		4,968,000		4,967,897
0.047% due 05/08/14		2,760,000		2,759,915
0.059% due 05/22/14		12,906,000		12,905,634
0.043% due 06/12/14		6,104,000		6,103,756
0.049% due 06/19/14		23,815,000		23,813,694
0.046% due 06/26/14		13,164,000		13,162,899
0.050% due 07/10/14		22,266,000		22,263,526
0.053% due 08/07/14		1,477,000		1,476,737
0.068% due 08/14/14		1,688,000		1,687,620
0.069% due 08/21/14		4,573,000		4,572,008
0.070% due 08/28/14		8,909,000		8,906,972
0.061% due 09/04/14		38,691,000		38,681,779
Total short-term U.S. government and agency obligations (cost $169,484,257)			$	169,490,113

Futures Contracts Sold††

	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires April 2014		7,213	$	109,276,950	$	5,042,999
VIX Futures - CBOE, expires May 2014		6,554		103,880,900		3,040,200
					$	8,083,199

†† Cash collateral in the amount of $44,907,500 was pledged to cover margin requirements for open futures contracts as of March 31, 2014.

See accompanying notes to financial statements.

103

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	24,205		$	9,265
Expenses
Management fee		503,918			137,663
Brokerage commissions		291,326			85,021
Total expenses		795,244			222,684
Net investment income (loss)		(771,039	)		(213,419	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		2,731,436			25,204,111
Short-term U.S. government and agency obligations		2,814			76
Net realized gain (loss)		2,734,250			25,204,187
Change in net unrealized appreciation/depreciation on
Futures contracts		(33,756	)		3,775,891
Short-term U.S. government and agency obligations		1,509			(1,662	)
Change in net unrealized appreciation/depreciation		(32,247	)		3,774,229
Net realized and unrealized gain (loss)		2,702,003			28,978,416
Net income (loss)	$	1,930,964		$	28,764,997
Net income (loss) per weighted-average share (Note 1)	$	0.55		$	20.30
Weighted-average shares outstanding (Note 1)		3,491,151			1,416,707

See accompanying notes to financial statements.

104

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	141,751,202
Addition of 2,850,000 shares (Note 1)		162,438,045
Redemption of 1,500,000 shares (Note 1)		(92,703,645	)
Net addition (redemption) of 1,350,000 shares (Note 1)		69,734,400
Net investment income (loss)		(771,039	)
Net realized gain (loss)		2,734,250
Change in net unrealized appreciation/depreciation		(32,247	)
Net income (loss)		1,930,964
Shareholders’ equity, at March 31, 2014	$	213,416,566

See accompanying notes to financial statements.

105

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	1,930,964		$	28,764,997
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		(11,354,850	)		(342,005	)
Net sale (purchase) of short-term U.S. government and agency obligations		(63,929,582	)		7,853,847
Change in unrealized appreciation/depreciation on investments		(1,509	)		1,662
Decrease (Increase) in receivable on futures contracts		(5,880,498	)		5,052,699
Increase (Decrease) in management fee payable		64,588			33,669
Net cash provided by (used in) operating activities		(79,170,887	)		41,364,869
Cash flow from financing activities
Proceeds from addition of shares		162,438,045			129,929,850
Payment on shares redeemed		(80,333,451	)		(171,675,379	)
Net cash provided by (used in) financing activities		82,104,594			(41,745,529	)
Net increase (decrease) in cash		2,933,707			(380,660	)
Cash, beginning of period		2,153,370			2,236,726
Cash, end of period	$	5,087,077		$	1,856,066

See accompanying notes to financial statements.

106

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

	March 31, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	27,626,790	$	23,390,732
Segregated cash balances with brokers for futures contracts		240,855,065		235,046,530
Short-term U.S. government and agency obligations (Note 3) (cost $2,666,448,930 and $2,846,340,077, respectively)		2,666,559,183		2,846,465,825
Unrealized appreciation on swap agreements		1,133,439		1,972,971
Unrealized appreciation on forward agreements		16,274,342		5,633,053
Unrealized appreciation on foreign currency forward contracts		6,143,557		31,593,879
Receivable from service provider		925,804		—
Receivable from capital shares sold		57,095,774		10,903,664
Receivable on open futures contracts		9,720,116		6,930,575
Total assets		3,026,334,070		3,161,937,229
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		32,043,078		37,227,491
Payable on open futures contracts		29,778,896		10,071,461
Management fee payable		2,362,502		2,522,868
Unrealized depreciation on swap agreements		878,278		2,360,565
Unrealized depreciation on forward agreements		70,148,433		11,533,711
Unrealized depreciation on foreign currency forward contracts		5,041,728		16,014,049
Total liabilities		140,252,915		79,730,145
Shareholders’ equity
Shareholders’ equity		2,886,081,155		3,082,207,084
Total liabilities and shareholders’ equity	$	3,026,334,070	$	3,161,937,229
Shares outstanding		76,245,339		79,426,103

See accompanying notes to financial statements.

107

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Investment Income
Interest	$	405,191		$	578,920
Expenses
Management fee		6,890,911			7,770,731
Brokerage commissions		885,519			707,993
Offering costs		—			30,330
Limitation by Sponsor		—			(2,982	)
Total expenses		7,776,430			8,506,072
Net investment income (loss)		(7,371,239	)		(7,927,152	)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		21,662,791			(123,513,512	)
Swap agreements		4,137,137			24,526,446
Forward agreements		62,625,140			(224,015,494	)
Foreign currency forward contracts		(12,210,152	)		92,653,284
Short-term U.S. government and agency obligations		42,481			19,135
Net realized gain (loss)		76,257,397			(230,330,141	)
Change in net unrealized appreciation/depreciation on
Futures contracts		8,735,680			(27,784,632	)
Swap agreements		642,755			(14,022,860	)
Forward agreements		(47,973,433	)		136,479,951
Foreign currency forward contracts		(14,478,001	)		(8,365,949	)
Short-term U.S. government and agency obligations		(15,495	)		(53,962	)
Change in net unrealized appreciation/depreciation		(53,088,494	)		86,252,548
Net realized and unrealized gain (loss)		23,168,903			(144,077,593	)
Net income (loss)	$	15,797,664		$	(152,004,745	)

See accompanying notes to financial statements.

108

PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

Shareholders’ equity, at December 31, 2013	$	3,082,207,084
Addition of 26,637,500 shares (Note 1)		1,145,179,721
Redemption of 29,818,264 shares (Note 1)		(1,357,103,314	)
Net addition (redemption) of (3,180,764) shares		(211,923,593	)
Net investment income (loss)		(7,371,239	)
Net realized gain (loss)		76,257,397
Change in net unrealized appreciation/depreciation		(53,088,494	)
Net income (loss)		15,797,664
Shareholders’ equity, at March 31, 2014	$	2,886,081,155

See accompanying notes to financial statements.

109

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

	Three months ended March 31, 2014			Three months ended March 31, 2013
Cash flow from operating activities
Net income (loss)	$	15,797,664		$	(152,004,745	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(5,808,535	)		(205,159,318	)
Net sale (purchase) of short-term U.S. government and agency obligations		179,891,147			172,143,542
Change in unrealized appreciation/depreciation on investments		61,824,174			(114,037,180	)
Decrease (Increase) in receivable on futures contracts		(2,789,541	)		6,074,502
Decrease (Increase) in Limitation by Sponsor		—			(2,982	)
Change in offering cost		—			224,229
Increase (Decrease) in management fee payable		(160,366	)		2,392,210
Increase (Decrease) in payable on futures contracts		19,707,435			(65,326,745	)
Increase (Decrease) in payable for offering costs		—			(193,900	)
Net cash provided by (used in) operating activities		268,461,978			(355,890,387	)
Cash flow from financing activities
Proceeds from addition of shares		1,098,061,807			1,424,812,564
Payment on shares redeemed		(1,362,287,727	)		(1,068,314,461	)
Net cash provided by (used in) financing activities		(264,225,920	)		356,498,103
Net increase (decrease) in cash		4,236,058			607,716
Cash, beginning of period		23,390,732			19,959,356
Cash, end of period	$	27,626,790		$	20,567,072

See accompanying notes to financial statements.

110

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

March 31, 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 March 31, 2014, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, 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 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 March 31, 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 DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

Groups of Funds are collectively referred to in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds,” “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

Each “Short” Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results (before fees and expenses) that

111

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 the commodity futures index, commodity, currency or exchange rate, equity volatility index or applicable commodity or financial futures contracts. 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 three months ended March 31, 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 DJ-UBS 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 DJ-UBS 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”).

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.

112

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 follows 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 March 31, 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 three months ended March 31, 2014 were as follows. All times are Eastern Standard Time:

	NAV Calculation Time	NAV Calculation Date
UltraShort Silver, Ultra Silver	7:00 A.M.	March 31
UltraShort Gold, Ultra Gold	10:00 A.M.	March 31
UltraShort DJ-UBS Crude Oil, Ultra DJ-UBS Crude Oil	2:30 P.M.	March 31
UltraShort DJ-UBS Natural Gas, Ultra DJ-UBS Natural Gas	2:30 P.M.	March 31
UltraShort DJ-UBS Commodity, Ultra DJ-UBS Commodity	3:00 P.M.	March 31
UltraShort Australian Dollar, Ultra Australian Dollar	4:00 P.M.	March 31
Short Euro, UltraShort Euro, Ultra Euro	4:00 P.M.	March 31
UltraShort Yen, Ultra Yen	4:00 P.M.	March 31
VIX Short-Term Futures ETF, Ultra VIX Short-Term Futures ETF, Short VIX Short-Term Futures ETF	4:15 P.M.	March 31
VIX Mid-Term Futures ETF	4:15 P.M.	March 31

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 three months ended March 31, 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.

113

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 months ended March 31, 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 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.

114

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

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

The following table summarizes the valuation of investments at March 31, 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 DJ-UBS Commodity	$	2,486,733	$	—		$	—		$	—		$	102,269		$	2,589,002
UltraShort DJ-UBS Crude Oil		288,258,596		(6,264,314	)		—			—			(692,931	)		281,301,351
UltraShort DJ-UBS Natural Gas		56,753,250		4,479,320			—			—			—			61,232,570
UltraShort Gold		105,840,656		16,860			8,531,762			—			—			114,389,278
UltraShort Silver		67,188,850		5,330			7,742,580			—			—			74,936,760
Short Euro		6,227,257		47,900			—			—			—			6,275,157
UltraShort Australian Dollar		19,227,467		(1,221,879	)		—			—			—			18,005,588
UltraShort Euro		414,310,854		—			—			(3,724,310	)		—			410,586,544
UltraShort Yen		400,736,540		—			—			4,846,384			—			405,582,924
Ultra DJ-UBS Commodity		2,410,896		—			—			—			(114,128	)		2,296,768
Ultra DJ-UBS Crude Oil		112,053,990		2,109,314			—			—			959,951			115,123,255
Ultra DJ-UBS Natural Gas		18,277,978		(1,851,411	)		—			—			—			16,426,567
Ultra Gold		148,339,252		(16,860	)		(12,010,072	)		—			—			136,312,320
Ultra Silver		530,701,182		(5,330	)		(58,138,361	)		—			—			472,557,491
Ultra Australian Dollar		2,775,892		192,985			—			—			—			2,968,877
Ultra Euro		2,307,737		—			—			20,984			—			2,328,721
Ultra Yen		2,471,851		—			—			(41,229	)		—			2,430,622
VIX Short-Term Futures ETF		94,150,810		(5,026,965	)		—			—			—			89,123,845
VIX Mid-Term Futures ETF		48,695,771		(2,007,210	)		—			—			—			46,688,561
Ultra VIX Short-Term Futures ETF		173,853,508		(29,701,827	)		—			—			—			144,151,681
Short VIX Short-Term Futures ETF		169,490,113		8,083,199			—			—			—			177,573,312
Total Trust	$	2,666,559,183	$	(31,160,888	)	$	(53,874,091	)	$	1,101,829		$	255,161		$	2,582,881,194

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

At March 31, 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.

115

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 DJ-UBS Commodity	$	3,453,890	$	—		$	—		$	—		$	(27,665	)	$	3,426,225
UltraShort DJ-UBS Crude Oil		247,584,623		(1,232,773	)		—			—			(2,332,900	)		244,018,950
UltraShort DJ-UBS 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 DJ-UBS Commodity		2,816,688		—			—			—			15,078			2,831,766
Ultra DJ-UBS Crude Oil		137,435,610		626,661			—			—			1,957,893			140,020,164
Ultra DJ-UBS 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 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.

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.

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.

116

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 months ended March 31, 2014 and 2013, the Sponsor paid, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds.

Federal Income Tax

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

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

NOTE 3 – INVESTMENTS

Short-Term Investments

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

Accounting for Derivative Instruments

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

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

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

Futures Contracts

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

117

Upon entering into a futures contract, each Fund is required to deposit and maintain as collateral at least such initial margin as required by the exchange on which the transaction is effected. The initial margin is segregated as cash balances with brokers for futures contracts, as disclosed in the Statements of Financial Condition, and is restricted as to its use. The Funds that enter into futures contracts maintain collateral at the broker in the form of cash. Pursuant to the futures contract, each Fund generally agrees to receive from or pay to the broker(s) an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

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

Swap Agreements

Certain of the Funds enter into swap agreements for purposes of pursuing their investment objectives or as a substitute for investing directly in (or shorting) an underlying index, currency or commodity, or to create an economic hedge against a position. Swap agreements are two-party contracts that have traditionally been entered into primarily with institutional investors in over-the-counter (“OTC”) markets for a specified period, ranging from a day to more than one year. However, the Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) provides for significant reforms of the OTC derivative markets, including a requirement to execute certain swap 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.

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 benchmark increases and would be required to make payments to the swap counterparties in the event 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 benchmark increases and would be entitled to settlement payments in the event 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

118

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 (commodity price risk) and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, 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 agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 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.

119

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 March 31, 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.

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

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

120

Fair Value of Derivative Instruments

as of March 31, 2014

	Asset Derivatives					Liability Derivatives
Derivatives not accounted for as hedging instruments	Statements of Financial Condition Location	Fund	Unrealized Appreciation			Statements of Financial Condition Location	Fund	Unrealized Depreciation
Commodities Contracts	Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements	ProShares UltraShort DJ-UBS Commodity	$	102,269		Payable on open futures contracts, unrealized depreciation on swap and/or forward agreement	ProShares UltraShort DJ-UBS Crude Oil	$	7,028,464	*
		ProShares UltraShort DJ-UBS Crude Oil		71,219			ProShares Ultra DJ-UBS Commodity		114,128
		ProShares UltraShort DJ-UBS Natural Gas		4,479,320	*		ProShares Ultra DJ-UBS Natural Gas		1,851,411	*
		ProShares UltraShort Gold		8,548,622	*		ProShares Ultra Gold		12,026,932	*
		ProShares UltraShort Silver		7,747,910	*		ProShares Ultra Silver		58,143,691	*
		ProShares Ultra DJ-UBS Crude Oil		3,069,265	*
Foreign Exchange Contracts	Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts	ProShares Short Euro		47,900	*	Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts	ProShares UltraShort Australian Dollar		1,221,879	*
		ProShares UltraShort Yen		6,121,534
		ProShares Ultra Australian Dollar		192,985	*		ProShares UltraShort Euro		3,724,310
							ProShares UltraShort Yen		1,275,150
		ProShares Ultra Euro		21,019			ProShares Ultra Euro		35
		ProShares Ultra Yen		1,004			ProShares Ultra Yen		42,233
VIX Futures Contracts	Receivables on open futures contracts	ProShares Short VIX Short-Term Futures ETF		8,083,199	*	Payable on open futures contracts	ProShares VIX Short-Term Futures ETF		5,026,965	*
							ProShares VIX Mid-Term Futures ETF		2,007,210	*
							ProShares Ultra VIX Short-Term Futures ETF		29,701,827	*
		Total Trust	$	38,486,246	*		Total Trust	$	122,164,235	*

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

121

Fair Value of Derivative Instruments

as of December 31, 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 DJ-UBS Natural Gas	$	1,042,300	*	Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements	ProShares UltraShort DJ-UBS Commodity	$	27,665
		ProShares UltraShort Gold		5,647,573	*		ProShares UltraShort DJ-UBS Crude Oil		3,565,673	*
		ProShares UltraShort Silver		14,200	*		ProShares UltraShort Silver		2,227,857	*
		ProShares Ultra DJ-UBS Commodity		15,078			ProShares Ultra DJ-UBS Natural Gas		3,656,539	*
		ProShares Ultra DJ-UBS 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.

122

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended March 31, 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 DJ-UBS Commodity	$	(635,695	)	$	129,934
		ProShares UltraShort DJ-UBS Crude Oil		(12,278,001	)		(3,391,572	)
		ProShares UltraShort DJ-UBS Natural Gas		(9,215,034	)		3,437,020
		ProShares UltraShort Gold		(22,149,687	)		2,901,049
		ProShares UltraShort Silver		(12,614,405	)		9,961,567
		ProShares Ultra DJ-UBS Commodity		537,342			(129,206	)
		ProShares Ultra DJ-UBS Crude Oil		21,193,668			484,711
		ProShares Ultra DJ-UBS Natural Gas		16,803,375			1,805,128
		ProShares Ultra Gold		23,433,620			(5,199,398	)
		ProShares Ultra Silver		73,955,572			(55,636,611	)
Foreign Exchange Contracts	Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts	ProShares Short Euro		(66,588	)		81,131
		ProShares UltraShort Australian Dollar		(78,609	)		(2,139,484	)
		ProShares UltraShort Euro		(12,182,041	)		10,024,197
		ProShares UltraShort Yen		(102,730	)		(24,540,300	)
		ProShares Ultra Australian Dollar		(27,427	)		311,205
		ProShares Ultra Euro		85,136			(79,978	)
		ProShares Ultra Yen		(10,517	)		118,080
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		15,779,707			11,625,721
		ProShares VIX Mid-Term Futures ETF		(5,397,902	)		2,889,479
		ProShares Ultra VIX Short-Term Futures ETF		(3,546,304	)		(5,691,916	)
		ProShares Short VIX Short-Term Futures ETF		2,731,436			(33,756	)
		Total Trust	$	76,214,916		$	(53,072,999	)

123

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended March 31, 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 DJ-UBS Commodity	$	308,498		$	(241,421	)
		ProShares UltraShort DJ-UBS Crude Oil		(6,125,158	)		(1,500,109	)
		ProShares UltraShort DJ-UBS Natural Gas		(1,773,421	)		(3,905,888	)
		ProShares UltraShort Gold		12,883,467			(6,992,788	)
		ProShares UltraShort Silver		29,204,512			(19,064,897	)
		ProShares Ultra DJ-UBS Commodity		(508,897	)		421,315
		ProShares Ultra DJ-UBS Crude Oil		66,564,325			(28,737,943	)
		ProShares Ultra DJ-UBS Natural Gas		5,748,194			17,861,568
		ProShares Ultra Gold		(50,415,205	)		24,891,118
		ProShares Ultra Silver		(215,688,548	)		137,646,238
Foreign Exchange 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 Short Euro		(8,000	)		116,769
		ProShares UltraShort Australian Dollar		112,030			(195,160	)
		ProShares UltraShort Euro		(2,949,680	)		26,813,021
		ProShares UltraShort Yen		96,886,297			(35,381,549	)
		ProShares Ultra Australian Dollar		(149,275	)		223,960
		ProShares Ultra Euro		(65,362	)		(221,155	)
		ProShares Ultra Yen		(1,217,971	)		423,734
VIX Futures 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 VIX Short-Term Futures ETF		(55,408,949	)		(8,124,641	)
		ProShares VIX Mid-Term Futures ETF		(10,260,171	)		(406,019	)
		ProShares Ultra VIX Short-Term Futures ETF		(122,690,073	)		(21,095,534	)
		ProShares Short VIX Short-Term Futures ETF		25,204,111			3,775,891
		Total Trust	$	(230,349,276	)	$	86,306,510

124

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 March 31, 2014 and December 31, 2013:

Fair Values of Derivative Instruments as of March 31, 2014
	Assets						Liabilities
	Gross						Gross
	Amounts of						Amounts of
	Recognized				Net Amounts of		Recognized		Gross		Net Amounts of
	Assets		Gross Amounts		Assets		Liabilities		Amounts		Liabilities
	presented in		Offset in the		presented in		presented in		Offset in the		presented in
	the Statement		Statement of		the Statement		the Statement		Statement of		the Statement
	of Financial		Financial		of Financial		of Financial		Financial		of Financial
	Conditions		Conditions		Conditions		Conditions		Conditions		Conditions
ProShares UltraShort DJ-UBS Commodity
Swap agreements	$	102,269	$	—	$	102,269	$	—	$	—	$	—
ProShares UltraShort DJ-UBS Crude Oil
Futures contracts*		345,825		—		345,825		—		—		—
Swap agreements		71,219		—		71,219		764,150		—		764,150
ProShares UltraShort DJ-UBS Natural Gas
Futures contracts*		2,752,495		—		2,752,495		—		—		—
ProShares UltraShort Gold
Forward agreements		8,531,762		—		8,531,762		—		—		—
Futures contracts*		2,100		—		2,100		—		—		—
ProShares UltraShort Silver
Forward agreements		7,742,580		—		7,742,580		—		—		—
Futures contracts*		—		—		—		440		—		440
ProShares Short Euro
Futures contracts*		—		—		—		12,300		—		12,300
ProShares UltraShort Australian Dollar
Futures contracts*		—		—		—		89,099		—		89,099
ProShares UltraShort Euro
Foreign currency forward contracts		—		—		—		3,724,310		—		3,724,310
ProShares UltraShort Yen
Foreign currency forward contracts		6,121,534		—		6,121,534		1,275,150		—		1,275,150
ProShares Ultra DJ-UBS Commodity
Swap agreements		—		—		—		114,128		—		114,128
ProShares Ultra DJ-UBS Crude Oil
Futures contracts*		121,862		—		121,862		—		—		—
Swap agreements		959,951		—		959,951		—		—		—
ProShares Ultra DJ-UBS Natural Gas
Futures contracts*		—		—		—		1,050,517		—		1,050,517
ProShares Ultra Gold
Forward agreements		—		—		—		12,010,072		—		12,010,072
Futures contracts*		—		—		—		2,200		—		2,200
ProShares Ultra Silver
Forward agreements		—		—		—		58,138,361		—		58,138,361
Futures contracts*		—		—		—		380		—		380
ProShares Ultra Australian Dollar
Futures contracts*		13,503		—		13,503		—		—		—
ProShares Ultra Euro
Foreign currency forward contracts		21,019		—		21,019		35		—		35
ProShares Ultra Yen
Foreign currency forward contracts		1,004		—		1,004		42,233		—		42,233
ProShares VIX Short-Term Futures ETF
Futures contracts*		—		—		—		3,088,786		—		3,088,786
ProShares VIX Mid-Term Futures ETF
Futures contracts*		—		—		—		1,009,664		—		1,009,664
ProShares Ultra VIX Short-Term Futures ETF
Futures contracts*		—		—		—		24,525,510		—		24,525,510
ProShares Short VIX Short-Term Futures ETF
Futures contracts*		6,484,331		—		6,484,331		—		—		—

* 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.

125

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the deriviative-related investments at March 31, 2014. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the 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 DJ-UBS Commodity
Deutsche Bank AG	$	39,020		$	—		$	—		$	39,020
Goldman Sachs International		50,319			—			—			50,319
UBS AG		12,930			—			—			12,930
ProShares UltraShort DJ-UBS Crude Oil
Deutsche Bank AG		(72,184	)		72,184			—			—
Goldman Sachs & Co.		345,825			—			—			345,825
Goldman Sachs International		(543,435	)		543,435			—			—
Societe Generale S.A.		71,219			(71,219	)		—			—
UBS AG		(148,531	)		148,531			—			—
ProShares UltraShort DJ-UBS Natural Gas
Goldman Sachs & Co.		2,752,495			—			—			2,752,495
ProShares UltraShort Gold
Deutsche Bank AG		4,557,728			—			(4,200,000	)		357,728
Goldman Sachs & Co.		2,100			—			—			2,100
Goldman Sachs International		1,618,593			(1,508,282	)		—			110,311
Societe Generale S.A.		827,157			(827,157	)		—			—
UBS AG		1,528,284			(1,442,325	)		—			85,959
ProShares UltraShort Silver
Deutsche Bank AG		3,858,673			—			(3,858,673	)		—
Goldman Sachs & Co.		(440	)		—			440			—
Goldman Sachs International		1,401,484			(1,401,484	)		—			—
Societe Generale S.A.		920,983			(920,983	)		—			—

126

UBS AG	1,561,440		(1,561,440	)	—	—
ProShares Short Euro
RBC Capital Markets	(12,300	)	—		12,300	—
ProShares UltraShort Australian Dollar
RBC Capital Markets	(89,099	)	—		89,099	—
ProShares UltraShort Euro
Goldman Sachs International	(1,698,852	)	1,698,852		—	—
UBS AG	(2,025,458	)	2,025,458		—	—
ProShares UltraShort Yen
Goldman Sachs International	3,209,960		(739,761	)	—	2,470,199
Goldman Sachs International	(874,876	)	874,876		—	—
UBS AG	2,911,574		(915,232	)	—	1,996,342
UBS AG	(400,274	)	400,274		—	—
ProShares Ultra DJ-UBS Commodity
Deutsche Bank AG	(49,579	)	49,579		—	—
Goldman Sachs International	(40,052	)	40,052		—	—
UBS AG	(24,497	)	24,497		—	—
ProShares Ultra DJ-UBS Crude Oil
Deutsche Bank AG	136,953		—		—	136,953
Goldman Sachs & Co.	121,862		—		—	121,862
Goldman Sachs International	289,177		(289,177	)	—	—
Societe Generale S.A.	89,308		(89,308	)	—	—
UBS AG	444,513		(342,234	)	—	102,279
ProShares Ultra DJ-UBS Natural Gas
Goldman Sachs & Co.	(1,050,517	)	—		1,050,517	—
ProShares Ultra Gold
Deutsche Bank AG	(6,314,073	)	6,314,073		—	—
Goldman Sachs & Co.	(2,200	)	—		2,200	—
Goldman Sachs International	(2,340,133	)	2,340,133		—	—
Societe Generale S.A.	(1,128,141	)	1,128,141		—	—
UBS AG	(2,227,725	)	2,227,725		—	—
ProShares Ultra Silver
Deutsche Bank AG	(30,257,024	)	30,257,024		—	—
Goldman Sachs & Co.	(380	)	—		380	—
Goldman Sachs International	(11,457,887	)	11,457,887		—	—
Societe Generale S.A.	(5,025,453	)	5,025,453		—	—
UBS AG	(11,397,997	)	11,397,997		—	—
ProShares Ultra Australian Dollar
RBC Capital Markets	13,503		—		—	13,503
ProShares Ultra Euro
Goldman Sachs International	4,438		—		—	4,438
UBS AG	16,581		—		—	16,581
UBS AG	(35	)	35		—	—
ProShares Ultra Yen
Goldman Sachs International	929		—		—	929
Goldman Sachs International	(20,852	)	20,852		—	—
UBS AG	75		—		—	75
UBS AG	(21,381	)	21,381		—	—
ProShares VIX Short-Term Futures ETF
RBC Capital Markets	(3,088,786	)	—		3,088,786	—
ProShares VIX Mid-Term Futures ETF
RBC Capital Markets	(1,009,664	)	—		1,009,664	—
ProShares Ultra VIX Short-Term Futures ETF
RBC Capital Markets	(24,525,510	)	—		24,525,510	—
ProShares Short VIX Short-Term Futures ETF
RBC Capital Markets	6,484,331		—		—	6,484,331

127

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 DJ-UBS Commodity
Swap agreements	$	—	$	—	$	—	$	27,665		—	$	27,665
ProShares UltraShort DJ-UBS Crude Oil
Futures contracts*		1,503,943		—		1,503,943		—		—		—
Swap agreements		—		—		—		2,332,900		—		2,332,900
ProShares UltraShort DJ-UBS 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 DJ-UBS Commodity
Swap agreements		15,078		—		15,078		—		—		—
ProShares Ultra DJ-UBS Crude Oil
Futures contracts*		—		—		—		997,210		—		997,210
Swap agreements		1,957,893		—		1,957,893		—		—		—
ProShares Ultra DJ-UBS 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.

128

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the deriviative-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 DJ-UBS Commodity
Deutsche Bank AG	$	(11,710	)	$	11,710		$	—		$	—
Goldman Sachs International		(12,945	)		12,945			—			—
UBS AG		(3,010	)		3,010			—			—
ProShares UltraShort DJ-UBS 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 DJ-UBS 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

129

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 DJ-UBS Commodity
Deutsche Bank AG	6,454		—		—		6,454
Goldman Sachs International	4,974		—		—		4,974
UBS AG	3,650		—		—		3,650
ProShares Ultra DJ-UBS 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 DJ-UBS 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

130

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. The 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 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 months ended March 31, 2014 and 2013, the Sponsor paid and is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds. 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.

131

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 DJ-UBS Natural Gas Fund, Ultra DJ-UBS 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.

132

Transaction fees for the three months ended March 31, 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 March 31, 2014
UltraShort DJ-UBS Commodity	$	—
UltraShort DJ-UBS Crude Oil		84,579
UltraShort DJ-UBS Natural Gas		12,693
UltraShort Gold		13,380
UltraShort Silver		26,753
Short Euro		—
UltraShort Australian Dollar		—
UltraShort Euro		—
UltraShort Yen		—
Ultra DJ-UBS Commodity		—
Ultra DJ-UBS Crude Oil		69,573
Ultra DJ-UBS Natural Gas		7,640
Ultra Gold		5,009
Ultra Silver		23,470
Ultra Australian Dollar		—
Ultra Euro		—
Ultra Yen		—
VIX Short-Term Futures ETF		—
VIX Mid-Term Futures ETF		—
Ultra VIX Short-Term Futures ETF		133,954
Short VIX Short-Term Futures ETF		31,300
Total Trust	$	408,351

133

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended March 31, 2014:

For the Three Months Ended March 31, 2014 (unaudited)

Per Share Operating Performance	UltraShort DJ-UBS Commodity			UltraShort DJ-UBS Crude Oil			UltraShort DJ-UBS 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)		(0.1332	)		(0.0690	)		(0.1225	)		(0.1979	)		(0.1773	)		(0.0799	)		(0.1073	)
Net realized and unrealized gain (loss)		(8.4288	)		(3.1766	)		(25.9326	)		(15.0246	)		(6.8730	)		0.0037			(4.2001	)
Change in net asset value from operations		(8.5620	)		(3.2456	)		(26.0551	)		(15.2225	)		(7.0503	)		(0.0762	)		(4.3074	)
Net asset value, at March 31, 2014	$	54.7316		$	28.4845		$	43.9084		$	88.2955		$	82.7317		$	35.5105		$	42.3310
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 March 31, 2014†	$	55.25		$	28.54		$	43.71		$	89.45		$	84.24		$	35.58		$	42.27
Total Return, at net asset value^		(13.5	)%		(10.2	)%		(37.2	)%		(14.7	)%		(7.9	)%		(0.2	)%		(9.2	)%
Total Return, at market value^		(5.4	)%		(9.6	)%		(37.0	)%		(13.6	)%		(6.6	)%		(0.2	)%		(9.4	)%
Ratios to Average Net Assets**
Expense ratio		(0.95	)%		(0.97	)%		(1.17	)%		(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	)%		(0.91	)%		(1.12	)%		(0.89	)%		(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 March 31, 2014.

** Percentages are annualized.

134

For the Three Months Ended March 31, 2014 (unaudited)

Per Share Operating Performance	UltraShort Euro			UltraShort Yen			Ultra DJ-UBS Commodity			Ultra DJ-UBS Crude Oil			Ultra DJ-UBS 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)		(0.0373	)		(0.1459	)		(0.0464	)		(0.0712	)		(0.1183	)		(0.1060	)		(0.1535	)
Net realized and unrealized gain (loss)		(0.0976	)		(3.1017	)		2.7213			2.6074			6.4173			5.8746			2.0543
Change in net asset value from operations		(0.1349	)		(3.2476	)		2.6749			2.5362			6.2990			5.7686			1.9008
Net asset value, at March 31, 2014	$	16.9264		$	67.6164		$	22.1066		$	34.6261		$	45.1373		$	47.0239		$	65.2313
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 March 31, 2014†	$	16.93		$	67.62		$	21.51		$	34.56		$	45.32		$	46.34		$	64.12
Total Return, at net asset value^		(0.8	)%		(4.6	)%		13.8	%		7.9	%		16.2	%		14.0	%		3.0	%
Total Return, at market value^		(0.8	)%		(4.6	)%		12.4	%		7.3	%		15.4	%		12.3	%		1.7	%
Ratios to Average Net Assets**
Expense ratio		(0.95	)%		(0.95	)%		(0.95	)%		(0.98	)%		(1.11	)%		(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)		(0.88	)%		(0.88	)%		(0.91	)%		(0.92	)%		(1.06	)%		(0.91	)%		(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 March 31, 2014.

** Percentages are annualized.

135

For the Three Months Ended March 31, 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)		(0.0733	)		(0.0566	)		(0.0428	)		(0.0577	)		(0.0383	)		(0.2919	)		(0.2209	)
Net realized and unrealized gain (loss)#		2.8368			0.0512			0.7168			(0.2803	)		(0.7639	)		(6.4957	)		(5.4192	)
Change in net asset value from operations		2.7635			(0.0054	)		0.6740			(0.3380	)		(0.8022	)		(6.7876	)		(5.6401	)
Net asset value, at March 31, 2014	$	34.4436		$	26.0292		$	19.3058		$	28.2007		$	18.4937		$	60.2965		$	61.8592
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 March 31, 2014†	$	34.46		$	25.98		$	19.29		$	28.10		$	18.50		$	59.91		$	61.97
Total Return, at net asset value^		8.7	%		0.0	%***		3.6	%		(1.2	)%		(4.2	)%		(10.1	)%		(8.4	)%
Total Return, at market value^		9.0	%		0.0	%***		3.7	%		(1.5	)%		(4.1	)%		(10.7	)%		(8.2	)%
Ratios to Average Net Assets**
Expense ratio		(1.00	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(1.79	)%		(1.50	)%
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	)%		(1.76	)%		(1.45	)%

# 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 March 31, 2014.

** Percentages are annualized.

*** Amount represents less than 0.01%.

136

Selected data for a Share outstanding throughout the three months ended March 31, 2013:

For the Three Months Ended March 31, 2013 (unaudited)

Per Share Operating Performance	UltraShort DJ-UBS Commodity			UltraShort DJ-UBS Crude Oil			UltraShort DJ- UBS 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)		(0.1143	)		(0.0850	)		(0.2565	)		(0.1428	)		(0.1068	)		(0.0840	)		(0.0867	)
Net realized and unrealized gain (loss)		1.1149			(3.7437	)		(30.0196	)		4.1421			2.7733			1.0874			(0.8315	)
Change in net asset value from operations		1.0006			(3.8287	)		(30.2761	)		3.9993			2.6665			1.0034			(0.9182	)
Net asset value, at March 31, 2013	$	55.1027		$	36.4792		$	71.8641		$	67.8681		$	54.0616		$	38.6319		$	36.8899
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 March 31, 2013†	$	51.14		$	36.62		$	72.24		$	68.01		$	55.02		$	38.65		$	36.41
Total Return, at net asset value^		1 .8	%		(9.5	)%		(29.6	)%		6.3	%		5.2	%		2.7	%		(2.4	)%
Total Return, at market value^		(1.0	)%		(9.4	)%		(28.9	)%		8.6	%		9.9	%		2.7	%		(3.5	)%
Ratios to Average Net Assets**
Expense ratio		(0.95	)%		(0.97	)%		(1.21	)%		(0.95	)%		(0.95	)%		(0.96	)%		(0.99	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.86	)%		(0.90	)%		(1.15	)%		(0.88	)%		(0.87	)%		(0.91	)%		(0.94	)%

* 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 March 31, 2013.

** Percentages are annualized.

137

For the Three Months Ended March 31, 2013 (unaudited)

Per Share Operating Performance	UltraShort Euro			UltraShort Yen			Ultra DJ-UBS Commodity			Ultra DJ-UBS Crude Oil			Ultra DJ-UBS 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)		(0.0411	)		(0.1244	)		(0.0535	)		(0.0674	)		(0.1040	)		(0.1744	)		(0.3644	)
Net realized and unrealized gain (loss)		1.0374			8.3770			(0.7240	)		2.3426			11.3070			(6.4032	)		(17.6120	)
Change in net asset value from operations		0.9963			8.2526			(0.7775	)		2.2752			11.2030			(6.5776	)		(17.9764	)
Net asset value, at March 31, 2013	$	20.0135		$	59.0103		$	23.6100		$	31.6693		$	50.2520		$	77.1858		$	153.9142
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 March 31, 2013†	$	20.00		$	59.00		$	23.92		$	31.56		$	49.95		$	77.01		$	151.00
Total Return, at net asset value^		5.2	%		16.3	%		(3.2	)%		7.7	%		28.7	%		(7.9	)%		(10.5	)%
Total Return, at market value^		5.2	%		16.2	%		0.0	%***		7.6	%		27.3	%		(9.8	)%		(14.4	)%
Ratios to Average Net Assets**
Expense ratio		(0.95	)%		(0.95	)%		(0.95	)%		(0.97	)%		(1.13	)%		(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)		(0.88	)%		(0.88	)%		(0.89	)%		(0.90	)%		(1.06	)%		(0.88	)%		(0.87	)%

* 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 March 31, 2013.

** Percentages are annualized.

*** Amount represents less than 0.01%.

138

For the Three Months Ended March 31, 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)		(0.0949	)		(0.0536	)		(0.0537	)		(0.1201	)		(0.0539	)		(1.8551	)		(0.1506	)
Net realized and unrealized gain (loss)		0.7443			(1.4326	)		(4.3565	)		(29.6940	)		(8.2105	)		(500.3708	)		13.1843
Change in net asset value from operations		0.6494			(1.4862	)		(4.4102	)		(29.8141	)		(8.2644	)		(502.2259	)		13.0337
Net asset value, at March 31, 2013	$	42.1480		$	22.8637		$	23.7738		$	54.1233		$	26.4359		$	303.0453		$	46.0986
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 March 31, 2013†	$	42.55		$	22.92		$	23.69		$	54.50		$	26.43		$	307.60		$	45.54
Total Return, at net asset value^		1.6	%		(6.1	)%		(15.6	)%		(35.5	)%		(23.8	)%		(62.4	)%		39.4	%
Total Return, at market value^		2.7	%		(5.8	)%		(16.2	)%		(35.9	)%		(22.8	)%		(63.2	)%		39.2	%
Ratios to Average Net Assets**
Expense ratio		(0.99	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(1.94	)%		(1.54	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.92	)%		(0.89	)%		(0.88	)%		(0.79	)%		(0.79	)%		(1.91	)%		(1.47	)%

* 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 March 31, 2013.

** Percentages are annualized.

139

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; and (10) accounting standards.

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

140

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.

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.

141

Each counterparty and/or any of its affiliates may be an Authorized Participant or shareholder of a Fund.

The counterparty risk for cleared derivative transactions is generally lower than for uncleared OTC derivatives since generally a clearing organization becomes substituted for each counterparty to a cleared derivative contract and, in effect, guarantees the parties’ performance under the contract as each party to a trade looks only to the clearing house for performance of financial obligations. However, there can be no assurance that the clearing house, or its members, will satisfy its obligations to the Fund.

Leverage Risk

The Leveraged Funds may utilize leverage in seeking to achieve their respective investment objectives and will lose more money in market environments adverse to their respective daily investment objectives than funds that do not employ leverage. The use of leveraged and/or inverse leveraged positions could result in the total loss of an investor’s investment.

For example, because the UltraShort Funds and Ultra Funds include a two times the inverse (-2x), or a two times (2x) multiplier, a single-day movement in the relevant benchmark approaching 50% at any point in the day (for an UltraShort Fund or an UltraShort Fund) could result in the total loss or almost total loss of an investor’s investment if that movement is contrary to the investment objective of the Fund in which an investor has invested, even if such Fund’s benchmark subsequently moves in an opposite direction, eliminating all or a portion of the movement. This would be the case with downward single-day or intraday movements in the underlying benchmark of an Ultra Fund or upward single-day or intraday movements in the benchmark of an UltraShort Fund, even if the underlying benchmark maintains a level greater than zero at all times.

Liquidity Risk

Financial Instruments cannot always be liquidated at the desired price. It is difficult to execute a trade at a specific price when there is a relatively small volume of buy and sell orders in a market. A market disruption can also make it difficult to liquidate a position or find a swap or forward contract counterparty at a reasonable cost. Market illiquidity may cause losses for the Funds. The large size of the positions which the Funds may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Instruments related to one benchmark, which in many cases is highly concentrated.

“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in August 2013 may specify an October 2013 expiration. For an Ultra Fund and a Matching VIX Fund, as that contract nears expiration, it may be replaced by selling the October 2013 contract and purchasing the contract expiring in December 2013. 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 2013 contract would take place at a price that is higher than the price at which the December 2013 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

142

maintain the constant weighted average maturity of the S&P 500 VIX Short-Term Futures Index or the S&P 500 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. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

143

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

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

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2014, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, 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.

The Trust registered shares for thirty-two additional series: (i) 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 March 31, 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 DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares

144

UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Euro and ProShares Ultra Yen.

Eight of the Funds, ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS 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 DJ-UBS Natural Gas and ProShares Ultra DJ-UBS 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.

Groups of Funds are collectively referred to in this Quarterly Report on Form 10-Q in several different ways. References to “Short Funds,” “UltraShort Funds,” or “Ultra Funds” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds”, “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks. References to “VIX Funds” refer to the different Funds based upon their investment objective and their general benchmark categories.

Each of the Funds generally invests in Financial Instruments (i.e., instruments whose value is derived from the value of an underlying asset, rate or index, including futures contracts, swap agreements, forward contracts and other instruments) as a substitute for investing directly in commodities, currencies, or spot volatility products in order to gain exposure to the commodity futures index, commodity, currency or exchange rate equity volatility index or applicable commodity or financial futures contracts. 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

145

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

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

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the net assets of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements and each Fund’s trading in futures and forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three months ended March 31, 2014 and 2013, each of the Funds earned interest income as follows:

Fund	Interest Income Three Months Ended March 31, 2014		Interest Income Three Months Ended March 31, 2013
ProShares UltraShort DJ-UBS Commodity	$	308	$	725
ProShares UltraShort DJ-UBS Crude Oil		36,973		25,309
ProShares UltraShort DJ-UBS Natural Gas		6,683		2,401
ProShares UltraShort Gold		15,195		15,757
ProShares UltraShort Silver		12,957		22,355
ProShares Short Euro		1,046		514
ProShares UltraShort Australian Dollar		3,864		498
ProShares UltraShort Euro		69,357		87,230
ProShares UltraShort Yen		78,224		69,492
ProShares Ultra DJ-UBS Commodity		332		750
ProShares Ultra DJ-UBS Crude Oil		21,701		63,274
ProShares Ultra DJ-UBS Natural Gas		6,273		11,677
ProShares Ultra Gold		13,828		59,078

146

Fund	Interest Income Three Months Ended March 31, 2014		Interest Income Three Months Ended March 31, 2013
ProShares Ultra Silver		62,602		159,260
ProShares Ultra Australian Dollar		558		646
ProShares Ultra Euro		378		676
ProShares Ultra Yen		435		826
ProShares VIX Short-Term Futures ETF		23,668		24,328
ProShares VIX Mid-Term Futures ETF		5,328		7,320
ProShares Ultra VIX Short-Term Futures ETF		21,276		17,539
ProShares Short VIX Short-Term Futures ETF		24,205		9,265

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.

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.

147

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;

• generally requiring that the counterparty posts collateral in amounts approximately equal to that owed to the Funds, as marked to market daily, subject to certain minimum thresholds;

• limiting the amount of margin or premium posted at a futures commission merchant (“FCM”); and

• ensuring that deliverable contracts are not held to such a date when delivery of the underlying asset could be called for.

Off-Balance Sheet Arrangements and Contractual Obligations

As of May 8, 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.

148

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 months ended March 31, 2014.

Short-term investments are valued at amortized cost which approximates fair value for daily NAV purposes. For financial reporting purposes, short-term investments are valued at their market price using information provided by a third-party pricing service or market quotations.

Derivatives (e.g., futures, 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 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.

149

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. The Sponsor is currently paying the brokerage commissions on the VIX futures contracts for the Matching VIX Funds.

Results of Operations for the Three Months Ended March 31, 2014 Compared to the Three Months Ended March 31, 2013

ProShares UltraShort DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	3,797,427		$	3,245,965
NAV end of period	$	3,283,730		$	3,305,997
Percentage change in NAV		(13.5	)%		1.8	%
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	$	54.73		$	55.10
Percentage change in per share NAV		(13.5	)%		1.8	%
Percentage change in benchmark		7.0	%		(1.1	)%
Benchmark annualized volatility		9.8	%		8.2	%

During the three months ended March 31, 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 Dow Jones-UBS Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to March 31, 2014. By comparison, during the three months ended March 31, 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 Dow Jones-UBS Commodity Index during the three months ended March 31, 2013. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to March 31, 2013.

For the three months ended March 31, 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 March 31, 2014, as compared to the per Share NAV increase of 1.8% for the three months ended March 31, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 March 6, 2014 at $53.06 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 6, 2013 at $56.68 per Share and reached its low for the period on January 30, 2013 at $51.04 per Share.

The benchmark’s rise of 7.0% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 1.1% for the three months ended March 31, 2013, can be attributed to appreciation of the underlying components of the index during the three months ended March 31, 2014.

150

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(7,991	)	$	(6,860	)
Management fee		8,299			7,585
Net realized gain (loss)		(635,695	)		308,500
Change in net unrealized appreciation/depreciation		129,989			(241,608	)
Net income (loss)	$	(513,697	)	$	60,032

The Fund’s net income decreased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to an increase in the Fund’s benchmark index from the three months ended March 31, 2013 to the three months ended March 31, 2014.

ProShares UltraShort DJ-UBS Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	256,060,149		$	89,481,266
NAV end of period	$	318,170,803		$	141,172,634
Percentage change in NAV		24.3	%		57.8	%
Shares outstanding beginning of period		8,069,944			2,219,944
Shares outstanding end of period		11,169,944			3,869,944
Percentage change in shares outstanding		38.4	%		74.3	%
Shares created		7,700,000			2,350,000
Shares redeemed		4,600,000			700,000
Per share NAV beginning of period	$	31.73		$	40.31
Per share NAV end of period	$	28.48		$	36.48
Percentage change in per share NAV		(10.2	)%		(9.5	)%
Percentage change in benchmark		4.4	%		4.2	%
Benchmark annualized volatility		16.6	%		14.4	%

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 8,069,944 outstanding Shares at December 31, 2013 to 11,169,944 outstanding Shares at March 31, 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 Dow Jones-UBS WTI Crude Oil Subindex^SM. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted from an increase from 2,219,944 outstanding Shares at December 31, 2012 to 3,869,944 outstanding Shares at March 31, 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 Dow Jones-UBS WTI Crude Oil Subindex^SM.

For the three months ended March 31, 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 10.2% for the three months ended March 31, 2014, as compared to the decrease of 9.5% for the three months ended March 31, 2013, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

151

During the three months ended March 31, 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 March 3, 2014 at $27.23 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 4, 2013 at $42.25 per Share and reached its low for the period on January 30, 2013 at $35.62 per Share.

The benchmark’s rise of 4.4% for the three months ended March 31, 2014, as compared to the benchmark’s rise of 4.2% for the three months ended March 31, 2013, can be attributed to a greater increase in the price of WTI Crude Oil during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(599,273	)	$	(321,310	)
Management fee		623,553			339,584
Brokerage commission		12,693			7,035
Net realized gain (loss)		(12,272,712	)		(6,125,829	)
Change in net unrealized appreciation/depreciation		(3,393,450	)		(1,501,047	)
Net income (loss)	$	(16,265,435	)	$	(7,948,186	)

The Fund’s net income decreased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to a greater increase in the price of WTI Crude Oil during the three months ended March 31, 2014.

ProShares UltraShort DJ-UBS Natural Gas*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	22,734,767		$	12,768,340
NAV end of period	$	73,544,544		$	25,153,019
Percentage change in NAV		223.5	%		97.0	%
Shares outstanding beginning of period		324,952			125,008
Shares outstanding end of period		1,674,952			350,008
Percentage change in shares outstanding		415.4	%		180.0	%
Shares created		2,100,000			237,500
Shares redeemed		750,000			12,500
Per share NAV beginning of period	$	69.96		$	102.14
Per share NAV end of period	$	43.91		$	71.86
Percentage change in per share NAV		(37.2	)%		(29.6	)%
Percentage change in benchmark		12.0	%		15.0	%
Benchmark annualized volatility		56.7	%		31.2	%

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 324,952 outstanding Shares at December 31, 2013 to 1,674,952 outstanding Shares at March 31, 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 Dow Jones-UBS Natural Gas Subindex^SM. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted from an increase from 125,008 outstanding Shares at December 31, 2012 to 350,008 outstanding Shares at

152

March 31, 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 Dow Jones-UBS Natural Gas Subindex^SM.

For the three months ended March 31, 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 37.2% for the three months ended March 31, 2014, as compared to the decrease of 29.6% for the three months ended March 31, 2013, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 February 4, 2014 at $36.07 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 9, 2013 at $116.80 per Share and reached its low for the period on March 27, 2013 at $70.36 per Share.

The benchmark’s rise of 12.0% for the three months ended March 31, 2014, as compared to the benchmark’s rise of 15.0% for the three months ended March 31, 2013, can be attributed to a lesser increase in the price of Henry Hub Natural Gas during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(155,585	)	$	(43,566	)
Management fee		131,806			36,143
Brokerage commission		30,462			9,824
Net realized gain (loss)		(9,212,982	)		(1,773,525	)
Change in net unrealized appreciation/depreciation		3,439,263			(3,906,112	)
Net income (loss)	$	(5,929,304	)	$	(5,723,203	)

The Fund’s net income decreased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to an increase in the price of Henry Hub Natural Gas in conjunction with a significant increase in shares outstanding during the three months ended March 31, 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 UltraShort DJ-UBS Natural Gas Fund.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	139,436,456		$	92,416,742
NAV end of period	$	114,517,274		$	104,990,435
Percentage change in NAV		(17.9	)%		13.6	%
Shares outstanding beginning of period		1,346,978			1,446,978
Shares outstanding end of period		1,296,978			1,546,978
Percentage change in shares outstanding		(3.7	)%		6.9	%

153

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Shares created		300,000			250,000
Shares redeemed		350,000			150,000
Per share NAV beginning of period	$	103.52		$	63.87
Per share NAV end of period	$	88.30		$	67.87
Percentage change in per share NAV		(14.7	)%		6.3	%
Percentage change in benchmark		7.2	%		(3.6	)%
Benchmark annualized volatility		14.4	%		11.3	%

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,346,978 outstanding Shares at December 31, 2013 to 1,296,978 outstanding Shares at March 31, 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 March 31, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 1,446,978 outstanding Shares at December 31, 2012 to 1,546,978 outstanding Shares at March 31, 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 three months ended March 31, 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 14.7% for the three months ended March 31, 2014, as compared to the increase of 6.3% for the three months ended March 31, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on February 22, 2013 at $69.97 per Share and reached its low for the period on January 2, 2013 at $61.07 per Share.

The benchmark’s rise of 7.2% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 3.6% for the three months ended March 31, 2013, can be attributed to an increase in the price of spot gold in U.S. Dollar terms during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(250,373	)	$	(210,717	)
Management fee		265,552			226,458
Brokerage commission		16			16
Net realized gain (loss)		(22,148,192	)		12,883,068
Change in net unrealized appreciation/depreciation		2,904,578			(6,991,988	)
Net income (loss)	$	(19,493,987	)	$	5,680,363

The Fund’s net income decreased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to an increase in the price of spot gold in U.S. Dollar terms during the three months ended March 31, 2014.

154

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	112,989,686		$	100,656,703
NAV end of period	$	71,024,281		$	105,879,128
Percentage change in NAV		(37.1	)%		5.2	%
Shares outstanding beginning of period		1,258,489			1,958,489
Shares outstanding end of period		858,489			1,958,489
Percentage change in shares outstanding		(31.8	)%		0.0	%
Shares created		550,000			600,000
Shares redeemed		950,000			600,000
Per share NAV beginning of period	$	89.78		$	51.40
Per share NAV end of period	$	82.73		$	54.06
Percentage change in per share NAV		(7.9	)%		5.2	%
Percentage change in benchmark		2.4	%		(4.4	)%
Benchmark annualized volatility		21.4	%		23.4	%

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,258,489 outstanding Shares at December 31, 2013 to 858,489 outstanding Shares at March 31, 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 March 31, 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 silver bullion as measured by the U.S. Dollar fixing price for delivery in London. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to March 31, 2013.

For the three months ended March 31, 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 7.9% for the three months ended March 31, 2014, as compared to the increase of 5.2% for the three months ended March 31, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on February 3, 2014 at $91.17 per Share and reached its low for the period on February 24, 2014 at $68.80 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 1, 2013 at $56.91 per Share and reached its low for the period on January 23, 2013 at $43.72 per Share.

The benchmark’s rise of 2.4% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 4.4% for the three months ended March 31, 2013, can be attributed to an increase in the price of spot silver in U.S. Dollar terms during the three months ended March 31, 2014.

155

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(191,211	)	$	(228,180	)
Management fee		204,160			250,527
Brokerage commission		8			8
Net realized gain (loss)		(12,612,864	)		29,205,653
Change in net unrealized appreciation/depreciation		9,961,049			(19,068,251	)
Net income (loss)	$	(2,843,026	)	$	9,909,222

The Fund’s net income decreased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to an increase in the price of spot silver in U.S. Dollar terms during the three months ended March 31, 2014.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	8,896,842		$	3,763,040
NAV end of period	$	7,102,270		$	3,863,386
Percentage change in NAV		(20.2	)%		2.7	%
Shares outstanding beginning of period		250,005			100,005
Shares outstanding end of period		200,005			100,005
Percentage change in shares outstanding		(20.0	)%		0.0	%
Shares created		—			—
Shares redeemed		50,000			—
Per share NAV beginning of period	$	35.59		$	37.63
Per share NAV end of period	$	35.51		$	38.63
Percentage change in per share NAV		(0.2	)%		2.7	%
Percentage change in benchmark		0.1	%		(2.9	)%
Benchmark annualized volatility		6.0	%		8.6	%

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,005 outstanding Shares at December 31, 2013 to 200,005 outstanding Shares at March 31, 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 inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the three months ended ended March 31, 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 March 31, 2013.

For the three months ended March 31, 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 decrease of 0.2% for the three months ended March 31, 2014, as compared to the increase of 2.7% for the period ended March 31, 2013, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 March 18, 2014 at $35.13 per Share. By comparison, during the three months ended March 31, 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.

156

The benchmark’s rise of 0.1% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 2.9% for the three months ended March 31, 2013, can be attributed to an increase in the value of the Euro versus the U.S. Dollar during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(16,599	)	$	(8,405	)
Management fee		17,406			—
Brokerage commission		239			116
Offering costs		—			10,110
Limitation by Sponsor		—			(1,307	)
Net realized gain (loss)		(66,330	)		(7,858	)
Change in net unrealized appreciation/depreciation		80,941			116,609
Net income (loss)	$	(1,988	)	$	100,346

The Fund’s net income decreased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to an increase in the value of the Euro versus the U.S. Dollar during the three month ended March 31, 2014.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	27,983,279		$	3,780,999
NAV end of period	$	21,165,734		$	3,689,176
Percentage change in NAV		(24.4	)%		(2.4	)%
Shares outstanding beginning of period		600,005			100,005
Shares outstanding end of period		500,005			100,005
Percentage change in shares outstanding		(16.7	)%		0.0	%
Shares created		—			—
Shares redeemed		100,000			—
Per share NAV beginning of period	$	46.64		$	37.81
Per share NAV end of period	$	42.33		$	36.89
Percentage change in per share NAV		(9.2	)%		(2.4	)%
Percentage change in benchmark		3.8	%		0.1	%
Benchmark annualized volatility		9.4	%		6.7	%

During the three months ended March 31, 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 March 31, 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 three months ended March 31, 2013, the

157

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 outstanding Shares from December 31, 2012 to March 31, 2013.

For the three months ended March 31, 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 9.2% for the three months ended March 31, 2014, as compared to the decrease of 2.4% for the period ended March 31, 2013, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 March 31, 2014 at $42.33 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 4, 2013 at $38.76 per Share and reached its low for the period on January 10, 2013 at $36.24 per Share.

The benchmark’s rise of 3.8% for the three months ended March 31, 2014, as compared to the benchmark’s rise of 0.1% for the three months ended March 31, 2013, can be attributed to a greater increase in the value of the Australian Dollar versus the U.S. Dollar during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(59,178	)	$	(8,669	)
Management fee		59,260			—
Brokerage commission		3,782			398
Offering costs		—			10,110
Limitation by Sponsor		—			(1,341	)
Net realized gain (loss)		(78,205	)		112,165
Change in net unrealized appreciation/depreciation		(2,139,899	)		(195,319	)
Net income (loss)	$	(2,277,282	)	$	(91,823	)

The Fund’s net income decreased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to a greater increase in the value of the Australian Dollar versus the U.S. Dollar during the three month ended March 31, 2014.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	418,001,115		$	526,778,026
NAV end of period	$	410,466,058		$	516,348,251
Percentage change in NAV		(1.8	)%		(2.0	)%
Shares outstanding beginning of period		24,500,014			27,700,014
Shares outstanding end of period		24,250,014			25,800,014

158

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Percentage change in shares outstanding		(1.0	)%		(6.9	)%
Shares created		200,000			2,100,000
Shares redeemed		450,000			4,000,000
Per share NAV beginning of period	$	17.06		$	19.02
Per share NAV end of period	$	16.93		$	20.01
Percentage change in per share NAV		(0.8	)%		5.2	%
Percentage change in benchmark		0.1	%		(2.9	)%
Benchmark annualized volatility		6.0	%		8.6	%

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 24,500,014 outstanding Shares at December 31, 2013 to 24,250,014 outstanding Shares at March 31, 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 Euro versus the U.S. Dollar. By comparison, during the three months ended March 31, 2013, the decrease in the Fund’s NAV resulted from a decrease from 27,700,014 outstanding Shares at December 31, 2012 to 25,800,014 outstanding Shares at March 31, 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.

For the three months ended March 31, 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 0.8% for the three months ended March 31, 2014, as compared to the per Share NAV increase of 5.2% for the three months ended March 31, 2013, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 March 18, 2014 at $16.56 per Share. By comparison, during the three months ended March 31, 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 rise of 0.1% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 2.9% for the three months ended March 31, 2013, can be attributed to a rise in the value of the Euro versus the U.S. Dollar during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(901,399	)	$	(1,093,113	)
Management fee		970,756			1,180,343
Net realized gain (loss)		(12,180,103	)		(2,950,073	)
Change in net unrealized appreciation/depreciation		10,013,710			26,812,281
Net income (loss)	$	(3,067,792	)	$	22,769,095

The Fund’s net income decreased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to an increase in the value of the Euro versus the U.S. Dollar for the three months ended March 31, 2014.

159

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	588,121,516		$	408,563,630
NAV end of period	$	405,650,586		$	472,040,826
Percentage change in NAV		(31.0	)%		15.5	%
Shares outstanding beginning of period		8,299,294			8,049,294
Shares outstanding end of period		5,999,294			7,999,294
Percentage change in shares outstanding		(27.7	)%		(0.6	)%
Shares created		150,000			1,100,000
Shares redeemed		2,450,000			1,150,000
Per share NAV beginning of period	$	70.86		$	50.76
Per share NAV end of period	$	67.62		$	59.01
Percentage change in per share NAV		(4.6	)%		16.3	%
Percentage change in benchmark		2.0	%		(7.9	)%
Benchmark annualized volatility		8.2	%		12.3	%

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,299,294 outstanding Shares at December 31, 2013 to 5,999,294 outstanding Shares at March 31, 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 March 31, 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 spot price of the Japanese Yen versus the U.S. Dollar. The increase in the Fund’s NAV was offset by a decrease from 8,049,294 outstanding Shares at December 31, 2012 to 7,999,294 outstanding Shares at March 31, 2013.

For the three months ended March 31, 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 4.6% for the three months ended March 31, 2014, as compared to the per Share NAV increase of 16.3% for the three months ended March 31, 2013, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, 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 February 3, 2014 at $64.95 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 11, 2013 at $61.78 per Share and reached its low for the period on January 8, 2013 at $51.09 per Share.

The benchmark’s rise of 2.0% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 7.9% for the three months ended March 31, 2013, can be attributed to an increase in the value of the Japanese Yen versus the U.S. Dollar during the three months ended March 31, 2014.

160

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(950,309	)	$	(935,606	)
Management fee		1,028,533			1,005,098
Net realized gain (loss)		(94,384	)		96,885,635
Change in net unrealized appreciation/depreciation		(24,542,413	)		(35,385,357	)
Net income (loss)	$	(25,587,106	)	$	60,564,672

The Fund’s net income decreased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to an increase in the value of the Japanese Yen versus the U.S. Dollar during the three months ended March 31, 2014.

ProShares Ultra DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	2,915,034		$	6,097,211
NAV end of period	$	3,316,304		$	4,722,331
Percentage change in NAV		13.8	%		(22.5	)%
Shares outstanding beginning of period		150,014			250,014
Shares outstanding end of period		150,014			200,014
Percentage change in shares outstanding		0.0	%		(20.0	)%
Shares created		—			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	19.43		$	24.39
Per share NAV end of period	$	22.11		$	23.61
Percentage change in per share NAV		13.8	%		(3.2	)%
Percentage change in benchmark		7.0	%		(1.1	)%
Benchmark annualized volatility		9.8	%		8.2	%

During the three months ended March 31, 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 Dow Jones-UBS Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to March 31, 2014. By comparison, during the three months ended March 31, 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 March 31, 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 Dow Jones-UBS Commodity Index.

For the three months ended March 31, 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 13.8% for the three months ended March 31, 2014, as compared to the decrease of 3.2% for the three months ended March 31, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on March 6, 2014 at $22.88 per Share and reached its low for the period on January 9, 2014 at $18.38 per Share. By comparison, during the three months ended March 31, 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 March 6, 2013 at $23.05 per Share.

161

The benchmark’s rise of 7.0% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 1.1% for the three months ended March 31, 2013, can be attributed to an appreciation of the underlying components of the index during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(6,957	)	$	(11,629	)
Management fee		7,289			12,379
Net realized gain (loss)		537,342			(508,881	)
Change in net unrealized appreciation/depreciation		(129,115	)		421,243
Net income (loss)	$	401,270		$	(99,267	)

The Fund’s net income increased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to an increase in the Fund’s benchmark index from the three months ended March 31, 2013 to the three months ended March 31, 2014.

ProShares Ultra DJ-UBS Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	142,773,429		$	483,508,964
NAV end of period	$	102,118,128		$	326,167,332
Percentage change in NAV		(28.5	)%		(32.5	)%
Shares outstanding beginning of period		4,449,170			16,449,170
Shares outstanding end of period		2,949,170			10,299,170
Percentage change in shares outstanding		(33.7	)%		(37.4	)%
Shares created		4,350,000			850,000
Shares redeemed		5,850,000			7,000,000
Per share NAV beginning of period	$	32.09		$	29.39
Per share NAV end of period	$	34.63		$	31.67
Percentage change in per share NAV		7.9	%		7.7	%
Percentage change in benchmark		4.4	%		4.2	%
Benchmark annualized volatility		16.6	%		14.4	%

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,449,170 outstanding Shares at December 31, 2013 to 2,949,170 outstanding Shares at March 31, 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 Dow Jones-UBS WTI Crude Oil Subindex^SM. By comparison, during the three months ended March 31, 2013, the decrease in the Fund’s NAV resulted from a decrease from 16,449,170 outstanding Shares at December 31, 2012 to 10,299,170 outstanding Shares at March 31, 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 Dow Jones-UBS WTI Crude Oil Subindex^SM.

162

For the three months ended March 31, 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 7.9% for the three months ended March 31, 2014, as compared to the increase of 7.7% for the three months ended March 31, 2013, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on March 3, 2014 at $36.55 per Share and reached its low for the period on January 9, 2014 at $27.85 per Share. By comparison, during the three months ended March 31, 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 March 4, 2013 at $27.55 per Share.

The benchmark’s rise of 4.4% for the three months ended March 31, 2014, as compared to the benchmark’s rise of 4.2% for the three months ended March 31, 2013, can be attributed to a greater increase in the price of WTI Crude Oil during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(333,392	)	$	(792,030	)
Management fee		345,942			840,387
Brokerage commission		9,151			14,917
Net realized gain (loss)		21,200,055			66,563,292
Change in net unrealized appreciation/depreciation		476,147			(28,749,402	)
Net income (loss)	$	21,342,810		$	37,021,860

The Fund’s net income decreased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to a significant decline in shares outstanding during the three months ended March 31, 2014.

ProShares Ultra DJ-UBS Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	62,915,779		$	73,019,370
NAV end of period	$	21,211,850		$	51,254,090
Percentage change in NAV		(66.3	)%		(29.8	)%
Shares outstanding beginning of period		1,619,941			1,869,941
Shares outstanding end of period		469,941			1,019,941
Percentage change in shares outstanding		(71.0	)%		(45.5	)%
Shares created		200,000			1,000,000
Shares redeemed		1,350,000			1,850,000
Per share NAV beginning of period	$	38.84		$	39.05
Per share NAV end of period	$	45.14		$	50.25
Percentage change in per share NAV		16.2	%		28.7	%
Percentage change in benchmark		12.0	%		15.0	%
Benchmark annualized volatility		56.7	%		31.2	%

163

During the three months ended March 31, 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 March 31, 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 Dow Jones-UBS Natural Gas Subindex^SM. By comparison, during the three months ended March 31, 2013, the decrease in the Fund’s NAV resulted from a decrease from 1,869,941 outstanding Shares at December 31, 2012 to 1,019,941 outstanding Shares at March 31, 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 Dow Jones-UBS Natural Gas Subindex^SM.

For the three months ended March 31, 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 16.2% for the three months ended March 31, 2014, as compared to the increase of 28.7% for the three months ended March 31, 2013, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 27, 2013 at $51.37 per Share and reached its low for the period on January 9, 2013 at $33.68 per Share.

The benchmark’s rise of 12% for the three months ended March 31, 2014, as compared to the benchmark’s rise of 15.0% for the three months ended March 31, 2013, can be attributed to a lesser increase in the price of Henry Hub Natural Gas during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(117,562	)	$	(197,871	)
Management fee		105,844			176,613
Brokerage commission		17,991			32,935
Net realized gain (loss)		16,806,082			5,749,387
Change in net unrealized appreciation/depreciation		1,802,726			17,862,843
Net income (loss)	$	18,491,246		$	23,414,359

The Fund’s net income decreased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to a lesser increase in the price of Henry Hub Natural Gas during the three months ended March 31, 2014.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	132,017,405		$	335,054,752
NAV end of period	$	136,370,103		$	316,462,981
Percentage change in NAV		3.3	%		(5.5	)%

164

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Shares outstanding beginning of period		3,200,014			4,000,014
Shares outstanding end of period		2,900,014			4,100,014
Percentage change in shares outstanding		(9.4	)%		2.5	%
Shares created		100,000			100,000
Shares redeemed		400,000			—
Per share NAV beginning of period	$	41.26		$	83.76
Per share NAV end of period	$	47.02		$	77.19
Percentage change in per share NAV		14.0	%		(7.9	)%
Percentage change in benchmark		7.2	%		(3.6	)%
Benchmark annualized volatility		14.4	%		11.3	%

During the three months ended March 31, 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 of the Fund’s NAV was offset by a decrease from 3,200,014 outstanding Shares at December 31, 2013 to 2,900,014 outstanding Shares at March 31, 2014. By comparison, during the three months ended March 31, 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 gold bullion as measured by the U.S. Dollar P.M. fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase from 4,000,014 outstanding Shares at December 31, 2012 to 4,100,014 outstanding Shares at March 31, 2013.

For the three months ended March 31, 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 14.0% for the three months ended March 31, 2014, as compared to the decrease of 7.9% for the three months ended March 31, 2013, was primarily due to the appreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 three months ended March 31, 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 March 6, 2013 at $74.98 per Share.

The benchmark’s rise of 7.2% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 3.6% for the three months ended March 31, 2013, can be attributed to an increase in the price of spot gold in U.S. Dollar terms during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(317,539	)	$	(703,550	)
Management fee		331,351			762,612
Brokerage commission		16			16
Net realized gain (loss)		23,433,550			(50,412,546	)
Change in net unrealized appreciation/depreciation		(5,190,033	)		24,882,532
Net income (loss)	$	17,925,978		$	(26,233,564	)

The Fund’s net income increased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to an increase in the price of spot gold in U.S. Dollar terms during the three months ended March 31, 2014.

165

ProShares Ultra Silver*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	465,479,519		$	747,725,400
NAV end of period	$	482,485,237		$	746,484,767
Percentage change in NAV		3.7	%		(0.2	)%
Shares outstanding beginning of period		7,350,007			4,350,007
Shares outstanding end of period		7,396,533			4,850,007
Percentage change in shares outstanding		0.6	%		11.5	%
Shares created		787,500			537,500
Shares redeemed		740,974			37,500
Per share NAV beginning of period	$	63.33		$	171.89
Per share NAV end of period	$	65.23		$	153.91
Percentage change in per share NAV		3.0	%		(10.5	)%
Percentage change in benchmark		2.4	%		(4.4	)%
Benchmark annualized volatility		21.4	%		23.4	%

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 7,350,007 outstanding Shares at December 31, 2013 to 7,396,533 outstanding Shares at March 31, 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 silver bullion as measured by the U.S. Dollar fixing price for delivery in London. By comparison, during the three months ended March 31, 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 4,350,007 outstanding Shares at December 31, 2012 to 4,850,007 outstanding Shares at March 31, 2013.

For the three months ended March 31, 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 3.0% for the three months ended March 31, 2014, as compared to the decrease of 10.5% for the three months ended March 31, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 February 3, 2014 at $61.50 per Share. By comparison, during the three months ended March 31, 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 March 1, 2013 at $147.88 per Share.

The benchmark’s rise of 2.4% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 4.4% for the three months ended March 31, 2013, can be attributed to an increase in the price of spot silver in U.S. Dollar terms during the three months ended March 31, 2014.

166

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(1,125,310	)	$	(1,624,407	)
Management fee		1,187,904			1,783,659
Brokerage commission		8			8
Net realized gain (loss)		73,958,641			(215,674,335	)
Change in net unrealized appreciation/depreciation		(55,640,539	)		137,618,617
Net income (loss)	$	17,192,792		$	(79,680,125	)

The Fund’s net income increased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to an increase in the price of spot silver in U.S. Dollar terms during the three months ended March 31, 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 three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	3,168,165		$	4,150,068
NAV end of period	$	3,444,536		$	4,215,006
Percentage change in NAV		8.7	%		1.6	%
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	$	34.44		$	42.15
Percentage change in per share NAV		8.7	%		1.6	%
Percentage change in benchmark		3.8	%		0.1	%
Benchmark annualized volatility		9.4	%		6.7	%

During the three months ended March 31, 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 March 31, 2014. By comparison, during the three months ended March 31, 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 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 March 31, 2013.

For the three months ended March 31, 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 8.7% for the three months ended March 31, 2014, as compared to the increase of 1.6% for the three months ended March 31, 2013, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on March 31, 2014 at $34.44 per Share and reached its low for the period on January 24, 2014 at $30.12 per Share. By

167

comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 10, 2013 at $43.23 per Share and reached its low for the period on March 4, 2013 at $40.21 per Share.

The benchmark’s rise of 3.8% for the three months ended March 31, 2014, as compared to the benchmark’s rise of 0.1% for the three months ended March 31, 2013, can be attributed to a greater increase in the value of the Australian Dollar versus the U.S. Dollar during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(7,330	)	$	(9,492	)
Management fee		7,508			—
Brokerage commission		380			362
Offering costs		—			10,110
Limitation by Sponsor		—			(334	)
Net realized gain (loss)		(27,427	)		(149,370	)
Change in net unrealized appreciation/depreciation		311,128			223,800
Net income (loss)	$	276,371		$	64,938

The Fund’s net income increased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to a greater increase in the value of the Australian Dollar versus the U.S. Dollar during the three month ended March 31, 2014.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	2,603,827		$	4,870,316
NAV end of period	$	2,603,282		$	4,573,067
Percentage change in NAV		0.0	%		(6.1	)%
Shares outstanding beginning of period		100,014			200,014
Shares outstanding end of period		100,014			200,014
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	26.03		$	24.35
Per share NAV end of period	$	26.03		$	22.86
Percentage change in per share NAV		0.0	%		(6.1	)%
Percentage change in benchmark		0.1	%		(2.9	)%
Benchmark annualized volatility		6.0	%		8.6	%

During the three months ended March 31, 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 March 31, 2014. By comparison, during the three months ended March 31, 2013, the

168

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 the Fund’s outstanding Shares from December 31, 2012 to March 31, 2013.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. There was no net change in the Fund’s per Share NAV from December 31, 2013 to March 31, 2014, as compared to the decrease of 6.1% for the three months ended March 31, 2013, was primarily due to an immaterial change in the value of the assets held by the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 three months ended March 31, 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.

The benchmark’s rise of 0.1% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 2.9% for the three months ended March 31, 2013, can be attributed to an increase in the value of the Euro versus the U.S. Dollar during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(5,664	)	$	(10,724	)
Management fee		6,042			11,400
Net realized gain (loss)		85,136			(65,348	)
Change in net unrealized appreciation/depreciation		(80,017	)		(221,177	)
Net income (loss)	$	(545	)	$	(297,249	)

The Fund’s net income increased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to an increase in the value of the Euro versus the U.S. Dollar during the three months ended March 31, 2014.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	2,795,026		$	4,227,995
NAV end of period	$	2,896,143		$	3,566,403
Percentage change in NAV		3.6	%		(15.6	)%
Shares outstanding beginning of period		150,014			150,014
Shares outstanding end of period		150,014			150,014
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			50,000
Shares redeemed		—			50,000
Per share NAV beginning of period	$	18.63		$	28.18
Per share NAV end of period	$	19.31		$	23.77
Percentage change in per share NAV		3.6	%		(15.6	)%
Percentage change in benchmark		2.0	%		(7.9	)%
Benchmark annualized volatility		8.2	%		12.3	%

169

During the three months ended March 31, 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 Japanese Yen versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to March 31, 2014. By comparison, during the three months ended March 31, 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 March 31, 2013.

For the three months ended March 31, 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 3.6% for the three months ended March 31, 2014, as compared to the decrease of 15.6% for the three months ended March 31, 2013, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 three months ended March 31, 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 March 11, 2013 at $22.76 per Share.

The benchmark’s rise of 2.0% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 7.9% for the three months ended March 31, 2013, can be attributed to an increase in the value of the Japanese Yen versus the U.S. Dollar during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(6,420	)	$	(10,060	)
Management fee		6,855			10,886
Net realized gain (loss)		(10,441	)		(1,217,929	)
Change in net unrealized appreciation/depreciation		117,978			423,575
Net income (loss)	$	101,117		$	(804,414	)

The Fund’s net income increased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to an increase in the value of the Japanese Yen versus the U.S. Dollar during the three months ended March 31, 2014.

170

ProShares VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	270,398,554		$	137,657,464
NAV end of period	$	117,732,469		$	218,387,479
Percentage change in NAV		(56.5	)%		58.6	%
Shares outstanding beginning of period		9,474,812			1,640,001
Shares outstanding end of period		4,174,812			4,035,001
Percentage change in shares outstanding		(55.9	)%		146.0	%
Shares created		1,475,000			3,160,000
Shares redeemed		6,775,000			765,000
Per share NAV beginning of period	$	28.54		$	83.94
Per share NAV end of period	$	28.20		$	54.12
Percentage change in per share NAV		(1.2	)%		(35.5	)%
Percentage change in benchmark		(0.6	)%		(35.8	)%
Benchmark annualized volatility		60.8	%		64.3	%

During the three months ended March 31, 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 also resulted in part from a decrease from 9,474,812 outstanding Shares at December 31, 2013 to 4,174,812 outstanding Shares at March 31, 2014. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted from an increase from 1,640,001 outstanding Shares at December 31, 2012 to 4,035,001 outstanding Shares at March 31, 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 three months ended March 31, 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 1.2% for the three months ended March 31, 2014, as compared to the decrease of 35.5% for the three months ended March 31, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 January 22, 2014 at $26.66 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $76.10 per Share and reached its low for the period on March 26, 2013 at $54.10 per Share.

The benchmark’s decline of 0.6% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 35.8% for the three months ended March 31, 2013, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(353,797	)	$	(327,343	)
Management fee		377,465			351,671
Net realized gain (loss)		15,786,313			(55,410,711	)
Change in net unrealized appreciation/depreciation		11,621,137			(8,124,712	)
Net income (loss)	$	27,053,653		$	(63,862,766	)

171

The Fund’s net income increased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to a lesser decline in the Fund’s benchmark in conjunction with significant changes in shares outstanding during the three months ended March 31, 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 VIX Short-Term Futures ETF.

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	51,134,323		$	37,302,992
NAV end of period	$	57,792,817		$	68,072,450
Percentage change in NAV		13.0	%		82.5	%
Shares outstanding beginning of period		2,650,005			1,075,005
Shares outstanding end of period		3,125,005			2,575,005
Percentage change in shares outstanding		17.9	%		139.5	%
Shares created		1,100,000			1,825,000
Shares redeemed		625,000			325,000
Per share NAV beginning of period	$	19.30		$	34.70
Per share NAV end of period	$	18.49		$	26.44
Percentage change in per share NAV		(4.2	)%		(23.8	)%
Percentage change in benchmark		(3.9	)%		(23.7	)%
Benchmark annualized volatility		27.3	%		24.9	%

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 2,650,005 outstanding Shares at December 31, 2013 to 3,125,005 outstanding Shares at March 31, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted from an increase from 1,075,005 outstanding Shares at December 31, 2012 to 2,575,005 outstanding Shares at March 31, 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 three months ended March 31, 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 4.2% for the three months ended March 31, 2014, as compared to the decrease of 23.8% for the three months ended March 31, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 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 February 18, 2014 at $18.36 per Share. By comparison, during the three months ended March 31, 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 March 11, 2013 at $26.14 per Share.

The benchmark’s decline of 3.9% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 23.7% for the three months ended March 31, 2013, can be attributed to a lesser decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended March 31, 2014.

172

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(110,008	)	$	(97,496	)
Management fee		115,336			104,816
Net realized gain (loss)		(5,397,419	)		(10,259,685	)
Change in net unrealized appreciation/depreciation		2,889,947			(407,239	)
Net income (loss)	$	(2,617,480	)	$	(10,764,420	)

The Fund’s net income increased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to a lesser decline in the Fund’s benchmark during the three months ended March 31, 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 March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	226,233,584		$	84,716,132
NAV end of period	$	317,768,440		$	344,396,396
Percentage change in NAV		40.5	%		306.5	%
Shares outstanding beginning of period		3,372,389			105,202
Shares outstanding end of period		5,270,099			1,136,452
Percentage change in shares outstanding		56.3	%		980.3	%
Shares created		4,775,000			1,552,500
Shares redeemed		2,877,290			521,250
Per share NAV beginning of period	$	67.08		$	805.27
Per share NAV end of period	$	60.30		$	303.05
Percentage change in per share NAV		(10.1	)%		(62.4	)%
Percentage change in benchmark		(0.6	)%		(35.8	)%
Benchmark annualized volatility		60.8	%		64.3	%

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 3,372,389 outstanding Shares at December 31, 2013 to 5,270,099 outstanding Shares at March 31, 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 three months ended March 31, 2013, the increase in the Fund’s NAV resulted from an increase from 105,202 outstanding Shares at December 31, 2012 to 1,136,452 outstanding Shares at March 31, 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.

For the three months ended March 31, 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 10.1% for the three months ended March 31, 2014, as compared to the decrease of 62.4% for the three months ended March 31, 2013, was primarily due to lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

173

During the three months ended March 31, 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 January 22, 2014 at $58.37 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $652.40 per Share and reached its low for the period on March 26, 2013 at $302.80 per Share.

The benchmark’s decline of 0.6% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 35.8% for the three months ended March 31, 2013, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(1,084,303	)	$	(1,072,705	)
Management fee		586,132			532,907
Brokerage commission		519,447			557,337
Net realized gain (loss)		(3,547,218	)		(122,685,938	)
Change in net unrealized appreciation/depreciation		(5,689,374	)		(21,090,969	)
Net income (loss)	$	(10,320,895	)	$	(144,849,612	)

The Fund’s net income increased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to a lesser decline in the fund’s benchmark during the three months ended March 31, 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 splits 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 March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
NAV beginning of period	$	141,751,202		$	82,663,633
NAV end of period	$	213,416,566		$	69,149,807
Percentage change in NAV		50.6	%		(16.3	)%
Shares outstanding beginning of period		2,100,040			2,500,040
Shares outstanding end of period		3,450,040			1,500,040
Percentage change in shares outstanding		64.3	%		(40.0	)%
Shares created		2,850,000			2,800,000
Shares redeemed		1,500,000			3,800,000
Per share NAV beginning of period	$	67.50		$	33.06
Per share NAV end of period	$	61.86		$	46.10
Percentage change in per share NAV		(8.4	)%		39.4	%
Percentage change in benchmark		(0.6	)%		(35.8	)%
Benchmark annualized volatility		60.8	%		64.3	%

174

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 2,100,040 outstanding Shares at December 31, 2013 to 3,450,040 outstanding Shares at March 31, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2013, the decrease in the Fund’s NAV resulted from a decrease from 2,500,040 outstanding Shares at December 31, 2012 to 1,500,040 outstanding Shares at March 31, 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 inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 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 decrease of 8.4% for the three months ended March 31, 2014, as compared to the increase of 39.4% for the three months ended March 31, 2013, was primarily due to depreciation in the value of the assets of the fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 22, 2014 at $71.82 per Share and reached its low for the period on February 5, 2014 at $50.78 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on February 19, 2013 at $47.33 per Share and reached its low for the period on January 3, 2013 at $36.06 per Share.

The benchmark’s decline of 0.6% for the three months ended March 31, 2014, as compared to the benchmark’s decline of 35.8% for the three months ended March 31, 2013, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX Futures curve during the three months ended March 31, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended March 31, 2014 and 2013:

	Three Months Ended March 31, 2014			Three Months Ended March 31, 2013
Net investment income (loss)	$	(771,039	)	$	(213,419	)
Management fee		503,918			137,663
Brokerage commission		291,326			85,021
Net realized gain (loss)		2,734,250			25,204,187
Change in net unrealized appreciation/depreciation		(32,247	)		3,774,229
Net income (loss)	$	1,930,964		$	28,764,997

The Fund’s net income decreased for the three months ended March 31, 2014, as compared to the three months ended March 31, 2013, primarily due to a lesser decline in the Fund’s benchmark during the three months ended March 31, 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.

175

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 March 31, 2014 and 2013, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort DJ-UBS Commodity:

As of March 31, 2014 and 2013, the ProShares UltraShort DJ-UBS Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Dow Jones-UBS Commodity Index. The following tables provide information about the Fund’s short swap positions as of March 31, 2014 and 2013, which were sensitive to commodity price risk.

Swap Agreements as of March 31, 2014

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS Commodity Index	Deutsche Bank AG	Short	$	134.5234	$	(2,673,904	)
Dow Jones-UBS Commodity Index	Goldman Sachs International	Short		134.5234		(2,839,014	)
Dow Jones-UBS Commodity Index	UBS AG	Short		134.5234		(1,071,987	)

Swap Agreements as of March 31, 2013

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS Commodity Index	Goldman Sachs International	Short	$	137.2201	$	(4,670,170	)
Dow Jones-UBS Commodity Index	UBS AG	Short		137.2201		(1,918,450	)

The March 31, 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 Instrumentseach 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. Futureperiod 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.

ProShares UltraShort DJ-UBS Crude Oil:

As of March 31, 2014 and 2013, the ProShares UltraShort DJ-UBS 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 Dow Jones-UBS WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2014 and 2013, which were sensitive to commodity price risk.

176

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	May 2014		2,752	$	101.58		1,000	$	(279,548,160	)

Swap Agreements as of March 31, 2014

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS WTI Crude Oil Subindex	Deutsche Bank AG	Short	$	255.0803	$	(99,488,785	)
Dow Jones-UBS WTI Crude Oil Subindex	Goldman Sachs International	Short		255.0803		(108,344,369	)
Dow Jones-UBS WTI Crude Oil Subindex	Societe Generale S.A.	Short		255.0803		(36,118,314	)
Dow Jones-UBS WTI Crude Oil Subindex	UBS AG	Short		255.0803		(112,771,776	)

Futures Positions as of March 31, 2013

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Short	May 2013		1,528	$	97.23		1,000	$	(148,567,440	)

Swap Agreements as of March 31, 2013

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS WTI Crude Oil Sub-Index	Goldman Sachs International	Short	$	238.5286	$	(73,765,493	)
Dow Jones-UBS WTI Crude Oil Sub-Index	Societe Generale S.A.	Short		238.5286		(17,320,352	)
Dow Jones-UBS WTI Crude Oil Sub-Index	UBS AG	Short		238.5286		(42,736,934	)

The March 31, 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 March 31, 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 Instrumentseach 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. Futureperiod 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.

177

ProShares UltraShort DJ-UBS Natural Gas:

As of March 31, 2014 and 2013, the ProShares UltraShort DJ-UBS Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	May 2014		3,365	$	4.37		10,000	$	(147,084,150	)

Futures Positions as of March 31, 2013

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	May 2013		1,250	$	4.02		10,000	$	(50,300,000	)

The March 31, 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 Instrumentseach 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Gold:

As of March 31, 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 March 31, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	June 2014		2	$	1,283.80		100	$	(256,760	)

Forward Agreements as of March 31, 2014

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short	$	1,291.77	$	(122,330,619	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,291.77		(42,109,118	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,291.77		(20,151,612	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,291.77		(44,113,946	)

178

Futures Positions as of March 31, 2013

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	June 2013		2	$	1,595.70		100	$	(319,140	)

Forward Agreements as of March 31, 2013

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short	$	1,598.37	$	(117,160,521	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,598 .37		(34,201,921	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,598 .37		(29,889,519	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,598 .37		(28,371,068	)

The March 31, 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 March 31, 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 Instrumentseach 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. Futureperiod 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 March 31, 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 March 31, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	May 2014		2	$	19.752		5,000	$	(197,520	)

Forward Agreements as of March 31, 2014

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short	$	19.9724	$	(66,767,733	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		19.9724		(27,012,671	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		19.9724		(16,377,368	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		19.9724		(31,676,226	)

179

Futures Positions as of March 31, 2013

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	May 2013		2	$	28.323		5,000	$	(283,230	)

Forward Agreements as of March 31, 2013

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short	$	28.6463	$	(87,084,752	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		28.6463		(45,504,648	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		28.6463		(35,378,181	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		28.6463		(43,513,730	)

The March 31, 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 March 31, 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 Instrumentseach 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. Futureperiod 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 DJ-UBS Commodity:

As of March 31, 2014 and 2013, the ProShares Ultra DJ-UBS Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Dow Jones-UBS Commodity Index. The following tables provide information about the Fund’s swap positions as of March 31, 2014 and 2013, which were sensitive to commodity price risk.

Swap Agreements as of March 31, 2014

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS Commodity Index	Deutsche Bank AG	Long	$	134.5234	$	2,847,170
Dow Jones-UBS Commodity Index	Goldman Sachs International	Long		134.5234		2,448,497
Dow Jones-UBS Commodity Index	UBS AG	Long		134.5234		1,327,486

Swap Agreements as of March 31, 2013

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS Commodity Index	Goldman Sachs International	Long	$	137.2201	$	5,220,934
Dow Jones-UBS Commodity Index	UBS AG	Long		137.2201		4,253,708

The March 31, 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

180

generally attempt to adjust its positions in Financial Instrumentseach 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. Futureperiod 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 DJ-UBS Crude Oil:

As of March 31, 2014 and 2013, the ProShares Ultra DJ-UBS 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 Dow Jones-UBS WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	May 2014		858	$	101.58		1,000	$	87,155,640

Swap Agreements as of March 31, 2014

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS WTI Crude Oil Subindex	Deutsche Bank AG	Long	$	255.0803	$	31,611,457
Dow Jones-UBS WTI Crude Oil Subindex	Goldman Sachs International	Long		255.0803		38,736,489
Dow Jones-UBS WTI Crude Oil Subindex	Societe Generale S.A.	Long		255.0803		16,715,352
Dow Jones-UBS WTI Crude Oil Subindex	UBS AG	Long		255.0803		30,001,585

Futures Positions as of March 31, 2013

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)	Long	May 2013		2,810	$	97.23		1,000	$	273,216,300

Swap Agreements as of March 31, 2013

Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS WTI Crude Oil Sub-Index	Goldman Sachs International	Long	$	238.5286	$	136,569,546
Dow Jones-UBS WTI Crude Oil Sub-Index	Societe Generale S.A.	Long		238.5286		70,834,560
Dow Jones-UBS WTI Crude Oil Sub-Index	UBS AG	Long		238.5286		171,781,631

The March 31, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 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

181

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 Instrumentseach 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. Futureperiod 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 DJ-UBS Natural Gas:

As of March 31, 2014 and 2013, the ProShares Ultra DJ-UBS Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Long	May 2014		971	$	4.37		10,000	$	42,442,410

Futures Positions as of March 31, 2013

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Long	May 2013		2,548	$	4.02		10,000	$	102,531,520

The March 31, 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 Instrumentseach 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

As of March 31, 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 March 31, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long	June 2014		2	$	1,283.80		100	$	256,760

182

Forward Agreements as of March 31, 2014

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Long	$	1,291.77	$	141,965,523
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Long		1,291.77		53,246,759
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Long		1,291.77		27,127,170
0.995 Fine Troy Ounce Gold	UBS AG	Long		1,291.77		50,120,676

Futures Positions as of March 31, 2013

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Long	June 2013		2	$	1,595.70		100	$	319,140

Forward Agreements as of March 31, 2013

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Long	$	1,598.37	$	305,448,507
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Long		1,598 .37		110,958,845
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Long		1,598 .37		112,844,922
0.995 Fine Troy Ounce Gold	UBS AG	Long		1,598 .37		103,414,539

The March 31, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 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 Instrumentseach 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. Futureperiodreturns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of March 31, 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 March 31, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Long	May 2014		2	$	19.752		5,000	$	197,520

Forward Agreements as of March 31, 2014

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Long	$	19.9724	$	502,765,225
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Long		19.9724		188,775,130
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Long		19.9724		86,021,127
0.999 Fine Troy Ounce Silver	UBS AG	Long		19.9724		187,181,333

183

Futures Positions as of March 31, 2013

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Long	May 2013		2	$	28.323		5,000	$	283,230

Forward Agreements as of March 31, 2013

Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Long	$	28.6463	$	873,167,870
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Long		28 .6463		233,261,092
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Long		28 .6463		250,425,955
0.999 Fine Troy Ounce Silver	UBS AG	Long		28 .6463		135,898,047

The March 31, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 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 Instrumentseach 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. Futureperiod 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 March 31, 2014 and 2013, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of March 31, 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 March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short	June 2014		41	$	1.3774		125,000	$	(7,059,175	)

184

Futures Positions as of March 31, 2013

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short	June 2013		24	$	1.2823		125,000	$	(3,846,900	)

The March 31, 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 Instrumentseach 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Australian Dollar:

As of March 31, 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 March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	June 2014		459	$	92.25		1,000	$	(42,342,750	)

Futures Positions as of March 31, 2013

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	June 2013		71	$	103.53		1,000	$	(7,350,630	)

The March 31, 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 Instrumentseach 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. Futureperiod 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.

185

ProShares UltraShort Euro:

As of March 31, 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 March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2014

Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		04/04/14		18,383,800			1.3776	$	25,325,422
Euro	UBS AG	Long		04/04/14		26,715,000			1.3776		36,802,438
Euro	Goldman Sachs International	Short		04/04/14		(315,847,325	)		1.3776		(435,109,546	)
Euro	UBS AG	Short		04/04/14		(324,757,500	)		1.3776		(447,384,155	)

Foreign Currency Forward Contracts as of March 31, 2013

Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		04/05/13		34,213,200			1.2818	$	43,854,981
Euro	UBS AG	Long		04/05/13		46,266,300			1.2818		59,304,821
Euro	Goldman Sachs International	Short		04/05/13		(396,944,825	)		1.2818		(508,809,688	)
Euro	UBS AG	Short		04/05/13		(488,742,400	)		1.2818		(626,477,163	)

The March 31, 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 Instrumentseach 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

As of March 31, 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 March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2014

Reference Currency	Counterparty	Long or Short	Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		04/04/14		7,547,835,100			0.009688	$	73,124,249
Yen	UBS AG	Long		04/04/14		3,218,173,300			0.009688		31,178,013
Yen	Goldman Sachs International	Short		04/04/14		(48,716,397,300	)		0.009688		(471,969,766	)
Yen	UBS AG	Short		04/04/14		(45,710,614,400	)		0.009688		(442,849,413	)

186

Foreign Currency Forward Contracts as of March 31, 2013 

Reference Currency	Counterparty	Long or Short	Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		04/05/13		2,150,120,600			0.010622	$	22,839,086
Yen	UBS AG	Long		04/05/13		6,684,643,600			0.010622		71,005,855
Yen	Goldman Sachs International	Short		04/05/13		(40,430,144,600	)		0.010622		(429,458,498	)
Yen	UBS AG	Short		04/05/13		(57,256,267,400	)		0.010622		(608,189,529	)

The March 31, 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 Instrumentseach 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. Futureperiod 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 March 31, 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 March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Long	June 2014		75	$	92.25		1,000	$	6,918,750

Futures Positions as of March 31, 2013 

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Long	June 2013		81	$	103.53		1,000	$	8,385,930

The March 31, 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 Instrumentseach day to have $2.00 of exposure to the Australian Dollar for every $1.00 of net assets. While the

187

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. Futureperiod 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.

ProShares Ultra Euro:

As of March 31, 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 March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2014

Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		04/04/14		788,225			1.3776	$	1,085,855
Euro	UBS AG	Long		04/04/14		3,071,000			1.3776		4,230,593
Euro	Goldman Sachs International	Short		04/04/14		(51,500	)		1.3776		(70,946	)
Euro	UBS AG	Short		04/04/14		(27,600	)		1.3776		(38,021	)

Foreign Currency Forward Contracts as of March 31, 2013

Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		04/05/13		3,381,925			1.2818	$	4,335,001
Euro	UBS AG	Long		04/05/13		4,109,500			1.2818		5,267,617
Euro	Goldman Sachs International	Short		04/05/13		(66,800	)		1.2818		(85,625	)
Euro	UBS AG	Short		04/05/13		(287,400	)		1.2818		(368,394	)

The March 31, 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 Instrumentseach 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. Futureperiod returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Yen:

As of March 31, 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 March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

188

Foreign Currency Forward Contracts as of March 31, 2014

Reference Currency	Counterparty	Long or Short	Settlement Date		Yen			Forward Rate		��	Market Value USD
Yen	Goldman Sachs International	Long		04/04/14		304,953,900			0.009688		$	2,954,426
Yen	UBS AG	Long		04/04/14		313,415,000			0.009688			3,036,399
Yen	Goldman Sachs International	Short		04/04/14		(13,523,300	)		0.009688			(131,016	)
Yen	UBS AG	Short		04/04/14		(6,832,900	)		0.009688			(66,198	)

Foreign Currency Forward Contracts as of March 31, 2013 

Reference Currency	Counterparty	Long or Short	Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		04/05/13		359,404,200			0.010622	$	3,817,676
Yen	UBS AG	Long		04/05/13		569,984,800			0.010622		6,054,513
Yen	Goldman Sachs International	Short		04/05/13		(6,969,600	)		0.010622		(74,033	)
Yen	UBS AG	Short		04/05/13		(250,806,500	)		0.010622		(2,664,126	)

The March 31, 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 Instrumentseach 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. Futureperiod 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 March 31, 2014 and 2013, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of March 31, 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 March 31, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	April 2014		3,998	$	15.15		1,000	$	60,569,700
VIX Futures (CBOE)	Long	May 2014		3,632		15.85		1,000		57,567,200

189

Futures Positions as of March 31, 2013 

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	April 2013		9,424	$	14.20		1,000	$	133,820,800
VIX Futures (CBOE)	Long	May 2013		5,483		15.60		1,000		85,534,800

The March 31, 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 Instrumentseach dayto 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 March 31, 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 March 31, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2014		576	$	16.95		1,000	$	9,763,200
VIX Futures (CBOE)	Long	August 2014		1,099		17.35		1,000		19,067,650
VIX Futures (CBOE)	Long	September 2014		1,099		17.75		1,000		19,507,250
VIX Futures (CBOE)	Long	October 2014		524		18.05		1,000		9,458,200

Futures Positions as of March 31, 2013

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2013		793	$	17.35		1,000	$	13,758,550
VIX Futures (CBOE)	Long	August 2013		1,255		17.85		1,000		22,401,750
VIX Futures (CBOE)	Long	September 2013		1,256		18.45		1,000		23,173,200
VIX Futures (CBOE)	Long	October 2013		463		18.90		1,000		8,750,700

The March 31, 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 Instrumentseach dayto 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.

190

ProShares Ultra VIX Short-Term Futures ETF

As of March 31, 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 March 31, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	April 2014		21,528	$	15.15		1,000	$	326,149,200
VIX Futures (CBOE)	Long	May 2014		19,566		15.85		1,000		310,121,100

Futures Positions as of March 31, 2013

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	April 2013		29,637	$	14.20		1,000	$	420,845,400
VIX Futures (CBOE)	Long	May 2013		17,272		15.60		1,000		269,443,200

The March 31, 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 Instrumentseach 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 March 31, 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 March 31, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2014

Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Short	April 2014		7,213	$	15.15		1,000	$	(109,276,950	)
VIX Futures (CBOE)	Short	May 2014		6,554		15.85		1,000		(103,880,900	)

Futures Positions as of March 31, 2013

Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Short		April 2013		2,965	$	14.20		1,000	$	(42,103,000	)
VIX Futures (CBOE)		Short		May 2013		1,718		15.60		1,000		(26,800,800	)

The March 31, 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 Instrumentseach dayto 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

191

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 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. Futureperiod 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 DJ-UBS Crude Oil and the ProShares Ultra DJ-UBS 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 Dow Jones-UBS 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

192

(comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. Dollar, and, in turn, the Financial Instruments and other assets, if any, owned by a Fund. The impact of changes in the price of a currency will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of a currency will negatively impact the daily performance of Shares of a Short Fund or an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund.

Additionally, performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. Several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund. The impact of changes in the price of these assets will affect investors differently depending upon the Fund in which investors invest.

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (-1x, -2x, or 2x), regardless of market direction or sentiment. At the close of the relevant markets each trading day (see NAV calculation times), each Fund will seek to position its portfolio so that its exposure to its benchmark is consistent with its investment objective. As described above in Item 2 of this Quarterly Report on Form 10-Q, these adjustments are done through the use of various Financial Instruments. No attempt is made to adjust market exposure in order to avoid changes to the benchmark that would cause the Funds to lose value. Factors common to all Funds that may require portfolio re-positioning are create/redeem activity and index rebalances.

For Geared Funds, the impact of the Index’s movements during the day also affects whether the Fund’s portfolio needs to be re-positioned. For example, if the Index for an Ultra Fund has risen on a given day, net assets of the Fund should rise. As a result, the Fund’s long exposure will need to be increased to the extent there are not offsetting factors such as redemption activity. Conversely, if the Index has fallen on a given day, net assets of an Ultra Fund should fall. As a result, the Fund’s long exposure will generally need to be decreased. Net assets for Short Funds, 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.

193

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty fails to perform its obligations. Each Fund intends to enter into swap and forward agreements only with major global financial institutions that meet certain credit quality standards and monitoring policies. Each Fund may use various techniques to minimize credit risk including early termination or reset and payment, limiting the net amount due from any individual counterparty, and generally requiring that the counterparty post collateral with respect to amounts owed to the Funds, marked to market daily.

Most Financial Instruments held by the Funds are “unfunded” meaning that the Fund will obtain exposure to the corresponding benchmark while still being in possession of its original cash assets. The cash positions that result from use of such Financial Instruments are held in a manner to minimize both interest rate and credit risk. During the reporting period, cash positions were maintained in a non-interest bearing demand deposit account. The Funds also invest a portion of this cash in cash equivalents (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities).

Item 4. Controls and Procedures.

Disclosure Controls and Procedures

Under the supervision and with the participation of the principal executive officer and principal financial officer of the Trust, Trust management has evaluated the effectiveness of the Trust’s and the Funds’ disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust and the Funds (as defined in Rule 13a-15(e) and 15d-15(e) under the Securities Exchange Act of 1934, as amended (the “1934 Act”)) were effective, as of March 31, 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 March 31, 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.

194

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 (No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (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 (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 (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 (No. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra DJ-UBS 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 (No. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on Form S-1 (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 (No. 333- 183672) was a combined prospectus and acted as a post-effective amendment to the Form S-1 (No. 333-176878). On September 27, 2012, a Registration Statement on Form S-3 (No. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS 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 (No. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on Form S-1 (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 (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 DJ-UBS 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 (No. 333-193672) and Form S-3 Registration Statement (No. 333-183674). On April 24, 2013, a post-effective amendment to the Form S-1 Registration Statement (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 (333-187820) was declared effective, which registered additional Shares for ProShares Ultra DJ-UBS Crude Oil,

195

ProShares UltraShort DJ-UBS 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 (No. 333-185289). On May 21, 2013, a Registration Statement on Form S-1 (333-188215) was declared effective, which registered additional Shares for ProShares Ultra DJ-UBS Natural Gas, ProShares UltraShort DJ-UBS 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 (No. 333-185288). On July 30, 2013, a Registration Statement on Form S-3 (No. 333-189967) was declared effective, which registered additional Shares for ProShares DJ-UBS Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra DJ-UBS 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 (No. 333-187820). Thus, as of March 31, 2014, the Trust had two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-188215); and 2) a Form S-3 Registration Statement (No. 333-189967). On May 6, 2014, a post-effective amendment to the Form S-1 Registration Statement (No. 333-188215) was declared effective, updating the Form S-1 Registration Statement by, among other things, incorporating by reference the audited financial statements for the fiscal year ended December 31, 2013. The post-effective amendment did not register any additional shares. Thus, as of May 12, 2014, the Trust continued to have two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-188215); and 2) a Form S-3 Registration Statement (No. 333-189967).

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 March 31, 2014		Shares Sold For the Three Months Ended March 31, 2014		Sale Price of Shares Sold For the Three Months Ended March 31, 2014
ProShares UltraShort DJ-UBS Commodity Common Units of Beneficial Interest	$	500,000,000		—	$	—
ProShares UltraShort DJ-UBS Crude Oil Common Units of Beneficial Interest	$	3,275,000,000		7,700,000	$	231,318,912
ProShares UltraShort DJ-UBS Natural Gas Common Units of Beneficial Interest	$	570,000,000		2,100,000	$	89,514,809
ProShares UltraShort Gold Common Units of Beneficial Interest	$	1,000,000,000		300,000	$	27,505,358
ProShares UltraShort Silver Common Units of Beneficial Interest	$	2,700,000,000		550,000	$	41,391,244
ProShares Short Euro Common Units of Beneficial Interest	$	200,000,000		—	$	—
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest	$	200,000,000		—	$	—
ProShares UltraShort Euro Common Units of Beneficial Interest	$	2,753,506,872		200,000	$	3,360,054
ProShares UltraShort Yen Common Units of Beneficial Interest	$	1,800,000,000		150,000	$	9,974,148
ProShares Ultra DJ-UBS Commodity Common Units of Beneficial Interest	$	300,000,000		—	$	—
ProShares Ultra DJ-UBS Crude Oil Common Units of Beneficial Interest	$	4,408,246,073		4,350,000	$	127,214,584
ProShares Ultra DJ-UBS Natural Gas Common Units of Beneficial Interest	$	680,000,000		200,000	$	9,133,238
ProShares Ultra Gold Common Units of Beneficial Interest	$	1,000,000,000		100,000	$	4,708,180
ProShares Ultra Silver Common Units of Beneficial Interest	$	3,300,000,000		787,500	$	53,059,528
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		1,475,000	$	42,065,649
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	1,300,000,000		1,100,000	$	21,263,524
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	8,000,000,000		4,775,000	$	322,232,448
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	2,750,000,000		2,850,000	$	162,438,045
Total:	$	39,186,752,945		26,637,500	$	1,145,179,721

196

(c) From January 1, 2014 to March 31, 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 DJ-UBS Commodity
01/01/14 to 01/31/14		—	$	—
02/01/14 to 02/28/14		—	$	—
03/01/14 to 03/31/14		—	$	—
ProShares UltraShort DJ-UBS Crude Oil
01/01/14 to 01/31/14		2,850,000	$	34.98
02/01/14 to 02/28/14		—	$	—
03/01/14 to 03/31/14		1,750,000	$	30.42
ProShares UltraShort DJ-UBS Natural Gas
01/01/14 to 01/31/14		—	$	—
02/01/14 to 02/28/14		400,000	$	42.82
03/01/14 to 03/31/14		350,000	$	44.71
ProShares UltraShort Gold
01/01/14 to 01/31/14		250,000	$	95.73
02/01/14 to 02/28/14		100,000	$	89.97
03/01/14 to 03/31/14		—	$	—
ProShares UltraShort Silver
01/01/14 to 01/31/14		550,000	$	90.12
02/01/14 to 02/28/14		150,000	$	75.66
03/01/14 to 03/31/14		250,000	$	78.39
ProShares Short Euro
01/01/14 to 01/31/14		50,000	$	35.85
02/01/14 to 02/28/14		—	$	—
03/01/14 to 03/31/14		—	$	—
ProShares UltraShort Australian Dollar
01/01/14 to 01/31/14		50,000	$	46.14
02/01/14 to 02/28/14		—	$	—
03/01/14 to 03/31/14		50,000	$	44.66
ProShares UltraShort Euro
01/01/14 to 01/31/14		450,000	$	17.39
02/01/14 to 02/28/14		—	$	—
03/01/14 to 03/31/14		—	$	—
ProShares UltraShort Yen
01/01/14 to 01/31/14		1,900,000	$	68.66
02/01/14 to 02/28/14		300,000	$	66.02
03/01/14 to 03/31/14		250,000	$	66.38
ProShares Ultra DJ-UBS Commodity
01/01/14 to 01/31/14		—	$	—
02/01/14 to 02/28/14		—	$	—
03/01/14 to 03/31/14		—	$	—

197

ProShares Ultra DJ-UBS Crude Oil
01/01/14 to 01/31/14	2,850,000	$	30.64
02/01/14 to 02/28/14	2,550,000	$	33.87
03/01/14 to 03/31/14	450,000	$	34.53
ProShares Ultra DJ-UBS Natural Gas
01/01/14 to 01/31/14	650,000	$	51.67
02/01/14 to 02/28/14	500,000	$	53.04
03/01/14 to 03/31/14	200,000	$	46.12
ProShares Ultra Gold
01/01/14 to 01/31/14	300,000	$	44.47
02/01/14 to 02/28/14	—	$	—
03/01/14 to 03/31/14	100,000	$	49.40
ProShares Ultra Silver
01/01/14 to 01/31/14	237,500	$	16.76
02/01/14 to 02/28/14	453,474	$	74.68
03/01/14 to 03/31/14	50,000	$	69.18
ProShares Ultra Australian Dollar
01/01/14 to 01/31/14	—	$	—
02/01/14 to 02/28/14	—	$	—
03/01/14 to 03/31/14	—	$	—
ProShares Ultra Euro
01/01/14 to 01/31/14	—	$	—
02/01/14 to 02/28/14	—	$	—
03/01/14 to 03/31/14	—	$	—
ProShares Ultra Yen
01/01/14 to 01/31/14	—	$	—
02/01/14 to 02/28/14	—	$	—
03/01/14 to 03/31/14	—	$	—
ProShares VIX Short-Term Futures ETF
01/01/14 to 01/31/14	1,475,000	$	30.28
02/01/14 to 02/28/14	5,000,000	$	33.53
03/01/14 to 03/31/14	300,000	$	31.56
ProShares VIX Mid-Term Futures ETF
01/01/14 to 01/31/14	275,000	$	19.23
02/01/14 to 02/28/14	150,000	$	18.60
03/01/14 to 03/31/14	200,000	$	19.54
ProShares Ultra VIX Short-Term Futures ETF
01/01/14 to 01/31/14	2,025,000	$	75.92
02/01/14 to 02/28/14	402,290	$	83.95
03/01/14 to 03/31/14	450,000	$	73.04
ProShares Short VIX Short-Term Futures ETF
01/01/14 to 01/31/14	—	$	—
02/01/14 to 02/28/14	600,000	$	62.42
03/01/14 to 03/31/14	900,000	$	61.39
Total:	29,818,264	$	44.45

198

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(2)
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(2)
101.INS	XBRL Instance Document(3)
101.SCH	XBRL Taxonomy Extension Schema(3)
101.CAL	XBRL Taxonomy Extension Calculation Linkbase(3)
101.DEF	XBRL Taxonomy Extension Definition Linkbase(3)
101.LAB	XBRL Taxonomy Extension Label Linkbase(3)
101.PRE	XBRL Taxonomy Extension Presentation Linkbase(3)

(1) Filed herewith.

(2) Furnished herewith.

(3) 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.

199

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

PROSHARES TRUST II

/s/ Todd Johnson

By: Todd Johnson

Principal Executive Officer

Date: May 12, 2014

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: May 12, 2014