ProShares Trust II - FORM 10-Q

ProShares Trust II - FORM 10-Q - November 7, 2014

Attached files

Attached files

file	filename
EXCEL - IDEA: XBRL DOCUMENT - ProShares Trust II	Financial_Report.xls
EX-31.1 - EX-31.1 - ProShares Trust II	d786461dex311.htm
EX-31.2 - EX-31.2 - ProShares Trust II	d786461dex312.htm
EX-32.1 - EX-32.1 - ProShares Trust II	d786461dex321.htm
EX-32.2 - EX-32.2 - ProShares Trust II	d786461dex322.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

for the quarterly period ended September 30, 2014.

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

for the transition period from to .

Commission file number: 001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

Delaware

87-6284802

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip code)

(240) 497-6400

(Registrant’s telephone number, including area code)

N/A

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

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

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

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

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

PROSHARES TRUST II

Table of Contents


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

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		154

Item 3. Quantitative and Qualitative Disclosures About Market Risk.		213

Item 4. Controls and Procedures.		231

Part II. OTHER INFORMATION
Item 1. Legal Proceedings.		232

Item 1A. Risk Factors.		232

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		236

Item 3. Defaults Upon Senior Securities.		240

Item 4. Mine Safety Disclosures.		240

Item 5. Other Information.		240

Item 6. Exhibits.		240

Part I. FINANCIAL INFORMATION

Item 1.

Condensed Financial Statements.

Index


Documents	Page
Statements of Financial Condition, Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity and Statements of Cash Flows:
ProShares UltraShort Bloomberg Commodity		2
ProShares UltraShort Bloomberg Crude Oil		7
ProShares UltraShort Bloomberg Natural Gas		12
ProShares UltraShort Gold		17
ProShares UltraShort Silver		22
ProShares Short Euro		27
ProShares UltraShort Australian Dollar		32
ProShares UltraShort Euro		37
ProShares UltraShort Yen		42
ProShares Ultra Bloomberg Commodity		47
ProShares Ultra Bloomberg Crude Oil		52
ProShares Ultra Bloomberg 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 Managed Futures Strategy		87
ProShares VIX Short-Term Futures ETF		88
ProShares VIX Mid-Term Futures ETF		93
ProShares Ultra VIX Short-Term Futures ETF		98
ProShares Short VIX Short-Term Futures ETF		103
ProShares Trust II		108
Notes to Financial Statements		112

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	578,943	$	374,245
Short-term U.S. government and agency obligations (Note 3) (cost $3,221,884 and $3,453,851, respectively)		3,221,933		3,453,890
Unrealized appreciation on swap agreements		351,391		—

Total assets		4,152,267		3,828,135

Liabilities and shareholders’ equity
Liabilities
Management fee payable		3,083		3,043
Unrealized depreciation on swap agreements		—		27,665

Total liabilities		3,083		30,708

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		4,149,184		3,797,427

Total liabilities and shareholders’ equity	$	4,152,267	$	3,828,135

Shares outstanding		59,997		59,997

Net asset value per share	$	69.16	$	63.29

Market value per share (Note 2)	$	67.85	$	58.41

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(78% of shareholders’ equity)
U.S. Treasury Bills:
0.037% due 10/23/14†	$	621,000	$	620,992
0.036% due 11/13/14†		1,478,000		1,477,974
0.028% due 12/04/14		246,000		245,993
0.015% due 12/11/14†		877,000		876,974

Total short-term U.S. government and agency obligations (cost $3,221,884)			$	3,221,933

Swap Agreements^


	Rate Paid (Received)			Termination Date		Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index		0.25	%		10/06/14	$	(3,142,104	)	$	138,092
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index		0.25			10/06/14		(3,692,948	)		151,279
Swap agreement with UBS AG based on Bloomberg Commodity Index		0.60			10/06/14		(1,467,635	)		62,020

									$	351,391

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

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

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	295		$	416		$	947		$	1,651

Expenses
Management fee		8,827			8,866			24,737			24,901

Total expenses		8,827			8,866			24,737			24,901

Net investment income (loss)		(8,532	)		(8,450	)		(23,790	)		(23,250	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		502,112			13,664			(3,522	)		472,331
Short-term U.S. government and agency obligations		3			22			3			24

Net realized gain (loss)		502,115			13,686			(3,519	)		472,355

Change in net unrealized appreciation/depreciation on
Swap agreements		401,110			(212,120	)		379,056			51,626
Short-term U.S. government and agency obligations		75			91			10			(268	)

Change in net unrealized appreciation/depreciation		401,185			(212,029	)		379,066			51,358

Net realized and unrealized gain (loss)		903,300			(198,343	)		375,547			523,713

Net income (loss)	$	894,768		$	(206,793	)	$	351,757		$	500,463

Net income (loss) per weighted-average share	$	14.91		$	(3.45	)	$	5.86		$	8.34

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Net investment income (loss)		(23,790	)
Net realized gain (loss)		(3,519	)
Change in net unrealized appreciation/depreciation		379,066

Net income (loss)		351,757

Shareholders’ equity, at September 30, 2014	$	4,149,184

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	351,757		$	500,463
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		231,967			(393,331	)
Change in unrealized appreciation/depreciation on investments		(379,066	)		(51,358	)
Increase (Decrease) in management fee payable		40			276

Net cash provided by (used in) operating activities		204,698			56,050

Net increase (decrease) in cash		204,698			56,050
Cash, beginning of period		374,245			296,119

Cash, end of period	$	578,943		$	352,169

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	1,380,259	$	1,872,915
Segregated cash balances with brokers for futures contracts		5,449,950		7,633,395
Short-term U.S. government and agency obligations (Note 3) (cost $182,779,226 and $247,573,678, respectively)		182,780,326		247,584,623
Unrealized appreciation on swap agreements		1,336,940		—
Receivable on open futures contracts		5,351,442		1,503,943

Total assets		196,298,917		258,594,876

Liabilities and shareholders’ equity
Liabilities
Management fee payable		158,854		201,827
Unrealized depreciation on swap agreements		—		2,332,900

Total liabilities		158,854		2,534,727

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		196,140,063		256,060,149

Total liabilities and shareholders’ equity	$	196,298,917	$	258,594,876

Shares outstanding		6,369,944		8,069,944

Net asset value per share	$	30.79	$	31.73

Market value per share (Note 2)	$	30.60	$	31.58

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(93% of shareholders’ equity)
U.S. Treasury Bills:
0.037% due 10/23/14†	$	9,098,000	$	9,097,889
0.030% due 11/06/14		1,635,000		1,634,967
0.024% due 11/13/14		21,111,000		21,110,622
0.027% due 11/20/14†		28,254,000		28,253,412
0.026% due 11/28/14		10,061,000		10,060,757
0.028% due 12/04/14		3,377,000		3,376,910
0.031% due 12/11/14†		35,189,000		35,187,959
0.010% due 12/18/14†		13,303,000		13,302,424
0.051% due 01/08/15†		7,520,000		7,519,586
0.016% due 02/12/15†		43,184,000		43,180,785
0.006% due 02/19/15†		10,056,000		10,055,015

Total short-term U.S. government and agency obligations (cost $182,779,226)			$	182,780,326

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil – NYMEX, expires November 2014		1,835	$	167,278,600	$	6,498,525

Swap Agreements^


	Rate Paid (Received)			Termination Date		Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Subindex		0.25	%		10/06/14	$	(62,351,907	)	$	386,649
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25			10/06/14		(69,441,497	)		119,484
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25			10/06/14		(23,563,233	)		263,194
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25			10/06/14		(69,653,790	)		567,613

									$	1,336,940

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

††	Cash collateral in the amount of $5,449,950 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

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

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	24,612		$	34,116		$	100,900		$	82,626

Expenses
Management fee		648,492			1,047,511			2,113,748			1,830,070
Brokerage commissions		15,423			23,477			55,085			49,006

Total expenses		663,915			1,070,988			2,168,833			1,879,076

Net investment income (loss)		(639,303	)		(1,036,872	)		(2,067,933	)		(1,796,450	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		18,002,176			(25,209,929	)		(5,265,003	)		(28,442,320	)
Swap agreements		24,547,568			(60,974,182	)		3,969,738			(62,841,295	)
Short-term U.S. government and agency obligations		6,685			3,458			17,002			11,757

Net realized gain (loss)		42,556,429			(86,180,653	)		(1,278,263	)		(91,271,858	)

Change in net unrealized appreciation/depreciation on
Futures contracts		11,667,166			9,595,093			7,731,298			12,746,317
Swap agreements		17,442,092			35,068,228			3,669,840			40,295,267
Short-term U.S. government and agency obligations		(1,209	)		11,054			(9,845	)		8,033

Change in net unrealized appreciation/depreciation		29,108,049			44,674,375			11,391,293			53,049,617

Net realized and unrealized gain (loss)		71,664,478			(41,506,278	)		10,113,030			(38,222,241	)

Net income (loss)	$	71,025,175		$	(42,543,150	)	$	8,045,097		$	(40,018,691	)

Net income (loss) per weighted-average share	$	7.27		$	(2.84	)	$	0.76		$	(5.04	)

Weighted-average shares outstanding		9,770,487			14,997,661			10,591,189			7,941,189

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	256,060,149
Addition of 14,850,000 shares		421,186,839
Redemption of 16,550,000 shares		(489,152,022	)

Net addition (redemption) of (1,700,000) shares		(67,965,183	)

Net investment income (loss)		(2,067,933	)
Net realized gain (loss)		(1,278,263	)
Change in net unrealized appreciation/depreciation		11,391,293

Net income (loss)		8,045,097

Shareholders’ equity, at September 30, 2014	$	196,140,063

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	8,045,097		$	(40,018,691	)
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		2,183,445			(12,641,916	)
Net sale (purchase) of short-term U.S. government and agency obligations		64,794,452			(331,957,513	)
Change in unrealized appreciation/depreciation on investments		(3,659,995	)		(40,303,300	)
Decrease (Increase) in receivable on futures contracts		(3,847,499	)		(2,100,651	)
Increase (Decrease) in management fee payable		(42,973	)		297,353
Increase (Decrease) in payable on futures contracts		—			(979,336	)

Net cash provided by (used in) operating activities		67,472,527			(427,704,054	)

Cash flow from financing activities
Proceeds from addition of shares		421,186,839			738,193,314
Payment on shares redeemed		(489,152,022	)		(307,981,814	)

Net cash provided by (used in) financing activities		(67,965,183	)		430,211,500

Net increase (decrease) in cash		(492,656	)		2,507,446
Cash, beginning of period		1,872,915			658,676

Cash, end of period	$	1,380,259		$	3,166,122

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	497,588	$	564,647
Segregated cash balances with brokers for futures contracts		2,846,855		2,384,800
Short-term U.S. government and agency obligations (Note 3) (cost $16,113,388 and $18,274,602, respectively)		16,113,481		18,274,713
Receivable on open futures contracts		242,198		1,520,548

Total assets		19,700,122		22,744,708

Liabilities and shareholders’ equity
Liabilities
Management fee payable		17,102		9,941

Total liabilities		17,102		9,941

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		19,683,020		22,734,767

Total liabilities and shareholders’ equity	$	19,700,122	$	22,744,708

Shares outstanding		424,952		324,952

Net asset value per share	$	46.32	$	69.96

Market value per share (Note 2)	$	46.48	$	69.36

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(82% of shareholders’ equity)
U.S. Treasury Bills:
0.020% due 10/23/14	$	1,872,000	$	1,871,977
0.037% due 11/06/14		3,708,000		3,707,926
0.022% due 11/13/14		4,966,000		4,965,911
0.045% due 11/20/14		2,619,000		2,618,945
0.013% due 12/11/14		150,000		149,996
0.014% due 02/19/15		2,799,000		2,798,726

Total short-term U.S. government and agency obligations (cost $16,113,388)			$	16,113,481

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas – NYMEX, expires November 2014		955	$	39,355,550$		(1,869,686	)

††	Cash collateral in the amount of $2,846,855 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	2,392		$	1,267		$	15,332		$	7,217

Expenses
Management fee		73,623			40,159			352,678			137,353
Brokerage commissions		14,788			9,143			76,540			36,055

Total expenses		88,411			49,302			429,218			173,408

Net investment income (loss)		(86,019	)		(48,035	)		(413,886	)		(166,191	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		13,918,036			2,862,705			2,732,493			254,565
Short-term U.S. government and agency obligations		752			418			5,189			1,419

Net realized gain (loss)		13,918,788			2,863,123			2,737,682			255,984

Change in net unrealized appreciation/depreciation on
Futures contracts		(4,337,530	)		(1,862,190	)		(2,911,986	)		58,149
Short-term U.S. government and agency obligations		519			648			(18	)		(343	)

Change in net unrealized appreciation/depreciation		(4,337,011	)		(1,861,542	)		(2,912,004	)		57,806

Net realized and unrealized gain (loss)		9,581,777			1,001,581			(174,322	)		313,790

Net income (loss)	$	9,495,758		$	953,546		$	(588,208	)	$	147,599

Net income (loss) per weighted-average share	$	15.21		$	4.97		$	(0.51	)	$	0.60

Weighted-average shares outstanding		624,408			191,799			1,154,439			244,171

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 2,400,000 shares		100,908,495
Redemption of 2,300,000 shares		(103,372,034	)

Net addition (redemption) of 100,000 shares		(2,463,539	)


Net investment income (loss)		(413,886	)
Net realized gain (loss)		2,737,682
Change in net unrealized appreciation/depreciation		(2,912,004	)

Net income (loss)		(588,208	)


Shareholders’ equity, at September 30, 2014	$	19,683,020

See accompanying notes to financial statements.

PROSHARES ULTRASHORT BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	(588,208	)	$	147,599
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		(462,055	)		(286,280	)
Net sale (purchase) of short-term U.S. government and agency obligations		2,161,214			(3,616,197	)
Change in unrealized appreciation/depreciation on investments		18			343
Decrease (Increase) in receivable on futures contracts		1,278,350			587,465
Increase (Decrease) in management fee payable		7,161			35

Net cash provided by (used in) operating activities		2,396,480			(3,167,035	)

Cash flow from financing activities
Proceeds from addition of shares		100,908,495			30,364,906
Payment on shares redeemed		(103,372,034	)		(27,245,818	)

Net cash provided by (used in) financing activities		(2,463,539	)		3,119,088

Net increase (decrease) in cash		(67,059	)		(47,947	)
Cash, beginning of period		564,647			310,060

Cash, end of period	$	497,588		$	262,113

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	154,221	$	197,647
Segregated cash balances with brokers for futures contracts		10,120		15,950
Short-term U.S. government and agency obligations (Note 3) (cost $76,390,490 and $148,987,995, respectively)		76,390,633		148,988,329
Unrealized appreciation on forward agreements		5,603,080		5,633,053
Receivable on open futures contracts		760		300

Total assets		82,158,814		154,835,279

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		15,275,004
Management fee payable		62,905		123,819

Total liabilities		62,905		15,398,823

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		82,095,909		139,436,456

Total liabilities and shareholders’ equity	$	82,158,814	$	154,835,279

Shares outstanding		846,978		1,346,978

Net asset value per share	$	96.93	$	103.52

Market value per share (Note 2)	$	98.24	$	103.53

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(93% of shareholders’ equity)
U.S. Treasury Bills:
0.003% due 10/23/14	$	10,214,000	$	10,213,875
0.036% due 11/13/14†		2,641,000		2,640,953
0.019% due 11/20/14†		8,719,000		8,718,818
0.012% due 11/28/14†		2,335,000		2,334,944
0.028% due 12/04/14†		30,068,000		30,067,198
0.010% due 12/18/14†		2,714,000		2,713,882
0.051% due 01/08/15†		995,000		994,945
0.017% due 02/19/15†		13,894,000		13,892,640
0.023% due 03/05/15		4,814,000		4,813,378

Total short-term U.S. government and agency obligations (cost $76,390,490)			$	76,390,633

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures – COMEX, expires December 2014		2	$	242,320	$	19,400

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		0.17	%	10/06/14	$	(68,000	)	$	(82,724,040	)	$	2,934,951
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		0.27		10/06/14		(26,998	)		(32,843,877	)		1,104,499
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		0.37		10/06/14		(13,700	)		(16,666,461	)		566,668
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		0.27		10/06/14		(26,050	)		(31,690,607	)		996,962

											$	5,603,080

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

††	Cash collateral in the amount of $10,120 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

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

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	7,015		$	13,065		$	34,960		$	48,373

Expenses
Management fee		192,878			296,972			689,861			892,226
Brokerage commissions		8			8			32			32

Total expenses		192,886			296,980			689,893			892,258

Net investment income (loss)		(185,871	)		(283,915	)		(654,933	)		(843,885	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(1,900	)		30,380			(6,330	)		95,800
Forward agreements		(4,374,364	)		5,990,767			(12,644,226	)		39,666,864
Short-term U.S. government and agency obligations		843			2,788			3,054			3,993

Net realized gain (loss)		(4,375,421	)		6,023,935			(12,647,502	)		39,766,657

Change in net unrealized appreciation/depreciation on
Futures contracts		24,240			(50,640	)		4,880			(24,640	)
Forward agreements		16,186,588			(44,003,240	)		(29,973	)		4,052,594
Short-term U.S. government and agency obligations		(2,534	)		982			(191	)		(1,045	)

Change in net unrealized appreciation/depreciation		16,208,294			(44,052,898	)		(25,284	)		4,026,909

Net realized and unrealized gain (loss)		11,832,873			(38,028,963	)		(12,672,786	)		43,793,566

Net income (loss)	$	11,647,002		$	(38,312,878	)	$	(13,327,719	)	$	42,949,681

Net income (loss) per weighted-average share	$	12.68		$	(27.99	)	$	(12.16	)	$	27.46

Weighted-average shares outstanding		918,717			1,368,717			1,096,428			1,564,194

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 450,000 shares		41,642,791
Redemption of 950,000 shares		(85,655,619	)

Net addition (redemption) of (500,000) shares		(44,012,828	)

Net investment income (loss)		(654,933	)
Net realized gain (loss)		(12,647,502	)
Change in net unrealized appreciation/depreciation		(25,284	)

Net income (loss)		(13,327,719	)

Shareholders’ equity, at September 30, 2014	$	82,095,909

See accompanying notes to financial statements.

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	(13,327,719	)	$	42,949,681
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		5,830			(2,750	)
Net sale (purchase) of short-term U.S. government and agency obligations		72,597,505			(48,555,554	)
Change in unrealized appreciation/depreciation on investments		30,164			(4,051,549	)
Decrease (Increase) in receivable on futures contracts		(460	)		(2,440	)
Increase (Decrease) in management fee payable		(60,914	)		17,818
Increase (Decrease) in payable on futures contracts		—			(3,980	)

Net cash provided by (used in) operating activities		59,244,406			(9,648,774	)

Cash flow from financing activities
Proceeds from addition of shares		41,642,791			148,082,137
Payment on shares redeemed		(100,930,623	)		(138,335,150	)

Net cash provided by (used in) financing activities		(59,287,832	)		9,746,987

Net increase (decrease) in cash		(43,426	)		98,213
Cash, beginning of period		197,647			175,194

Cash, end of period	$	154,221		$	273,407

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	194,542	$	461,167
Segregated cash balances with brokers for futures contracts		7,150		22,000
Short-term U.S. government and agency obligations (Note 3) (cost $47,308,329 and $114,822,672, respectively)		47,309,314		114,826,066
Unrealized appreciation on forward agreements		12,351,895		—
Receivable on open futures contracts		1,905		2,450

Total assets		59,864,806		115,311,683

Liabilities and shareholders’ equity
Liabilities
Management fee payable		44,006		94,140
Unrealized depreciation on forward agreements		—		2,227,857

Total liabilities		44,006		2,321,997

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		59,820,800		112,989,686

Total liabilities and shareholders’ equity	$	59,864,806	$	115,311,683

Shares outstanding		558,489		1,258,489

Net asset value per share	$	107.11	$	89.78

Market value per share (Note 2)	$	107.60	$	90.19

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(79% of shareholders’ equity)
U.S. Treasury Bills:
0.037% due 10/23/14	$	127,000	$	126,998
0.039% due 11/06/14		125,000		124,998
0.028% due 11/20/14†		7,862,000		7,861,836
0.027% due 11/28/14†		18,554,000		18,553,552
0.028% due 12/04/14†		1,500,000		1,499,960
0.025% due 12/11/14†		10,169,000		10,168,699
0.042% due 12/18/14†		1,968,000		1,967,915
0.051% due 01/08/15†		992,000		991,945
0.028% due 02/19/15†		6,014,000		6,013,411

Total short-term U.S. government and agency obligations (cost $47,308,329)			$	47,309,314

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures – COMEX, expires December 2014		1	$	85,285	$	14,690

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		(0.17	)%		10/06/14	$	(3,443,000	)	$	(58,914,206	)	$	6,311,898
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		0.05			10/06/14		(1,206,500	)		(20,644,422	)		2,281,378
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		0.14			10/06/14		(687,000	)		(11,755,257	)		1,430,359
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		0.07			10/06/14		(1,650,000	)		(28,233,315	)		2,328,260

												$	12,351,895

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

††	Cash collateral in the amount of $7,150 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

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

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	5,567		$	8,580		$	26,362		$	47,626

Expenses
Management fee		134,847			219,042			479,955			759,657
Brokerage commissions		9			8			33			32

Total expenses		134,856			219,050			479,988			759,689

Net investment income (loss)		(129,289	)		(210,470	)		(453,626	)		(712,063	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(4,375	)		3,700			10,875			129,440
Forward agreements		(1,119,039	)		5,999,781			(1,293,578	)		86,693,880
Short-term U.S. government and agency obligations		1,921			4,502			3,931			7,599

Net realized gain (loss)		(1,121,493	)		6,007,983			(1,278,772	)		86,830,919

Change in net unrealized appreciation/depreciation on
Futures contracts		31,600			(25,580	)		490			(42,200	)
Forward agreements		22,915,108			(32,063,071	)		14,579,752			(10,224,571	)
Short-term U.S. government and agency obligations		(505	)		3,530			(2,409	)		(4,698	)

Change in net unrealized appreciation/depreciation		22,946,203			(32,085,121	)		14,577,833			(10,271,469	)

Net realized and unrealized gain (loss)		21,824,710			(26,077,138	)		13,299,061			76,559,450

Net income (loss)	$	21,695,421		$	(26,287,608	)	$	12,845,435		$	75,847,387

Net income (loss) per weighted-average share	$	31.25		$	(23.75	)	$	15.59		$	46.96

Weighted-average shares outstanding		694,358			1,106,858			824,057			1,615,265

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 800,000 shares		61,660,743
Redemption of 1,500,000 shares		(127,675,064	)

Net addition (redemption) of (700,000) shares		(66,014,321	)


Net investment income (loss)		(453,626	)
Net realized gain (loss)		(1,278,772	)
Change in net unrealized appreciation/depreciation		14,577,833

Net income (loss)		12,845,435

Shareholders’ equity, at September 30, 2014	$	59,820,800

See accompanying notes to financial statements.

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	12,845,435		$	75,847,387
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		14,850			(550	)
Net sale (purchase) of short-term U.S. government and agency obligations		67,514,343			(19,846,952	)
Change in unrealized appreciation/depreciation on investments		(14,577,343	)		10,229,269
Decrease (Increase) in receivable on futures contracts		545			(580	)
Increase (Decrease) in management fee payable		(50,134	)		(924	)
Increase (Decrease) in payable on futures contracts		—			(2,520	)

Net cash provided by (used in) operating activities		65,747,696			66,225,130

Cash flow from financing activities
Proceeds from addition of shares		61,660,743			220,175,462
Payment on shares redeemed		(127,675,064	)		(286,316,592	)

Net cash provided by (used in) financing activities		(66,014,321	)		(66,141,130	)

Net increase (decrease) in cash		(266,625	)		84,000
Cash, beginning of period		461,167			344,378

Cash, end of period	$	194,542		$	428,378

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	1,913,477	$	863,980
Segregated cash balances with brokers for futures contracts		242,000		128,700
Short-term U.S. government and agency obligations (Note 3) (cost $15,108,007 and $7,901,405, respectively)		15,108,184		7,902,056
Receivable on open futures contracts		86,385		9,100

Total assets		17,350,046		8,903,836

Liabilities and shareholders’ equity
Liabilities
Management fee payable		13,257		6,994

Total liabilities		13,257		6,994

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		17,336,789		8,896,842

Total liabilities and shareholders’ equity	$	17,350,046	$	8,903,836

Shares outstanding		450,005		250,005

Net asset value per share	$	38.53	$	35.59

Market value per share (Note 2)	$	38.50	$	35.66

See accompanying notes to financial statements.

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(87% of shareholders’ equity)
U.S. Treasury Bills:
0.003% due 10/23/14	$	1,686,000	$	1,685,979
0.039% due 11/06/14		103,000		102,998
0.031% due 11/13/14		2,120,000		2,119,962
0.045% due 11/20/14		1,799,000		1,798,963
0.015% due 12/11/14		2,966,000		2,965,912
0.028% due 02/19/15		6,435,000		6,434,370

Total short-term U.S. government and agency obligations (cost $15,108,007)			$	15,108,184

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Euro Fx Currency Futures – CME, expires December 2014		110	$	17,373,125	$	430,669

††	Cash collateral in the amount of $242,000 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	1,279		$	338		$	3,684		$	1,363

Expenses
Management fee		38,144			16,080			83,705			16,573
Brokerage commissions		564			287			1,262			517
Offering costs		—			—			—			45,511
Limitation by Sponsor		—			—			—			(28,232	)

Total expenses		38,708			16,367			84,967			34,369

Net investment income (loss)		(37,429	)		(16,029	)		(81,283	)		(33,006	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		767,314			(39,024	)		925,848			(114,962	)
Short-term U.S. government and agency obligations		—			15			258			162

Net realized gain (loss)		767,314			(39,009	)		926,106			(114,800	)

Change in net unrealized appreciation/depreciation on
Futures contracts		541,828			(208,707	)		463,900			(86,038	)
Short-term U.S. government and agency obligations		(150	)		(93	)		(474	)		(200	)

Change in net unrealized appreciation/depreciation		541,678			(208,800	)		463,426			(86,238	)

Net realized and unrealized gain (loss)		1,308,992			(247,809	)		1,389,532			(201,038	)

Net income (loss)	$	1,271,563		$	(263,838	)	$	1,308,249		$	(234,044	)

Net income (loss) per weighted-average share	$	2.94		$	(1.46	)	$	4.02		$	(1.84	)

Weighted-average shares outstanding		433,157			180,983			325,646			127,294

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 250,000 shares		8,924,282
Redemption of 50,000 shares		(1,792,584	)

Net addition (redemption) of 200,000 shares		7,131,698

Net investment income (loss)		(81,283	)
Net realized gain (loss)		926,106
Change in net unrealized appreciation/depreciation		463,426

Net income (loss)		1,308,249

Shareholders’ equity, at September 30, 2014	$	17,336,789

See accompanying notes to financial statements.

PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	1,308,249		$	(234,044	)
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		(113,300	)		(55,000	)
Net sale (purchase) of short-term U.S. government and agency obligations		(7,206,602	)		(3,257,086	)
Change in unrealized appreciation/depreciation on investments		474			200
Decrease (Increase) in receivable on futures contracts		(77,285	)		6,612
Decrease (Increase) in Limitation by Sponsor		—			2,145
Change in offering cost		—			19,770
Increase (Decrease) in management fee payable		6,263			5,758
Increase (Decrease) in payable on futures contracts		—			3,225
Increase (Decrease) in payable for offering costs		—			(41,000	)

Net cash provided by (used in) operating activities		(6,082,201	)		(3,549,420	)

Cash flow from financing activities
Proceeds from addition of shares		8,924,282			3,748,394
Payment on shares redeemed		(1,792,584	)		—

Net cash provided by (used in) financing activities		7,131,698			3,748,394

Net increase (decrease) in cash		1,049,497			198,974
Cash, beginning of period		863,980			302,359

Cash, end of period	$	1,913,477		$	501,333

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	2,579,656	$	2,751,320
Segregated cash balances with brokers for futures contracts		676,390		1,141,635
Short-term U.S. government and agency obligations (Note 3) (cost $17,489,224 and $24,197,046, respectively)		17,488,683		24,198,507

Total assets		20,744,729		28,091,462

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		83,164		86,166
Management fee payable		16,291		22,017

Total liabilities		99,455		108,183

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		20,645,274		27,983,279

Total liabilities and shareholders’ equity	$	20,744,729	$	28,091,462

Shares outstanding		450,005		600,005

Net asset value per share	$	45.88	$	46.64

Market value per share (Note 2)	$	45.82	$	46.66

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (85% of shareholders’ equity)
U.S. Treasury Bills:
0.035% due 10/23/14	$	2,907,000	$	2,906,964
0.026% due 11/13/14		161,000		160,997
0.048% due 12/11/14		1,962,000		1,961,942
0.011% due 02/19/15		12,460,000		12,458,780

Total short-term U.S. government and agency obligations (cost $17,489,224)			$	17,488,683

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Australian Dollar Fx Currency Futures – CME, expires December 2014		473	$	41,136,810	$	1,886,600

††	Cash collateral in the amount of $676,390 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	1,375		$	1,790		$	7,366		$	3,399

Expenses
Management fee		49,101			47,611			157,466			47,611
Brokerage commissions		2,854			4,057			9,220			7,836
Offering costs		—			2,926			—			47,870
Limitation by Sponsor		—			—			—			(1,259	)
Reduction in Limitation by Sponsor		—			6,817			—			—

Total expenses		51,955			61,411			166,686			102,058

Net investment income (loss)		(50,580	)		(59,621	)		(159,320	)		(98,659	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		549,795			389,254			(1,375,743	)		2,294,351
Short-term U.S. government and agency obligations		5			156			492			317

Net realized gain (loss)		549,800			389,410			(1,375,251	)		2,294,668

Change in net unrealized appreciation/depreciation on
Futures contracts		2,249,440			(1,865,253	)		968,995			(552,202	)
Short-term U.S. government and agency obligations		(523	)		535			(2,002	)		309

Change in net unrealized appreciation/depreciation		2,248,917			(1,864,718	)		966,993			(551,893	)

Net realized and unrealized gain (loss)		2,798,717			(1,475,308	)		(408,258	)		1,742,775

Net income (loss)	$	2,748,137		$	(1,534,929	)	$	(567,578	)	$	1,644,116

Net income (loss) per weighted-average share	$	5.54		$	(2.94	)	$	(1.10	)	$	5.43

Weighted-average shares outstanding		495,657			522,831			515,573			302,935

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Redemption of 150,000 shares		(6,770,427	)

Net investment income (loss)		(159,320	)
Net realized gain (loss)		(1,375,251	)
Change in net unrealized appreciation/depreciation		966,993

Net income (loss)		(567,578	)

Shareholders’ equity, at September 30, 2014	$	20,645,274

See accompanying notes to financial statements.

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	(567,578	)	$	1,644,116
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		465,245			(900,207	)
Net sale (purchase) of short-term U.S. government and agency obligations		6,707,822			(18,712,921	)
Change in unrealized appreciation/depreciation on investments		2,002			(309	)
Decrease (Increase) in Limitation by Sponsor		—			2,216
Change in offering cost		—			22,129
Increase (Decrease) in management fee payable		(5,726	)		19,068
Increase (Decrease) in payable on futures contracts		(3,002	)		25,380
Increase (Decrease) in payable for offering costs		—			(41,000	)

Net cash provided by (used in) operating activities		6,598,763			(17,941,528	)

Cash flow from financing activities
Proceeds from addition of shares		—			18,553,112
Payment on shares redeemed		(6,770,427	)		—

Net cash provided by (used in) financing activities		(6,770,427	)		18,553,112

Net increase (decrease) in cash		(171,664	)		611,584
Cash, beginning of period		2,751,320			361,157

Cash, end of period	$	2,579,656		$	972,741

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	220,494	$	218,940
Short-term U.S. government and agency obligations (Note 3) (cost $441,228,657 and $437,821,545, respectively)		441,230,341		437,847,159
Unrealized appreciation on foreign currency forward contracts		39,102,543		151,351

Total assets		480,553,378		438,217,450

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		5,992,470		5,971,084
Management fee payable		373,176		345,393
Unrealized depreciation on foreign currency forward contracts		1,779,484		13,899,858

Total liabilities		8,145,130		20,216,335

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		472,408,248		418,001,115

Total liabilities and shareholders’ equity	$	480,553,378	$	438,217,450

Shares outstanding		23,650,014		24,500,014

Net asset value per share	$	19.97	$	17.06

Market value per share (Note 2)	$	19.96	$	17.06

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (93% of shareholders’ equity)
U.S. Treasury Bills:
0.029% due 10/09/14†	$	55,284,000	$	55,283,816
0.031% due 10/23/14†		91,411,000		91,409,883
0.031% due 11/06/14†		9,119,000		9,118,818
0.040% due 11/13/14†		2,717,000		2,716,951
0.021% due 12/04/14		57,364,000		57,362,470
0.031% due 12/11/14†		12,157,000		12,156,640
0.019% due 12/18/14†		213,191,000		213,181,763

Total short-term U.S. government and agency obligations (cost $441,228,657)			$	441,230,341

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		10/03/14		50,953,400		$	64,354,521		$	(1,279,781	)
Euro with UBS AG		10/03/14		16,358,400			20,660,780			(499,703	)

									$	(1,779,484	)

Contracts to Sell
Euro with Goldman Sachs International		10/03/14		(407,363,625	)	$	(514,503,272	)	$	19,230,460
Euro with UBS AG		10/03/14		(408,335,300	)		(515,730,505	)		19,872,083

									$	39,102,543

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

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	41,636		$	39,032		$	170,287		$	179,135

Expenses
Management fee		1,111,745			1,169,113			3,090,163			3,553,447

Total expenses		1,111,745			1,169,113			3,090,163			3,553,447

Net investment income (loss)		(1,070,109	)		(1,130,081	)		(2,919,876	)		(3,374,312	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		32,039,809			(8,625,860	)		25,744,724			(19,722,590	)
Short-term U.S. government and agency obligations		2,005			2,718			4,490			7,137

Net realized gain (loss)		32,041,814			(8,623,142	)		25,749,214			(19,715,453	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		42,910,400			(30,678,790	)		51,071,566			(12,784,494	)
Short-term U.S. government and agency obligations		(9,136	)		17,665			(23,930	)		(5,930	)

Change in net unrealized appreciation/depreciation		42,901,264			(30,661,125	)		51,047,636			(12,790,424	)

Net realized and unrealized gain (loss)		74,943,078			(39,284,267	)		76,796,850			(32,505,877	)

Net income (loss)	$	73,872,969		$	(40,414,348	)	$	73,876,974		$	(35,880,189	)

Net income (loss) per weighted-average share	$	2.89		$	(1.53	)	$	2.97		$	(1.36	)

Weighted-average shares outstanding		25,554,362			26,331,536			24,893,054			26,459,721

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 2,550,000 shares		43,961,622
Redemption of 3,400,000 shares		(63,431,463	)

Net addition (redemption) of (850,000) shares		(19,469,841	)

Net investment income (loss)		(2,919,876	)
Net realized gain (loss)		25,749,214
Change in net unrealized appreciation/depreciation		51,047,636

Net income (loss)		73,876,974

Shareholders’ equity, at September 30, 2014	$	472,408,248

See accompanying notes to financial statements.

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	73,876,974		$	(35,880,189	)
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		(3,407,112	)		70,603,634
Change in unrealized appreciation/depreciation on investments		(51,047,636	)		12,790,424
Increase (Decrease) in management fee payable		27,783			(129,118	)

Net cash provided by (used in) operating activities		19,450,009			47,384,751

Cash flow from financing activities
Proceeds from addition of shares		43,961,622			119,076,233
Payment on shares redeemed		(63,410,077	)		(166,496,235	)

Net cash provided by (used in) financing activities		(19,448,455	)		(47,420,002	)

Net increase (decrease) in cash		1,554			(35,251	)
Cash, beginning of period		218,940			276,372

Cash, end of period	$	220,494		$	241,121

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	392,331	$	575,108
Short-term U.S. government and agency obligations (Note 3) (cost $388,924,889 and $558,563,134, respectively)		388,927,061		558,597,264
Unrealized appreciation on foreign currency forward contracts		35,860,499		31,317,568
Receivable from capital shares sold		11,362,409		—

Total assets		436,542,300		590,489,940

Liabilities and shareholders’ equity
Liabilities
Management fee payable		312,392		437,540
Unrealized depreciation on foreign currency forward contracts		729,246		1,930,884

Total liabilities		1,041,638		2,368,424

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		435,500,662		588,121,516

Total liabilities and shareholders’ equity	$	436,542,300	$	590,489,940

Shares outstanding		5,749,294		8,299,294

Net asset value per share	$	75.75	$	70.86

Market value per share (Note 2)	$	75.76	$	70.91

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
U.S. Treasury Bills:
0.029% due 10/09/14†	$	10,101,000	$	10,100,966
0.005% due 10/23/14		94,854,000		94,852,841
0.048% due 11/06/14		2,720,000		2,719,946
0.045% due 11/13/14†		9,846,000		9,845,824
0.045% due 11/20/14†		56,683,000		56,681,819
0.028% due 12/04/14		7,291,000		7,290,806
0.030% due 12/11/14†		68,375,000		68,372,977
0.013% due 12/18/14†		18,342,000		18,341,205
0.016% due 02/12/15†		41,521,000		41,517,909
0.027% due 03/05/15†		79,213,000		79,202,768

Total short-term U.S. government and agency obligations (cost $388,924,889)			$	388,927,061

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		10/03/14		2,823,176,700		$	25,741,849		$	(549,891	)
Yen with UBS AG		10/03/14		2,754,478,000			25,115,452			(179,355	)

									$	(729,246	)

Contracts to Sell
Yen with Goldman Sachs International		10/03/14		(51,996,123,300	)	$	(474,102,939	)	$	17,729,988
Yen with UBS AG		10/03/14		(49,151,071,100	)		(448,161,628	)		18,130,511

									$	35,860,499

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

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	28,871		$	40,839		$	163,880		$	171,429

Expenses
Management fee		894,941			1,205,676			2,800,653			3,450,237

Total expenses		894,941			1,205,676			2,800,653			3,450,237

Net investment income (loss)		(866,070	)		(1,164,837	)		(2,636,773	)		(3,278,808	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		15,787,084			(5,693,424	)		15,952,890			139,331,278
Short-term U.S. government and agency obligations		994			1,031			12,611			5,849

Net realized gain (loss)		15,788,078			(5,692,393	)		15,965,501			139,337,127

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		44,778,863			(8,391,457	)		5,744,569			(50,633,718	)
Short-term U.S. government and agency obligations		8,059			(44	)		(31,958	)		(9,916	)

Change in net unrealized appreciation/depreciation		44,786,922			(8,391,501	)		5,712,611			(50,643,634	)

Net realized and unrealized gain (loss)		60,575,000			(14,083,894	)		21,678,112			88,693,493

Net income (loss)	$	59,708,930		$	(15,248,731	)	$	19,041,339		$	85,414,685

Net income (loss) per weighted-average share	$	10.90		$	(1.92	)	$	3.25		$	10.85

Weighted-average shares outstanding		5,478,642			7,957,990			5,862,481			7,874,019

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 1,350,000 shares		93,358,637
Redemption of 3,900,000 shares		(265,020,830	)

Net addition (redemption) of (2,550,000) shares		(171,662,193	)

Net investment income (loss)		(2,636,773	)
Net realized gain (loss)		15,965,501
Change in net unrealized appreciation/depreciation		5,712,611

Net income (loss)		19,041,339

Shareholders’ equity, at September 30, 2014	$	435,500,662

See accompanying notes to financial statements.

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	19,041,339		$	85,414,685
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		169,638,245			(112,971,096	)
Change in unrealized appreciation/depreciation on investments		(5,712,611	)		50,643,634
Increase (Decrease) in management fee payable		(125,148	)		107,034

Net cash provided by (used in) operating activities		182,841,825			23,194,257

Cash flow from financing activities
Proceeds from addition of shares		81,996,228			279,683,729
Payment on shares redeemed		(265,020,830	)		(302,766,273	)

Net cash provided by (used in) financing activities		(183,024,602	)		(23,082,544	)

Net increase (decrease) in cash		(182,777	)		111,713
Cash, beginning of period		575,108			363,826

Cash, end of period	$	392,331		$	475,539

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	109,433	$	85,642
Short-term U.S. government and agency obligations (Note 3) (cost $3,629,729 and $2,816,627, respectively)		3,629,825		2,816,688
Unrealized appreciation on swap agreements		—		15,078

Total assets		3,739,258		2,917,408

Liabilities and shareholders’ equity
Liabilities
Management fee payable		2,810		2,374
Unrealized depreciation on swap agreements		330,554		—

Total liabilities		333,364		2,374

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		3,405,894		2,915,034

Total liabilities and shareholders’ equity	$	3,739,258	$	2,917,408

Shares outstanding		200,014		150,014

Net asset value per share	$	17.03	$	19.43

Market value per share (Note 2)	$	17.06	$	19.13

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(107% of shareholders’ equity)
U.S. Treasury Bills:
0.003% due 10/23/14†	$	1,159,000	$	1,158,986
0.036% due 11/13/14†		487,000		486,991
0.051% due 01/08/15†		984,000		983,946
0.028% due 02/19/15		1,000,000		999,902

Total short-term U.S. government and agency obligations (cost $3,629,729)			$	3,629,825

Swap Agreements^


	Rate Paid (Received)			Termination Date		Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg Commodity Index		0.25	%		10/06/14	$	2,826,697	$	(135,580	)
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Index		0.25			10/06/14		3,040,456		(148,743	)
Swap agreement with UBS AG based on Bloomberg Commodity Index		0.60			10/06/14		938,766		(46,231	)

								$	(330,554	)

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

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

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	351		$	395		$	1,070		$	1,809

Expenses
Management fee		9,295			9,770			24,709			32,386

Total expenses		9,295			9,770			24,709			32,386

Net investment income (loss)		(8,944	)		(9,375	)		(23,639	)		(30,577	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(651,785	)		(85,078	)		(274,839	)		(868,053	)
Short-term U.S. government and agency obligations		19			11			19			41

Net realized gain (loss)		(651,766	)		(85,067	)		(274,820	)		(868,012	)

Change in net unrealized appreciation/depreciation on
Swap agreements		(339,598	)		233,903			(345,632	)		68,896
Short-term U.S. government and agency obligations		84			40			35			(77	)

Change in net unrealized appreciation/depreciation		(339,514	)		233,943			(345,597	)		68,819

Net realized and unrealized gain (loss)		(991,280	)		148,876			(620,417	)		(799,193	)

Net income (loss)	$	(1,000,224	)	$	139,501		$	(644,056	)	$	(829,770	)

Net income (loss) per weighted-average share	$	(5.00	)	$	0.70		$	(3.84	)	$	(4.03	)

Weighted-average shares outstanding		200,014			200,014			167,780			205,692

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 50,000 shares		1,134,916

Net investment income (loss)		(23,639	)
Net realized gain (loss)		(274,820	)
Change in net unrealized appreciation/depreciation		(345,597	)

Net income (loss)		(644,056	)

Shareholders’ equity, at September 30, 2014	$	3,405,894

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	(644,056	)	$	(829,770	)
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		(813,102	)		2,133,006
Change in unrealized appreciation/depreciation on investments		345,597			(68,819	)
Increase (Decrease) in management fee payable		436			(1,793	)

Net cash provided by (used in) operating activities		(1,111,125	)		1,232,624

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

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

Net increase (decrease) in cash		23,791			(42,989	)
Cash, beginning of period		85,642			167,546

Cash, end of period	$	109,433		$	124,557

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	2,546,720	$	689,596
Segregated cash balances with brokers for futures contracts		5,028,210		3,821,895
Short-term U.S. government and agency obligations (Note 3) (cost $183,289,538 and $137,423,179, respectively)		183,290,203		137,435,610
Unrealized appreciation on swap agreements		—		1,957,893

Total assets		190,865,133		143,904,994

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		4,516,554		—
Payable on open futures contracts		5,850,066		997,210
Management fee payable		147,123		134,355
Unrealized depreciation on swap agreements		1,175,472		—

Total liabilities		11,689,215		1,131,565

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		179,175,918		142,773,429

Total liabilities and shareholders’ equity	$	190,865,133	$	143,904,994

Shares outstanding		5,949,170		4,449,170

Net asset value per share	$	30.12	$	32.09

Market value per share (Note 2)	$	30.34	$	32.22

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(102% of shareholders’ equity)
U.S. Treasury Bills:
0.016% due 10/23/14	$	9,493,000	$	9,492,884
0.027% due 11/06/14		10,958,000		10,957,781
0.023% due 11/13/14		22,913,000		22,912,589
0.045% due 11/20/14		1,986,000		1,985,959
0.028% due 11/28/14		6,784,000		6,783,836
0.026% due 12/04/14†		4,500,000		4,499,880
0.025% due 12/11/14†		29,896,000		29,895,116
0.025% due 12/18/14†		31,535,000		31,533,634
0.051% due 01/08/15†		14,590,000		14,589,197
0.017% due 01/29/15		9,158,000		9,157,389
0.013% due 02/19/15†		41,486,000		41,481,938

Total short-term U.S. government and agency obligations (cost $183,289,538)			$	183,290,203

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil – NYMEX, expires November 2014		1,693	$	154,333,880	$	(6,067,155	)

Swap Agreements^


	Rate Paid (Received)			Termination Date	Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Deutsche Bank AG based on Bloomberg WTI Crude Oil Subindex		0.25	%	10/06/14	$	66,036,469	$	(299,424	)
Swap agreement with Goldman Sachs International based on Bloomberg WTI Crude Oil Subindex		0.25		10/06/14		52,389,330		(68,287	)
Swap agreement with Societe Generale S.A. based on Bloomberg WTI Crude Oil Subindex		0.25		10/06/14		24,059,224		(222,180	)
Swap agreement with UBS AG based on Bloomberg WTI Crude Oil Subindex		0.25		10/06/14		61,519,125		(585,581	)

							$	(1,175,472	)

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

††	Cash collateral in the amount of $5,028,210 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

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

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

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	11,935		$	13,828		$	44,923		$	115,731

Expenses
Management fee		333,837			391,381			908,339			1,902,343
Brokerage commissions		7,661			5,957			24,160			44,268

Total expenses		341,498			397,338			932,499			1,946,611

Net investment income (loss)		(329,563	)		(383,510	)		(887,576	)		(1,830,880	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(6,183,721	)		14,935,152			7,188,529			58,472,792
Swap agreements		(10,226,540	)		38,653,932			7,408,979			82,414,286
Short-term U.S. government and agency obligations		2,046			2,220			10,004			11,070

Net realized gain (loss)		(16,408,215	)		53,591,304			14,607,512			140,898,148

Change in net unrealized appreciation/depreciation on
Futures contracts		(7,190,259	)		(3,023,114	)		(6,693,816	)		(24,671,176	)
Swap agreements		(5,286,502	)		(15,181,493	)		(3,133,365	)		(44,328,639	)
Short-term U.S. government and agency obligations		(1,104	)		(157	)		(11,766	)		(16,190	)

Change in net unrealized appreciation/depreciation		(12,477,865	)		(18,204,764	)		(9,838,947	)		(69,016,005	)

Net realized and unrealized gain (loss)		(28,886,080	)		35,386,540			4,768,565			71,882,143

Net income (loss)	$	(29,215,643	)	$	35,003,030		$	3,880,989		$	70,051,263

Net income (loss) per weighted-average share	$	(6.90	)	$	7.77		$	1.01		$	8.11

Weighted-average shares outstanding		4,236,127			4,506,235			3,855,763			8,637,082

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 10,400,000 shares		326,129,425
Redemption of 8,900,000 shares		(293,607,925	)

Net addition (redemption) of 1,500,000 shares		32,521,500

Net investment income (loss)		(887,576	)
Net realized gain (loss)		14,607,512
Change in net unrealized appreciation/depreciation		(9,838,947	)

Net income (loss)		3,880,989

Shareholders’ equity, at September 30, 2014	$	179,175,918

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	3,880,989		$	70,051,263
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		(1,206,315	)		18,427,197
Net sale (purchase) of short-term U.S. government and agency obligations		(45,866,359	)		301,252,163
Change in unrealized appreciation/depreciation on investments		3,145,131			44,344,829
Decrease (Increase) in receivable on futures contracts		—			3,430,415
Increase (Decrease) in management fee payable		12,768			(292,552	)
Increase (Decrease) in payable on futures contracts		4,852,856			772,970

Net cash provided by (used in) operating activities		(35,180,930	)		437,986,285

Cash flow from financing activities
Proceeds from addition of shares		326,129,425			212,258,224
Payment on shares redeemed		(289,091,371	)		(651,758,235	)

Net cash provided by (used in) financing activities		37,038,054			(439,500,011	)

Net increase (decrease) in cash		1,857,124			(1,513,726	)
Cash, beginning of period		689,596			2,198,932

Cash, end of period	$	2,546,720		$	685,206

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	3,107,602	$	3,102,827
Segregated cash balances with brokers for futures contracts		10,057,894		6,602,200
Short-term U.S. government and agency obligations (Note 3) (cost $59,024,900 and $58,918,095, respectively)		59,025,434		58,921,011

Total assets		72,190,930		68,626,038

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		1,810,408		—
Payable on open futures contracts		803,837		5,628,532
Management fee payable		51,975		81,727

Total liabilities		2,666,220		5,710,259

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		69,524,710		62,915,779

Total liabilities and shareholders’ equity	$	72,190,930	$	68,626,038

Shares outstanding		1,919,941		1,619,941

Net asset value per share	$	36.21	$	38.84

Market value per share (Note 2)	$	36.20	$	39.28

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(85% of shareholders’ equity)
U.S. Treasury Bills:
0.020% due 10/23/14	$	10,567,000	$	10,566,871
0.035% due 11/06/14		8,839,000		8,838,823
0.028% due 11/13/14		2,225,000		2,224,960
0.006% due 11/20/14		1,429,000		1,428,970
0.012% due 11/28/14		3,290,000		3,289,921
0.028% due 12/04/14		1,351,000		1,350,964
0.022% due 12/11/14		6,789,000		6,788,799
0.010% due 12/18/14		2,183,000		2,182,905
0.051% due 01/08/15		9,348,000		9,347,486
0.011% due 01/29/15		2,761,000		2,760,816
0.015% due 02/19/15		7,744,000		7,743,242
0.023% due 03/05/15		2,502,000		2,501,677

Total short-term U.S. government and agency obligations (cost $59,024,900)			$	59,025,434

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas – NYMEX, expires November 2014		3,374	$	139,042,540	$	4,355,964

††	Cash collateral in the amount of $10,057,894 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	3,296		$	5,794		$	11,380		$	22,420

Expenses
Management fee		114,501			188,763			264,587			458,553
Brokerage commissions		17,003			31,168			44,280			87,565

Total expenses		131,504			219,931			308,867			546,118

Net investment income (loss)		(128,208	)		(214,137	)		(297,487	)		(523,698	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(7,087,097	)		(14,491,916	)		9,878,729			410,025
Short-term U.S. government and agency obligations		306			1,729			3,519			5,506

Net realized gain (loss)		(7,086,791	)		(14,490,187	)		9,882,248			415,531

Change in net unrealized appreciation/depreciation on
Futures contracts		5,766,729			9,380,633			8,012,503			7,251,345
Short-term U.S. government and agency obligations		479			2,201			(2,382	)		486

Change in net unrealized appreciation/depreciation		5,767,208			9,382,834			8,010,121			7,251,831

Net realized and unrealized gain (loss)		(1,319,583	)		(5,107,353	)		17,892,369			7,667,362

Net income (loss)	$	(1,447,791	)	$	(5,321,490	)	$	17,594,882		$	7,143,664

Net income (loss) per weighted-average share	$	(1.04	)	$	(2.33	)	$	19.02		$	4.27

Weighted-average shares outstanding		1,389,506			2,285,158			924,886			1,671,223

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 2,050,000 shares		75,528,011
Redemption of 1,750,000 shares		(86,513,962	)

Net addition (redemption) of 300,000 shares		(10,985,951	)

Net investment income (loss)		(297,487	)
Net realized gain (loss)		9,882,248
Change in net unrealized appreciation/depreciation		8,010,121

Net income (loss)		17,594,882

Shareholders’ equity, at September 30, 2014	$	69,524,710

See accompanying notes to financial statements.

PROSHARES ULTRA BLOOMBERG NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	17,594,882		$	7,143,664
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		(3,455,694	)		(1,958,120	)
Net sale (purchase) of short-term U.S. government and agency obligations		(106,805	)		(10,924,298	)
Change in unrealized appreciation/depreciation on investments		2,382			(486	)
Increase (Decrease) in management fee payable		(29,752	)		20,030
Increase (Decrease) in payable on futures contracts		(4,824,695	)		(2,892,640	)

Net cash provided by (used in) operating activities		9,180,318			(8,611,850	)

Cash flow from financing activities
Proceeds from addition of shares		75,528,011			129,408,077
Payment on shares redeemed		(84,703,554	)		(120,220,935	)

Net cash provided by (used in) financing activities		(9,175,543	)		9,187,142

Net increase (decrease) in cash		4,775			575,292
Cash, beginning of period		3,102,827			3,385,764

Cash, end of period	$	3,107,602		$	3,961,056

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	121,685	$	142,566
Segregated cash balances with brokers for futures contracts		10,120		15,950
Short-term U.S. government and agency obligations (Note 3) (cost $121,091,598 and $140,884,104, respectively)		121,093,621		140,880,950

Total assets		121,225,426		141,039,466

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		2,097,225
Payable on open futures contracts		1,440		300
Management fee payable		91,935		111,562
Unrealized depreciation on forward agreements		8,125,619		6,812,974

Total liabilities		8,218,994		9,022,061

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		113,006,432		132,017,405

Total liabilities and shareholders’ equity	$	121,225,426	$	141,039,466

Shares outstanding		2,750,014		3,200,014

Net asset value per share	$	41.09	$	41.26

Market value per share (Note 2)	$	40.59	$	41.26

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(107% of shareholders’ equity)
U.S. Treasury Bills:
0.008% due 10/23/14†	$	8,640,000	$	8,639,894
0.027% due 11/28/14†		9,396,000		9,395,773
0.028% due 12/04/14†		29,630,000		29,629,210
0.045% due 12/11/14†		22,350,000		22,349,339
0.033% due 12/18/14†		12,623,000		12,622,453
0.051% due 01/08/15†		13,004,000		13,003,285
0.010% due 01/29/15†		5,118,000		5,117,659
0.007% due 02/19/15†		20,338,000		20,336,008

Total short-term U.S. government and agency obligations (cost $121,091,598)			$	121,093,621

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures – COMEX, expires December 2014		2	$	242,320	$	(19,400	)

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		0.43	%		10/06/14	$	96,500	$	117,395,145	$	(4,255,264	)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold		0.58			10/06/14		39,320		47,833,960		(1,626,387	)
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold		0.63			10/06/14		15,200		18,491,256		(714,569	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold		0.53			10/06/14		34,600		42,091,938		(1,529,399	)

										$	(8,125,619	)

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

††	Cash collateral in the amount of $10,120 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

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

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

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	13,569		$	18,099		$	45,026		$	118,967

Expenses
Management fee		307,247			409,677			953,309			1,692,282
Brokerage commissions		8			8			32			32

Total expenses		307,255			409,685			953,341			1,692,314

Net investment income (loss)		(293,686	)		(391,586	)		(908,315	)		(1,573,347	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		1,880			(30,400	)		6,320			(95,940	)
Forward agreements		1,373,311			(5,880,490	)		3,313,355			(124,238,804	)
Short-term U.S. government and agency obligations		985			3,048			1,708			11,545

Net realized gain (loss)		1,376,176			(5,907,842	)		3,321,383			(124,323,199	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(24,220	)		50,680			(4,840	)		24,660
Forward agreements		(21,353,534	)		36,515,444			(1,312,645	)		(1,537,902	)
Short-term U.S. government and agency obligations		(969	)		6,673			5,177			(12,309	)

Change in net unrealized appreciation/depreciation		(21,378,723	)		36,572,797			(1,312,308	)		(1,525,551	)

Net realized and unrealized gain (loss)		(20,002,547	)		30,664,955			2,009,075			(125,848,750	)

Net income (loss)	$	(20,296,233	)	$	30,273,369		$	1,100,760		$	(127,422,097	)

Net income (loss) per weighted-average share	$	(7.26	)	$	9.07		$	0.38		$	(34.81	)

Weighted-average shares outstanding		2,795,123			3,338,057			2,878,769			3,661,003

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 250,000 shares		11,583,569
Redemption of 700,000 shares		(31,695,302	)

Net addition (redemption) of (450,000) shares		(20,111,733	)

Net investment income (loss)		(908,315	)
Net realized gain (loss)		3,321,383
Change in net unrealized appreciation/depreciation		(1,312,308	)

Net income (loss)		1,100,760

Shareholders’ equity, at September 30, 2014	$	113,006,432

See accompanying notes to financial statements.

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	1,100,760		$	(127,422,097	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		5,830			(2,750	)
Net sale (purchase) of short-term U.S. government and agency obligations		19,792,506			160,943,187
Change in unrealized appreciation/depreciation on investments		1,307,468			1,550,211
Decrease (Increase) in receivable on futures contracts		—			3,980
Increase (Decrease) in management fee payable		(19,627	)		(139,058	)
Increase (Decrease) in payable on futures contracts		1,140			2,440

Net cash provided by (used in) operating activities		22,188,077			34,935,913

Cash flow from financing activities
Proceeds from addition of shares		11,583,569			30,696,013
Payment on shares redeemed		(33,792,527	)		(65,782,385	)

Net cash provided by (used in) financing activities		(22,208,958	)		(35,086,372	)

Net increase (decrease) in cash		(20,881	)		(150,459	)
Cash, beginning of period		142,566			342,345

Cash, end of period	$	121,685		$	191,886

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	450,608	$	463,001
Segregated cash balances with brokers for futures contracts		14,300		22,000
Short-term U.S. government and agency obligations (Note 3) (cost $448,616,600 and $467,849,038, respectively)		448,624,453		467,868,976

Total assets		449,089,361		468,353,977

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		5,100		2,450
Management fee payable		316,091		379,128
Unrealized depreciation on forward agreements		91,592,767		2,492,880

Total liabilities		91,913,958		2,874,458

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		357,175,403		465,479,519

Total liabilities and shareholders’ equity	$	449,089,361	$	468,353,977

Shares outstanding		7,696,533		7,350,007

Net asset value per share	$	46.41	$	63.33

Market value per share (Note 2)	$	46.15	$	63.04

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(126% of shareholders’ equity)
U.S. Treasury Bills:
0.014% due 10/23/14†	$	22,511,000	$	22,510,725
0.038% due 11/06/14†		83,775,000		83,773,324
0.031% due 11/13/14†		113,655,000		113,652,963
0.027% due 11/28/14†		25,788,000		25,787,377
0.035% due 12/04/14†		44,898,000		44,896,803
0.031% due 12/11/14†		4,258,000		4,257,874
0.033% due 12/18/14†		45,315,000		45,313,037
0.011% due 01/29/15		12,085,000		12,084,194
0.026% due 02/12/15†		77,754,000		77,748,212
0.026% due 02/19/15†		11,111,000		11,109,912
0.010% due 03/05/15		7,491,000		7,490,032

Total short-term U.S. government and agency obligations (cost $448,616,600)			$	448,624,453

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures – COMEX, expires December 2014		2	$	170,570	$	(29,380	)

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		0.77	%		10/06/14	$	21,621,000	$	369,963,417	$	(46,744,838	)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver		0.80			10/06/14		8,202,800		140,358,111		(17,435,908	)
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver		0.86			10/06/14		4,628,000		79,189,708		(9,689,940	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver		0.83			10/06/14		7,285,000		124,654,364		(17,722,081	)

										$	(91,592,767	)

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

††	Cash collateral in the amount of $14,300 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

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

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

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	41,216		$	51,513		$	155,173		$	313,406

Expenses
Management fee		1,064,643			1,317,246			3,351,080			4,410,160
Brokerage commissions		5			8			35			28

Total expenses		1,064,648			1,317,254			3,351,115			4,410,188

Net investment income (loss)		(1,023,432	)		(1,265,741	)		(3,195,942	)		(4,096,782	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		2,825			(3,850	)		(9,550	)		(129,994	)
Forward agreements		9,484,132			28,403,922			(22,787,871	)		(509,769,205	)
Short-term U.S. government and agency obligations		834			5,757			6,514			28,868

Net realized gain (loss)		9,487,791			28,405,829			(22,790,907	)		(509,870,331	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(37,835	)		25,680			(15,180	)		42,200
Forward agreements		(178,494,978	)		96,463,510			(89,099,887	)		65,653,357
Short-term U.S. government and agency obligations		5,748			4,593			(12,085	)		(49,887	)

Change in net unrealized appreciation/depreciation		(178,527,065	)		96,493,783			(89,127,152	)		65,645,670

Net realized and unrealized gain (loss)		(169,039,274	)		124,899,612			(111,918,059	)		(444,224,661	)

Net income (loss)	$	(170,062,706	)	$	123,633,871		$	(115,114,001	)	$	(448,321,443	)

Net income (loss) per weighted-average share (Note 1)	$	(23.96	)	$	17.91		$	(15.80	)	$	(78.96	)

Weighted-average shares outstanding (Note 1)		7,096,533			6,902,589			7,283,608			5,677,480

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 2,087,500 shares		127,480,399
Redemption of 1,740,974 shares		(120,670,514	)

Net addition (redemption) of 346,526 shares		6,809,885


Net investment income (loss)		(3,195,942	)
Net realized gain (loss)		(22,790,907	)
Change in net unrealized appreciation/depreciation		(89,127,152	)

Net income (loss)		(115,114,001	)


Shareholders’ equity, at September 30, 2014	$	357,175,403

See accompanying notes to financial statements.

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	(115,114,001	)	$	(448,321,443	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		7,700			(550	)
Net sale (purchase) of short-term U.S. government and agency obligations		19,232,438			257,179,896
Change in unrealized appreciation/depreciation on investments		89,111,972			(65,603,470	)
Decrease (Increase) in receivable on futures contracts		—			2,520
Increase (Decrease) in management fee payable		(63,037	)		(183,794	)
Increase (Decrease) in payable on futures contracts		2,650			1,780

Net cash provided by (used in) operating activities		(6,822,278	)		(256,925,061	)

Cash flow from financing activities
Proceeds from addition of shares		127,480,399			335,894,773
Payment on shares redeemed		(120,670,514	)		(79,224,344	)

Net cash provided by (used in) financing activities		6,809,885			256,670,429

Net increase (decrease) in cash		(12,393	)		(254,632	)
Cash, beginning of period		463,001			890,051

Cash, end of period	$	450,608		$	635,419

See accompanying notes to financial statements.

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	170,702	$	314,796
Segregated cash balances with brokers for futures contracts		102,960		128,865
Short-term U.S. government and agency obligations (Note 3) (cost $2,833,834 and $2,716,026, respectively)		2,833,943		2,716,439
Receivable on open futures contracts		13,680		10,650

Total assets		3,121,285		3,170,750

Liabilities and shareholders’ equity
Liabilities
Management fee payable		2,615		2,585

Total liabilities		2,615		2,585

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		3,118,670		3,168,165

Total liabilities and shareholders’ equity	$	3,121,285	$	3,170,750

Shares outstanding		100,005		100,005

Net asset value per share	$	31.19	$	31.68

Market value per share (Note 2)	$	30.99	$	31.61

See accompanying notes to financial statements.

PROSHARES ULTRA AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(91% of shareholders’ equity)
U.S. Treasury Bills:
0.037% due 10/23/14	$	284,000	$	283,996
0.045% due 11/20/14		2,550,000		2,549,947

Total short-term U.S. government and agency obligations (cost $2,833,834)			$	2,833,943

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Australian Dollar Fx Currency Futures – CME, expires December 2014		72	$	6,261,840	$	(321,111	)

††	Cash collateral in the amount of $102,960 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	347		$	242		$	1,433		$	1,312

Expenses
Management fee		8,338			6,535			24,141			6,535
Brokerage commissions		378			394			1,134			1,171
Offering costs		—			2,926			—			47,870
Limitation by Sponsor		—			(1,572	)		—			(27,636	)

Total expenses		8,716			8,283			25,275			27,940

Net investment income (loss)		(8,369	)		(8,041	)		(23,842	)		(26,628	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(80,720	)		(123,128	)		177,523			(863,033	)
Short-term U.S. government and agency obligations		19			7			19			22

Net realized gain (loss)		(80,701	)		(123,121	)		177,542			(863,011	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(384,611	)		277,231			(202,891	)		169,154
Short-term U.S. government and agency obligations		162			(67	)		(304	)		(185	)

Change in net unrealized appreciation/depreciation		(384,449	)		277,164			(203,195	)		168,969

Net realized and unrealized gain (loss)		(465,150	)		154,043			(25,653	)		(694,042	)

Net income (loss)	$	(473,519	)	$	146,002		$	(49,495	)	$	(720,670	)

Net income (loss) per weighted-average share	$	(4.73	)	$	1.46		$	(0.49	)	$	(7.21	)

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

See accompanying notes to financial statements.

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


Shareholders’ equity, at December 31, 2013	$	3,168,165
Net investment income (loss)		(23,842	)
Net realized gain (loss)		177,542
Change in net unrealized appreciation/depreciation		(203,195	)

Net income (loss)		(49,495	)

Shareholders’ equity, at September 30, 2014	$	3,118,670

See accompanying notes to financial statements.

PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	(49,495	)	$	(720,670	)
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		25,905			9,438
Net sale (purchase) of short-term U.S. government and agency obligations		(117,808	)		570,805
Change in unrealized appreciation/depreciation on investments		304			185
Decrease (Increase) in receivable on futures contracts		(3,030	)		6,820
Decrease (Increase) in Limitation by Sponsor		—			1,012
Change in offering cost		—			22,128
Increase (Decrease) in management fee payable		30			2,639
Increase (Decrease) in payable for offering costs		—			(41,000	)

Net cash provided by (used in) operating activities		(144,094	)		(148,643	)

Net increase (decrease) in cash		(144,094	)		(148,643	)
Cash, beginning of period		314,796			426,634

Cash, end of period	$	170,702		$	277,991

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	169,958	$	49,723
Short-term U.S. government and agency obligations (Note 3) (cost $2,189,902 and $2,455,715, respectively)		2,189,947		2,455,863
Unrealized appreciation on foreign currency forward contracts		3,517		120,908

Total assets		2,363,422		2,626,494

Liabilities and shareholders’ equity
Liabilities
Management fee payable		1,775		2,721
Unrealized depreciation on foreign currency forward contracts		185,378		19,946

Total liabilities		187,153		22,667

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		2,176,269		2,603,827

Total liabilities and shareholders’ equity	$	2,363,422	$	2,626,494

Shares outstanding		100,014		100,014

Net asset value per share	$	21.76	$	26.03

Market value per share (Note 2)	$	21.72	$	25.98

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations (101% of shareholders’ equity)
U.S. Treasury Bills:
0.037% due 10/23/14†	$	246,000	$	245,997
0.036% due 11/13/14†		1,038,000		1,037,981
0.028% due 12/04/14		500,000		499,987
0.026% due 12/18/14		406,000		405,982

Total short-term U.S. government and agency obligations (cost $2,189,902)			$	2,189,947

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International		10/03/14		621,725		$	785,243		$	(31,823	)
Euro with UBS AG		10/03/14		2,994,100			3,781,570			(153,555	)

									$	(185,378	)

Contracts to Sell
Euro with Goldman Sachs International		10/03/14		(72,700	)	$	(91,821	)	$	825
Euro with UBS AG		10/03/14		(97,300	)		(122,891	)		2,692

									$	3,517

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

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

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	231		$	371		$	936		$	1,468

Expenses
Management fee		5,760			8,494			17,908			28,458

Total expenses		5,760			8,494			17,908			28,458

Net investment income (loss)		(5,529	)		(8,123	)		(16,972	)		(26,990	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(172,537	)		41,105			(127,652	)		12,734
Short-term U.S. government and agency obligations		(8	)		9			(8	)		18

Net realized gain (loss)		(172,545	)		41,114			(127,660	)		12,752

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(212,588	)		227,504			(282,823	)		103,314
Short-term U.S. government and agency obligations		30			90			(103	)		(6	)

Change in net unrealized appreciation/depreciation		(212,558	)		227,594			(282,926	)		103,308

Net realized and unrealized gain (loss)		(385,103	)		268,708			(410,586	)		116,060

Net income (loss)	$	(390,632	)	$	260,585		$	(427,558	)	$	89,070

Net income (loss) per weighted-average share	$	(3.91	)	$	1.78		$	(4.27	)	$	0.54

Weighted-average shares outstanding		100,014			146,210			100,014			166,131

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Net investment income (loss)		(16,972	)
Net realized gain (loss)		(127,660	)
Change in net unrealized appreciation/depreciation		(282,926	)

Net income (loss)		(427,558	)

Shareholders’ equity, at September 30, 2014	$	2,176,269

See accompanying notes to financial statements.

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	(427,558	)	$	89,070
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		265,813			2,256,005
Change in unrealized appreciation/depreciation on investments		282,926			(103,308	)
Increase (Decrease) in management fee payable		(946	)		(1,219	)

Net cash provided by (used in) operating activities		120,235			2,240,548

Cash flow from financing activities
Payment on shares redeemed		—			(2,433,926	)

Net cash provided by (used in) financing activities		—			(2,433,926	)

Net increase (decrease) in cash		120,235			(193,378	)
Cash, beginning of period		49,723			240,086

Cash, end of period	$	169,958		$	46,708

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	122,005	$	28,116
Short-term U.S. government and agency obligations (Note 3) (cost $1,732,924 and $2,928,242, respectively)		1,732,967		2,928,556
Unrealized appreciation on foreign currency forward contracts		3,275		4,052

Total assets		1,858,247		2,960,724

Liabilities and shareholders’ equity
Liabilities
Management fee payable		1,388		2,337
Unrealized depreciation on foreign currency forward contracts		159,695		163,361

Total liabilities		161,083		165,698

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		1,697,164		2,795,026

Total liabilities and shareholders’ equity	$	1,858,247	$	2,960,724

Shares outstanding		100,014		150,014

Net asset value per share	$	16.97	$	18.63

Market value per share (Note 2)	$	17.06	$	18.61

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(102% of shareholders’ equity)
U.S. Treasury Bills:
0.037% due 10/23/14†	$	368,000	$	367,995
0.036% due 11/13/14†		751,000		750,987
0.035% due 11/28/14		471,000		470,989
0.035% due 12/04/14		143,000		142,996

Total short-term U.S. government and agency obligations (cost $1,732,924)			$	1,732,967

Foreign Currency Forward Contracts^


	Settlement Date		Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International		10/03/14		79,232,400		$	722,445		$	(31,746	)
Yen with UBS AG		10/03/14		312,531,500			2,849,676			(127,949	)

									$	(159,695	)

Contracts to Sell
Yen with Goldman Sachs International		10/03/14		(12,190,700	)	$	(111,155	)	$	2,097
Yen with UBS AG		10/03/14		(7,374,200	)		(67,238	)		1,178

									$	3,275

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

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

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	167		$	295		$	988		$	1,538

Expenses
Management fee		4,546			7,652			17,855			26,182

Total expenses		4,546			7,652			17,855			26,182

Net investment income (loss)		(4,379	)		(7,357	)		(16,867	)		(24,644	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(86,452	)		(20,255	)		(108,048	)		(1,694,827	)
Short-term U.S. government and agency obligations		7			19			85			72

Net realized gain (loss)		(86,445	)		(20,236	)		(107,963	)		(1,694,755	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(209,139	)		65,431			2,889			569,791
Short-term U.S. government and agency obligations		76			(55	)		(271	)		(147	)

Change in net unrealized appreciation/depreciation		(209,063	)		65,376			2,618			569,644

Net realized and unrealized gain (loss)		(295,508	)		45,140			(105,345	)		(1,125,111	)

Net income (loss)	$	(299,887	)	$	37,783		$	(122,212	)	$	(1,149,755	)

Net income (loss) per weighted-average share	$	(3.00	)	$	0.25		$	(0.95	)	$	(7.08	)

Weighted-average shares outstanding		100,014			150,014			129,318			162,285

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Redemption of 50,000 shares		(975,650	)

Net investment income (loss)		(16,867	)
Net realized gain (loss)		(107,963	)
Change in net unrealized appreciation/depreciation		2,618

Net income (loss)		(122,212	)

Shareholders’ equity, at September 30, 2014	$	1,697,164

See accompanying notes to financial statements.

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	(122,212	)	$	(1,149,755	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Net sale (purchase) of short-term U.S. government and agency obligations		1,195,318			1,468,886
Change in unrealized appreciation/depreciation on investments		(2,618	)		(569,644	)
Increase (Decrease) in management fee payable		(949	)		(1,180	)

Net cash provided by (used in) operating activities		1,069,539			(251,693	)

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

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

Net increase (decrease) in cash		93,889			(108,871	)
Cash, beginning of period		28,116			138,033

Cash, end of period	$	122,005		$	29,162

See accompanying notes to financial statements.

PROSHARES MANAGED FUTURES STRATEGY*

STATEMENT OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)
Assets
Cash	$	200
Offering costs (Note 5)		65,785

Total assets		65,985

Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		65,785

Total liabilities		65,785

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		200

Total liabilities and shareholders’ equity	$	65,985

Shares outstanding		10

*	See Note 1 and 9.

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	2,328,086	$	4,333,752
Segregated cash balances with brokers for futures contracts		22,960,500		64,020,350
Short-term U.S. government and agency obligations (Note 3) (cost $112,202,851 and $207,628,319, respectively)		112,201,096		207,636,383
Receivable from capital shares sold		2,083,603		—
Receivable on open futures contracts		528,712		3,179,017

Total assets		140,101,997		279,169,502

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		8,562,195
Management fee payable		83,865		208,753

Total liabilities		83,865		8,770,948

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		140,018,132		270,398,554

Total liabilities and shareholders’ equity	$	140,101,997	$	279,169,502

Shares outstanding		6,724,812		9,474,812

Net asset value per share	$	20.82	$	28.54

Market value per share (Note 2)	$	20.78	$	28.53

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(80% of shareholders’ equity)
U.S. Treasury Bills:
0.029% due 10/23/14	$	2,720,000	$	2,719,967
0.042% due 11/06/14		3,414,000		3,413,932
0.031% due 11/13/14		3,651,000		3,650,934
0.006% due 11/20/14		6,209,000		6,208,871
0.013% due 11/28/14		1,463,000		1,462,964
0.029% due 12/04/14		15,157,000		15,156,596
0.012% due 12/11/14		37,893,000		37,891,879
0.026% due 12/18/14		2,122,000		2,121,908
0.033% due 01/08/15		3,961,000		3,960,782
0.011% due 01/29/15		6,571,000		6,570,562
0.006% due 02/19/15		14,490,000		14,488,581
0.016% due 03/05/15		14,556,000		14,554,120

Total short-term U.S. government and agency obligations (cost $112,202,851)			$	112,201,096

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures – CBOE, expires October 2014		5,102	$	83,162,600	$	9,043,812
VIX Futures – CBOE, expires November 2014		3,402		56,643,300		3,388,204

					$	12,432,016

††	Cash collateral in the amount of $22,960,500 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	6,363		$	10,711		$	40,577		$	54,250

Expenses
Management fee		235,234			365,398			849,283			1,171,508
Brokerage commissions		24,499			—			24,499			—

Total expenses		259,733			365,398			873,782			1,171,508

Net investment income (loss)		(253,370	)		(354,687	)		(833,205	)		(1,117,258	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(2,990,117	)		(58,627,489	)		(28,437,457	)		(102,880,094	)
Short-term U.S. government and agency obligations		2,249			5,723			13,481			8,753

Net realized gain (loss)		(2,987,868	)		(58,621,766	)		(28,423,976	)		(102,871,341	)

Change in net unrealized appreciation/depreciation on
Futures contracts		19,045,502			1,983,669			29,084,702			3,441,625
Short-term U.S. government and agency obligations		(2,706	)		7,646			(9,819	)		(1,732	)

Change in net unrealized appreciation/depreciation		19,042,796			1,991,315			29,074,883			3,439,893

Net realized and unrealized gain (loss)		16,054,928			(56,630,451	)		650,907			(99,431,448	)

Net income (loss)	$	15,801,558		$	(56,985,138	)	$	(182,298	)	$	(100,548,706	)

Net income (loss) per weighted-average share	$	2.77		$	(14.03	)	$	(0.03	)	$	(27.74	)

Weighted-average shares outstanding		5,708,779			4,060,410			5,489,922			3,624,196

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 7,350,000 shares		165,825,697
Redemption of 10,100,000 shares		(296,023,821	)

Net addition (redemption) of (2,750,000) shares		(130,198,124	)

Net investment income (loss)		(833,205	)
Net realized gain (loss)		(28,423,976	)
Change in net unrealized appreciation/depreciation		29,074,883

Net income (loss)		(182,298	)

Shareholders’ equity, at September 30, 2014	$	140,018,132

See accompanying notes to financial statements.

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	(182,298	)	$	(100,548,706	)
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		41,059,850			4,750,998
Net sale (purchase) of short-term U.S. government and agency obligations		95,425,468			13,834,840
Change in unrealized appreciation/depreciation on investments		9,819			1,732
Decrease (Increase) in receivable on futures contracts		2,650,305			(7,590,541	)
Increase (Decrease) in management fee payable		(124,888	)		12,187
Increase (Decrease) in payable on futures contracts		—			(31,540,181	)

Net cash provided by (used in) operating activities		138,838,256			(121,079,671	)

Cash flow from financing activities
Proceeds from addition of shares		163,742,094			423,439,517
Payment on shares redeemed		(304,586,016	)		(302,978,467	)

Net cash provided by (used in) financing activities		(140,843,922	)		120,461,050

Net increase (decrease) in cash		(2,005,666	)		(618,621	)
Cash, beginning of period		4,333,752			2,989,958

Cash, end of period	$	2,328,086		$	2,371,337

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	3,719,873	$	1,906,397
Segregated cash balances with brokers for futures contracts		3,932,900		8,454,390
Short-term U.S. government and agency obligations (Note 3) (cost $37,722,027 and $46,039,268, respectively)		37,722,886		46,040,233
Receivable on open futures contracts		268,191		100,734

Total assets		45,643,850		56,501,754

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		5,321,983
Management fee payable		30,064		45,448

Total liabilities		30,064		5,367,431

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		45,613,786		51,134,323

Total liabilities and shareholders’ equity	$	45,643,850	$	56,501,754

Shares outstanding (Note 9)		712,501		662,501

Net asset value per share (Note 9)	$	64.02	$	77.18

Market value per share (Note 2) (Note 9)	$	63.88	$	77.16

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(83% of shareholders’ equity)
U.S. Treasury Bills:
0.029% due 10/09/14	$	1,939,000	$	1,938,993
0.036% due 10/23/14		2,232,000		2,231,973
0.028% due 11/13/14		2,721,000		2,720,951
0.045% due 11/20/14		1,882,000		1,881,961
0.028% due 11/28/14		699,000		698,983
0.035% due 12/04/14		18,780,000		18,779,499
0.028% due 12/11/14		5,607,000		5,606,834
0.010% due 12/18/14		1,825,000		1,824,921
0.002% due 02/19/15		1,092,000		1,091,893
0.037% due 03/05/15		947,000		946,878

Total short-term U.S. government and agency obligations (cost $37,722,027)			$	37,722,886

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures – CBOE, expires January 2015		506	$	8,829,700	$	626,810
VIX Futures – CBOE, expires February 2015		844		15,107,600		640,270
VIX Futures – CBOE, expires March 2015		844		15,403,000		999,160
VIX Futures – CBOE, expires April 2015		338		6,286,800		235,500

					$	2,501,740

††	Cash collateral in the amount of $3,932,900 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	3,406		$	6,721		$	13,659		$	20,472

Expenses
Management fee		92,676			172,413			310,124			410,433
Brokerage commissions		2,966			—			2,966			—

Total expenses		95,642			172,413			313,090			410,433

Net investment income (loss)		(92,236	)		(165,692	)		(299,431	)		(389,961	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(4,036,079	)		(6,929,719	)		(16,100,400	)		(19,676,804	)
Short-term U.S. government and agency obligations		55			1,962			1,772			3,272

Net realized gain (loss)		(4,036,024	)		(6,927,757	)		(16,098,628	)		(19,673,532	)

Change in net unrealized appreciation/depreciation on
Futures contracts		5,996,790			(6,313,054	)		7,398,429			739,790
Short-term U.S. government and agency obligations		655			3,772			(106	)		(1,300	)

Change in net unrealized appreciation/depreciation		5,997,445			(6,309,282	)		7,398,323			738,490

Net realized and unrealized gain (loss)		1,961,421			(13,237,039	)		(8,700,305	)		(18,935,042	)

Net income (loss)	$	1,869,185		$	(13,402,731	)	$	(8,999,736	)	$	(19,325,003	)

Net income (loss) per weighted-average share (Note 9)	$	2.62		$	(16.04	)	$	(12.71	)	$	(30.58	)

Weighted-average shares outstanding (Note 9)		712,365			835,531			708,312			631,892

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 581,250 shares (Note 9)		40,985,669
Redemption of 531,250 shares (Note 9)		(37,506,470	)

Net addition (redemption) of 50,000 shares (Note 9)		3,479,199

Net investment income (loss)		(299,431	)
Net realized gain (loss)		(16,098,628	)
Change in net unrealized appreciation/depreciation		7,398,323

Net income (loss)		(8,999,736	)

Shareholders’ equity, at September 30, 2014	$	45,613,786

See accompanying notes to financial statements.

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	(8,999,736	)	$	(19,325,003	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		4,521,490			(6,282,900	)
Net sale (purchase) of short-term U.S. government and agency obligations		8,317,241			2,148,865
Change in unrealized appreciation/depreciation on investments		106			1,300
Decrease (Increase) in receivable on futures contracts		(167,457	)		(1,619,391	)
Increase (Decrease) in management fee payable		(15,384	)		6,745
Increase (Decrease) in payable on futures contracts		—			(1,890,675	)

Net cash provided by (used in) operating activities		3,656,260			(26,961,059	)

Cash flow from financing activities
Proceeds from addition of shares		40,985,669			131,215,643
Payment on shares redeemed		(42,828,453	)		(104,691,318	)

Net cash provided by (used in) financing activities		(1,842,784	)		26,524,325

Net increase (decrease) in cash		1,813,476			(436,734	)
Cash, beginning of period		1,906,397			2,063,715

Cash, end of period	$	3,719,873		$	1,626,981

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	4,383,711	$	2,240,977
Segregated cash balances with brokers for futures contracts		84,721,500		107,101,750
Short-term U.S. government and agency obligations (Note 3) (cost $214,972,937 and $109,530,861, respectively)		214,965,711		109,533,487
Receivable from capital shares sold		—		10,903,664
Receivable on open futures contracts		11,373,242		—

Total assets		315,444,164		229,779,878

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		57,110,006		—
Payable on open futures contracts		—		3,356,803
Management fee payable		256,981		189,491

Total liabilities		57,366,987		3,546,294

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		258,077,177		226,233,584

Total liabilities and shareholders’ equity	$	315,444,164	$	229,779,878

Shares outstanding		8,670,099		3,372,389

Net asset value per share	$	29.77	$	67.08

Market value per share (Note 2)	$	29.63	$	67.12

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(83% of shareholders’ equity)
U.S. Treasury Bills:
0.014% due 10/23/14	$	35,153,000	$	35,152,570
0.048% due 11/06/14		1,023,000		1,022,980
0.020% due 11/13/14		10,238,000		10,237,817
0.019% due 11/20/14		13,861,000		13,860,711
0.035% due 11/28/14		3,630,000		3,629,912
0.027% due 12/18/14		5,169,000		5,168,776
0.033% due 01/08/15		2,925,000		2,924,839
0.014% due 01/29/15		45,436,000		45,432,971
0.011% due 02/19/15		55,510,000		55,504,565
0.010% due 03/05/15		42,036,000		42,030,570

Total short-term U.S. government and agency obligations (cost $214,972,937)			$	214,965,711


Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures – CBOE, expires October 2014		18,828	$	306,896,400	$	33,327,630
VIX Futures – CBOE, expires November 2014		12,550		208,957,500		15,324,457

					$	48,652,087

††	Cash collateral in the amount of $84,721,500 was pledged to cover margin requirements for open futures contracts as September 30, 2014.

See accompanying notes to financial statements.

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	13,610		$	10,797		$	55,542		$	46,863

Expenses
Management fee		689,515			667,541			2,064,694			1,944,995
Brokerage commissions		632,234			602,808			1,802,162			1,824,624

Total expenses		1,321,749			1,270,349			3,866,856			3,769,619

Net investment income (loss)		(1,308,139	)		(1,259,552	)		(3,811,314	)		(3,722,756	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(4,719,200	)		(197,375,157	)		(255,442,487	)		(297,848,329	)
Swap agreements		—			—			—			(4,453,107	)
Short-term U.S. government and agency obligations		9,696			13,868			23,760			34,128

Net realized gain (loss)		(4,709,504	)		(197,361,289	)		(255,418,727	)		(302,267,308	)

Change in net unrealized appreciation/depreciation on
Futures contracts		89,185,433			9,751,723			72,661,998			10,935,632
Swap agreements		—			—			—			(301,351	)
Short-term U.S. government and agency obligations		(5,896	)		5,260			(9,852	)		5,675

Change in net unrealized appreciation/depreciation		89,179,537			9,756,983			72,652,146			10,639,956

Net realized and unrealized gain (loss)		84,470,033			(187,604,306	)		(182,766,581	)		(291,627,352	)

Net income (loss)	$	83,161,894		$	(188,863,858	)	$	(186,577,895	)	$	(295,350,108	)

Net income (loss) per weighted-average share (Note 1)	$	7.47		$	(106.49	)	$	(24.47	)	$	(249.07	)

Weighted-average shares outstanding (Note 1)		11,128,251			1,773,612			7,625,612			1,185,829

See accompanying notes to financial statements.

100

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 26,025,000 shares		1,037,824,039
Redemption of 20,727,290 shares		(819,402,551	)

Net addition (redemption) of 5,297,710 shares		218,421,488

Net investment income (loss)		(3,811,314	)
Net realized gain (loss)		(255,418,727	)
Change in net unrealized appreciation/depreciation		72,652,146

Net income (loss)		(186,577,895	)

Shareholders’ equity, at September 30, 2014	$	258,077,177

See accompanying notes to financial statements.

101

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	(186,577,895	)	$	(295,350,108	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		22,380,250			(62,030,793	)
Net sale (purchase) of short-term U.S. government and agency obligations		(105,442,076	)		(100,070,302	)
Change in unrealized appreciation/depreciation on investments		9,852			295,676
Decrease (Increase) in receivable on futures contracts		(11,373,242	)		(30,450,046	)
Increase (Decrease) in management fee payable		67,490			113,764
Increase (Decrease) in payable on futures contracts		(3,356,803	)		(35,666,735	)

Net cash provided by (used in) operating activities		(284,292,424	)		(523,158,544	)

Cash flow from financing activities
Proceeds from addition of shares		1,048,727,703			1,623,405,802
Payment on shares redeemed		(762,292,545	)		(1,099,025,266	)

Net cash provided by (used in) financing activities		286,435,158			524,380,536

Net increase (decrease) in cash		2,142,734			1,221,992
Cash, beginning of period		2,240,977			1,790,825

Cash, end of period	$	4,383,711		$	3,012,817

See accompanying notes to financial statements.

102

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	4,637,566	$	2,153,370
Segregated cash balances with brokers for futures contracts		51,099,750		33,552,650
Short-term U.S. government and agency obligations (Note 3) (cost $227,185,312 and $105,554,675, respectively)		227,183,170		105,559,022
Receivable from capital shares sold		33,676,473		—
Receivable on open futures contracts		—		603,833

Total assets		316,596,959		141,868,875

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		5,914,427		—
Management fee payable		203,759		117,673

Total liabilities		6,118,186		117,673

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		310,478,773		141,751,202

Total liabilities and shareholders’ equity	$	316,596,959	$	141,868,875

Shares outstanding		4,150,040		2,100,040

Net asset value per share	$	74.81	$	67.50

Market value per share (Note 2)	$	74.94	$	67.47

See accompanying notes to financial statements.

103

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2014

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(73% of shareholders’ equity)
U.S. Treasury Bills:
0.026% due 10/23/14	$	5,327,000	$	5,326,935
0.025% due 11/06/14		48,777,000		48,776,024
0.026% due 11/13/14		14,822,000		14,821,734
0.045% due 11/20/14		2,661,000		2,660,945
0.020% due 11/28/14		6,540,000		6,539,842
0.024% due 12/04/14		25,218,000		25,217,327
0.030% due 12/11/14		14,951,000		14,950,558
0.012% due 12/18/14		20,174,000		20,173,126
0.040% due 01/08/15		1,850,000		1,849,898
0.010% due 01/29/15		9,455,000		9,454,370
0.017% due 02/19/15		13,159,000		13,157,712
0.020% due 03/05/15		64,263,000		64,254,699

Total short-term U.S. government and agency obligations (cost $227,185,312)			$	227,183,170

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures – CBOE, expires October 2014		11,352	$	185,037,600	$	(18,147,969	)
VIX Futures – CBOE, expires November 2014		7,575		126,123,750		(6,900,477	)

					$	(25,048,446	)

††	Cash collateral in the amount of $51,099,750 was pledged to cover margin requirements for open futures contracts as of September 30, 2014.

See accompanying notes to financial statements.

104

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	16,267		$	6,018		$	60,496		$	22,651

Expenses
Management fee		620,236			212,926			1,610,858			535,989
Brokerage commissions		385,191			132,363			949,948			335,552

Total expenses		1,005,427			345,289			2,560,806			871,541

Net investment income (loss)		(989,160	)		(339,271	)		(2,500,310	)		(848,890	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		18,146,923			37,631,293			94,414,974			58,706,439
Short-term U.S. government and agency obligations		7,571			4,416			17,530			6,470

Net realized gain (loss)		18,154,494			37,635,709			94,432,504			58,712,909

Change in net unrealized appreciation/depreciation on
Futures contracts		(33,969,073	)		(2,816,258	)		(33,165,401	)		(2,062,754	)
Short-term U.S. government and agency obligations		(2,468	)		3,113			(6,489	)		(807	)

Change in net unrealized appreciation/depreciation		(33,971,541	)		(2,813,145	)		(33,171,890	)		(2,063,561	)

Net realized and unrealized gain (loss)		(15,817,047	)		34,822,564			61,260,614			56,649,348

Net income (loss)	$	(16,806,207	)	$	34,483,293		$	58,760,304		$	55,800,458

Net income (loss) per weighted-average share (Note 1)	$	(5.40	)	$	19.40		$	18.53		$	33.40

Weighted-average shares outstanding (Note 1)		3,109,823			1,777,214			3,171,835			1,670,736

See accompanying notes to financial statements.

105

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 8,400,000 shares		595,573,367
Redemption of 6,350,000 shares		(485,606,100	)

Net addition (redemption) of 2,050,000 shares		109,967,267

Net investment income (loss)		(2,500,310	)
Net realized gain (loss)		94,432,504
Change in net unrealized appreciation/depreciation		(33,171,890	)

Net income (loss)		58,760,304

Shareholders’ equity, at September 30, 2014	$	310,478,773

See accompanying notes to financial statements.

106

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	58,760,304		$	55,800,458
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(17,547,100	)		4,007,197
Net sale (purchase) of short-term U.S. government and agency obligations		(121,630,637	)		(8,621,966	)
Change in unrealized appreciation/depreciation on investments		6,489			807
Decrease (Increase) in receivable on futures contracts		603,833			5,524,721
Increase (Decrease) in management fee payable		86,086			20,936
Increase (Decrease) in payable on futures contracts		5,914,427			5,707,549

Net cash provided by (used in) operating activities		(73,806,598	)		62,439,702

Cash flow from financing activities
Proceeds from addition of shares		561,896,894			394,666,787
Payment on shares redeemed		(485,606,100	)		(459,088,575	)

Net cash provided by (used in) financing activities		76,290,794			(64,421,788	)

Net increase (decrease) in cash		2,484,196			(1,982,086	)
Cash, beginning of period		2,153,370			2,236,726

Cash, end of period	$	4,637,566		$	254,640

See accompanying notes to financial statements.

107

PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION


	September 30, 2014 (unaudited)		December 31, 2013
Assets
Cash	$	29,779,660	$	23,390,732
Segregated cash balances with brokers for futures contracts		187,160,599		235,046,530
Short-term U.S. government and agency obligations (Note 3) (cost $2,603,056,246 and $2,846,340,077, respectively)		2,603,063,212		2,846,465,825
Unrealized appreciation on swap agreements		1,688,331		1,972,971
Unrealized appreciation on forward agreements		17,954,975		5,633,053
Unrealized appreciation on foreign currency forward contracts		74,969,834		31,593,879
Receivable from capital shares sold		47,122,485		10,903,664
Receivable on open futures contracts		17,866,515		6,930,575
Offering costs (Note 5)		65,785		—

Total assets		2,979,671,396		3,161,937,229

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		69,429,438		37,227,491
Payable on open futures contracts		12,658,034		10,071,461
Management fee payable		2,191,447		2,522,868
Unrealized depreciation on swap agreements		1,506,026		2,360,565
Unrealized depreciation on forward agreements		99,718,386		11,533,711
Unrealized depreciation on foreign currency forward contracts		2,853,803		16,014,049
Payable for offering costs		65,785		—

Total liabilities		188,422,919		79,730,145

Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity		2,791,248,477		3,082,207,084

Total liabilities and shareholders’ equity	$	2,979,671,396	$	3,161,937,229

Shares outstanding		77,632,845		77,438,599

See accompanying notes to financial statements.

108

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Three months ended September 30, 2014			Three months ended September 30, 2013			Nine months ended September 30, 2014			Nine months ended September 30, 2013
Investment Income
Interest	$	223,800		$	264,227		$	954,921		$	1,263,706

Expenses
Management fee		6,638,426			7,808,826			20,189,853			23,331,899
Brokerage commissions		1,103,591			809,686			2,991,388			2,386,718
Offering costs		—			5,852			—			141,251
Limitation by Sponsor		—			(1,572	)		—			(57,127	)
Reduction in Limitation by Sponsor		—			6,817			—			—

Total expenses		7,742,017			8,629,609			23,181,241			25,802,741

Net investment income (loss)		(7,518,217	)		(8,365,382	)		(22,226,320	)		(24,539,035	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		26,285,740			(246,978,128	)		(191,301,679	)		(329,688,064	)
Swap agreements		14,171,355			(22,391,664	)		11,100,356			14,724,162
Forward agreements		5,364,040			34,513,980			(33,412,320	)		(507,647,265	)
Foreign currency forward contracts		47,567,904			(14,298,434	)		41,461,914			117,926,595
Short-term U.S. government and agency obligations		36,987			53,877			125,433			148,022

Net realized gain (loss)		93,426,026			(249,100,369	)		(172,026,296	)		(704,536,550	)

Change in net unrealized appreciation/depreciation on
Futures contracts		88,565,200			14,899,913			83,333,081			7,969,862
Swap agreements		12,217,102			19,908,518			569,899			(4,214,201	)
Forward agreements		(160,746,816	)		56,912,643			(75,862,753	)		57,943,478
Foreign currency forward contracts		87,267,536			(38,777,312	)		56,536,201			(62,745,107	)
Short-term U.S. government and agency obligations		(11,313	)		67,477			(118,782	)		(90,537	)

Change in net unrealized appreciation/depreciation		27,291,709			53,011,239			64,457,646			(1,136,505	)

Net realized and unrealized gain (loss)		120,717,735			(196,089,130	)		(107,568,650	)		(705,673,055	)

Net income (loss)	$	113,199,518		$	(204,454,512	)	$	(129,794,970	)	$	(730,212,090	)

See accompanying notes to financial statements.

109

PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014

(unaudited)


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

Addition of 79,843,760 shares (Note 9)		3,153,708,701
Redemption of 79,649,514 shares (Note 9)		(3,314,872,338	)

Net addition (redemption) of 194,246 shares (Note 9)		(161,163,637	)

Net investment income (loss)		(22,226,320	)
Net realized gain (loss)		(172,026,296	)
Change in net unrealized appreciation/depreciation		64,457,646

Net income (loss)		(129,794,970	)

Shareholders’ equity, at September 30, 2014	$	2,791,248,477

See accompanying notes to financial statements.

110

PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE NINE MONTHS ENDED SEPTEMBER 30, 2014 AND 2013

(unaudited)


	Nine months ended September 30, 2014			Nine months ended September 30, 2013
Cash flow from operating activities
Net income (loss)	$	(129,794,970	)	$	(730,212,090	)
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		47,885,931			(56,966,986	)
Net sale (purchase) of short-term U.S. government and agency obligations		243,283,831			153,464,071
Change in unrealized appreciation/depreciation on investments		18,875,435			9,106,367
Decrease (Increase) in receivable on futures contracts		(10,935,940	)		(32,201,116	)
Decrease (Increase) in receivable from Sponsor		—			5,373
Change in offering cost		(65,785	)		64,027
Increase (Decrease) in management fee payable		(331,421	)		(125,995	)
Increase (Decrease) in payable on futures contracts		2,586,573			(66,462,723	)
Increase (Decrease) in payable for offering costs		65,785			(123,000	)

Net cash provided by (used in) operating activities		171,569,439			(723,452,072	)

Cash flow from financing activities
Proceeds from addition of shares		3,117,489,880			4,840,185,597
Payment on shares redeemed		(3,282,670,391	)		(4,116,802,198	)

Net cash provided by (used in) financing activities		(165,180,511	)		723,383,399

Net increase (decrease) in cash		6,388,928			(68,673	)
Cash, beginning of period		23,390,732			19,959,356

Cash, end of period	$	29,779,660		$	19,890,683

See accompanying notes to financial statements.

111

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 30, 2014

(unaudited)

NOTE 1 – ORGANIZATION

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2014, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra 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 one additional series: ProShares Managed Futures Strategy (the “Managed Futures Fund”). As of September 30, 2014, the Managed Futures Fund had seed capital, but had not commenced investment operations; therefore, these Financial Statements do not include the Schedule of Investments, Statement of Operations, Statement of Changes in Shareholders’ Equity or Statement of Cash Flows for the Managed Futures Fund.

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

112

Effective as of July 1, 2014, the official name for the Dow-Jones Commodity Index and its sub-indexes (Dow-Jones Commodity Subindex^SM, Dow Jones-UBS WTI Crude Oil Subindex^SM, and Dow-Jones Natural Gas Subindex^SM) changed to the Bloomberg Commodity Index, Bloomberg Commodity Subindex^SM, Bloomberg WTI Crude Oil Subindex^SM, and Bloomberg Natural Gas Subindex^SM, respectively. The changes were made to reflect the transfer of several Dow Jones-UBS indexes to Bloomberg L.P. The methodology for the underlying index of each Commodity Index Fund will remain the same in all material respects. As a result, the fund name, underlying index name and ticker symbol changed for each of the Commodity Index Funds and are reflected in the financial statements and footnotes. The new name, underlying index name and ticker symbol for each of the Commodity Index Funds are as follows:


Prior Fund Name	New Fund Name	Prior Underlying Index Name and Ticker Symbol	New Underlying Index Name and Ticker Symbol
ProShares UltraShort DJ-UBS Commodity	ProShares UltraShort Bloomberg Commodity	Dow Jones – UBS Commodity Index^SM – DJUBSTR	Bloomberg Commodity Index^SM – BCOMTR
ProShares Ultra DJ-UBS Commodity	ProShares Ultra Bloomberg Commodity	Dow Jones – UBS Commodity Index^SM – DJUBSTR	Bloomberg Commodity Index^SM – BCOMTR
ProShares UltraShort DJ-UBS Crude Oil	ProShares UltraShort Bloomberg Crude Oil	Dow Jones – UBS WTI Crude Oil Subindex^SM – DJUBCLTR	Bloomberg WTI Crude Oil Subindex^SM – BCOMCLTR
ProShares Ultra DJ-UBS Crude Oil	ProShares Ultra Bloomberg Crude Oil	Dow Jones – UBS WTI Crude Oil Subindex^SM – DJUBCLTR	Bloomberg WTI Crude Oil Subindex^SM – BCOMCLTR
ProShares UltraShort DJ-UBS Natural Gas	ProShares UltraShort Bloomberg Natural Gas	Dow Jones – UBS Natural Gas Subindex^SM – DJUBNGTR	Bloomberg Natural Gas Subindex^SM – BCOMNGTR
ProShares Ultra DJ-UBS Natural Gas	ProShares Ultra Bloomberg Natural Gas	Dow Jones – UBS Natural Gas Subindex^SM – DJUBNGTR	Bloomberg Natural Gas Subindex^SM – BCOMNGTR

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

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

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

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

113

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the nine months ended September 30, 2014 and year ended December 31, 2013. The ticker symbols for these Funds did not change and each Fund continues to trade on the NYSE Arca.


Fund	Execution Date (Prior to Opening of Trading)	Type of Split	Date Trading Resumed at Post- Split Price
ProShares UltraShort Bloomberg Natural Gas	June 10, 2013	1-for-4 reverse Share split	June 10, 2013
ProShares Ultra Silver	January 21, 2014	1-for-4 reverse Share split	January 24, 2014
ProShares VIX Short-Term Futures ETF	June 10, 2013	1-for-5 reverse Share split	June 10, 2013
ProShares Ultra VIX Short-Term Futures ETF	June 10, 2013	1-for-10 reverse Share split	June 10, 2013
ProShares Ultra VIX Short-Term Futures ETF	January 21, 2014	1-for-4 reverse Share split	January 24, 2014
ProShares Short VIX Short-Term Futures ETF	January 21, 2014	2-for-1 Share split	January 24, 2014

The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of ProShares UltraShort Bloomberg Natural Gas, ProShares Ultra Silver, ProShares VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

The split was applied retroactively for all periods presented, increasing the number of Shares outstanding for ProShares Short VIX Short-Term Futures ETF, and resulted in a proportionate decrease in the price per Share and per Share information of such Fund. Therefore, the split did not change the aggregate net asset value of a shareholder’s investment at the time of the split.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2013, as filed with the SEC on March 3, 2014.

Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

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In June 2013, the FASB issued Accounting Standard Update No. 2013-08, “Financial Services – Investment Companies (“Topic 946”): Amendments to the Scope, Measurement and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 clarifies the characteristics of an investment company and provides comprehensive guidance for assessing whether an entity is an investment company and for the measurement of non-controlling ownership interests in other investment companies. The Trust and each Fund meet the requirements to be classified as an investment company and follow the accounting and reporting guidance in FASB Topic 946.

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated September 30, 2014, and represents non-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

The times of the calculation of the Leveraged Funds’, the Short Euro Fund’s, the Geared VIX Funds’ and the Matching VIX Funds’ final net asset value for creation and redemption of fund Shares for the nine months ended September 30, 2014 were as follows. All times are Eastern Standard Time:


	NAV Calculation Time			NAV Calculation Date
UltraShort Silver, Ultra Silver		7:00 a.m.			September 30
UltraShort Gold, Ultra Gold		10:00 a.m.			September 30
UltraShort Bloomberg Crude Oil, Ultra Bloomberg Crude Oil		2:30 p.m.			September 30
UltraShort Bloomberg Natural Gas, Ultra Bloomberg Natural Gas		2:30 p.m.			September 30
UltraShort Bloomberg Commodity, Ultra Bloomberg Commodity		2:30 p.m.	*		September 30
UltraShort Australian Dollar, Ultra Australian Dollar		4:00 p.m.			September 30
Short Euro, UltraShort Euro, Ultra Euro		4:00 p.m.			September 30
UltraShort Yen, Ultra Yen		4:00 p.m.			September 30
VIX Short-Term Futures ETF, Ultra VIX Short-Term Futures ETF, Short VIX Short-Term Futures ETF		4:15 p.m.			September 30
VIX Mid-Term Futures ETF		4:15 p.m.			September 30

*	On July 31, 2014, the NAV Calculation Time for ProShares UltraShort Bloomberg Commodity and ProShares Ultra Bloomberg Commodity was changed from 3:00 p.m. to 2:30 p.m.

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 nine months ended September 30, 2014.

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

For financial reporting purposes, the Leveraged Funds, the Short Euro Fund, and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three and nine months ended September 30, 2014.

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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.

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

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

The following table summarizes the valuation of investments at September 30, 2014 using the fair value hierarchy:


	Level I – Quoted Prices					Level II – Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
UltraShort Bloomberg Commodity	$	3,221,933	$	—		$	—		$	—		$	351,391		$	3,573,324
UltraShort Bloomberg Crude Oil		182,780,326		6,498,525			—			—			1,336,940			190,615,791
UltraShort Bloomberg Natural Gas		16,113,481		(1,869,686	)		—			—			—			14,243,795
UltraShort Gold		76,390,633		19,400			5,603,080			—			—			82,013,113
UltraShort Silver		47,309,314		14,690			12,351,895			—			—			59,675,899
Short Euro		15,108,184		430,669			—			—			—			15,538,853
UltraShort Australian Dollar		17,488,683		1,886,600			—			—			—			19,375,283
UltraShort Euro		441,230,341		—			—			37,323,059			—			478,553,400
UltraShort Yen		388,927,061		—			—			35,131,253			—			424,058,314
Ultra Bloomberg Commodity		3,629,825		—			—			—			(330,554	)		3,299,271
Ultra Bloomberg Crude Oil		183,290,203		(6,067,155	)		—			—			(1,175,472	)		176,047,576
Ultra Bloomberg Natural Gas		59,025,434		4,355,964			—			—			—			63,381,398
Ultra Gold		121,093,621		(19,400	)		(8,125,619	)		—			—			112,948,602
Ultra Silver		448,624,453		(29,380	)		(91,592,767	)		—			—			357,002,306
Ultra Australian Dollar		2,833,943		(321,111	)		—			—			—			2,512,832
Ultra Euro		2,189,947		—			—			(181,861	)		—			2,008,086
Ultra Yen		1,732,967		—			—			(156,420	)		—			1,576,547
VIX Short-Term Futures ETF		112,201,096		12,432,016			—			—			—			124,633,112
VIX Mid-Term Futures ETF		37,722,886		2,501,740			—			—			—			40,224,626
Ultra VIX Short-Term Futures ETF		214,965,711		48,652,087			—			—			—			263,617,798
Short VIX Short-Term Futures ETF		227,183,170		(25,048,446	)		—			—			—			202,134,724

Total Trust	$	2,603,063,212	$	43,436,513		$	(81,763,411	)	$	72,116,031		$	182,305		$	2,637,034,650

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

At September 30, 2014, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

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The following table summarizes the valuation of investments at December 31, 2013 using the fair value hierarchy:


	Level I – Quoted Prices					Level II – Other Significant Observable Inputs
	Short-Term U.S. Government and Agencies		Futures Contracts*			Forward Agreements			Foreign Currency Forward Contracts			Swap Agreements			Total
UltraShort Bloomberg Commodity	$	3,453,890	$	—		$	—		$	—		$	(27,665	)	$	3,426,225
UltraShort Bloomberg Crude Oil		247,584,623		(1,232,773	)		—			—			(2,332,900	)		244,018,950
UltraShort Bloomberg Natural Gas		18,274,713		1,042,300			—			—			—			19,317,013
UltraShort Gold		148,988,329		14,520			5,633,053			—			—			154,635,902
UltraShort Silver		114,826,066		14,200			(2,227,857	)		—			—			112,612,409
Short Euro		7,902,056		(33,231	)		—			—			—			7,868,825
UltraShort Australian Dollar		24,198,507		917,605			—			—			—			25,116,112
UltraShort Euro		437,847,159		—			—			(13,748,507	)		—			424,098,652
UltraShort Yen		558,597,264		—			—			29,386,684			—			587,983,948
Ultra Bloomberg Commodity		2,816,688		—			—			—			15,078			2,831,766
Ultra Bloomberg Crude Oil		137,435,610		626,661			—			—			1,957,893			140,020,164
Ultra Bloomberg Natural Gas		58,921,011		(3,656,539	)		—			—			—			55,264,472
Ultra Gold		140,880,950		(14,560	)		(6,812,974	)		—			—			134,053,416
Ultra Silver		467,868,976		(14,200	)		(2,492,880	)		—			—			465,361,896
Ultra Australian Dollar		2,716,439		(118,220	)		—			—			—			2,598,219
Ultra Euro		2,455,863		—			—			100,962			—			2,556,825
Ultra Yen		2,928,556		—			—			(159,309	)		—			2,769,247
VIX Short-Term Futures ETF		207,636,383		(16,652,686	)		—			—			—			190,983,697
VIX Mid-Term Futures ETF		46,040,233		(4,896,689	)		—			—			—			41,143,544
Ultra VIX Short-Term Futures ETF		109,533,487		(24,009,911	)		—			—			—			85,523,576
Short VIX Short-Term Futures ETF		105,559,022		8,116,955			—			—			—			113,675,977

Total Trust	$	2,846,465,825	$	(39,896,568	)	$	(5,900,658	)	$	15,579,830		$	(387,594	)	$	2,815,860,835

Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments 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.

Brokerage Commissions and Fees

Each Fund pays or will pay 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

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of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income or similar securities would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). For the three and nine months periods ended September 30, 2013 and the period from January 1, 2014 through July 30, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

Federal Income Tax

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

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

NOTE 3 – INVESTMENTS

Short-Term Investments

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

Accounting for Derivative Instruments

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

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

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

Futures Contracts

The Funds enter into futures contracts to gain exposure to changes in the value of, or as a substitute for investing directly in (or shorting), an underlying index, currency or commodity. A futures contract obligates the seller to deliver (and the purchaser to accept)

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the future delivery of a specified quantity and type of asset at a specified time and place. The contractual obligations of a buyer or seller may generally be satisfied by taking or making physical delivery of the underlying commodity, if applicable, or by making an offsetting sale or purchase of an identical futures contract on the same or linked exchange before the designated date of delivery, or by cash settlement at expiration of contract.

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

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

Swap Agreements

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

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

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The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by the Fund’s Custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

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

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at September 30, 2014 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.

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

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

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Forward Contracts

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

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

Forward contracts have traditionally not been cleared or guaranteed by a third party. However, the Dodd-Frank Act provides for significant reforms of the OTC derivatives markets, including a requirement to execute most forward contracts on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. The Funds may collateralize uncleared forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of September 30, 2014, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

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.

122

Fair Value of Derivative Instruments

as of September 30, 2014

Asset Derivatives

Liability Derivatives

Derivatives not

accounted for

as hedging

instruments

Statements of

Financial

Condition

Location

Fund

Unrealized
Appreciation

Statements of

Financial

Condition

Location

Fund

Unrealized
Depreciation

Commodities Contracts

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

ProShares UltraShort Bloomberg Commodity

351,391

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

ProShares UltraShort Bloomberg Natural Gas

1,869,686

ProShares UltraShort Bloomberg Crude Oil

7,835,465

ProShares Ultra

Bloomberg Commodity

330,554

ProShares UltraShort Gold

5,622,480

ProShares Ultra Bloomberg Crude Oil

7,242,627

ProShares UltraShort Silver

12,366,585

ProShares Ultra Gold

8,145,019

ProShares Ultra Bloomberg Natural Gas

4,355,964

ProShares Ultra Silver

91,622,147

Foreign Exchange Contracts

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

ProShares Short Euro

430,669

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

ProShares UltraShort Euro

1,779,484

ProShares UltraShort Australian Dollar

1,886,600

ProShares UltraShort Yen

729,246

ProShares UltraShort Euro

39,102,543

ProShares Ultra Australian Dollar

321,111

ProShares UltraShort Yen

35,860,499

ProShares Ultra Euro

185,378

ProShares Ultra Euro

3,517

ProShares Ultra Yen

159,695

ProShares Ultra Yen

3,275

VIX Futures Contracts

Receivables on open futures contracts

ProShares VIX Short-Term Futures
ETF

12,432,016

Payable on open futures contracts

ProShares Short VIX Short-Term Futures ETF

25,048,446

ProShares VIX Mid-Term Futures ETF

2,501,740

ProShares Ultra VIX Short-Term Futures ETF

48,652,087

Total Trust

171,404,831

Total Trust

137,433,393

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

123

Fair Value of Derivative Instruments

as of December 31, 2013

Asset Derivatives

Liability Derivatives

Derivatives not

accounted for

as hedging

instruments

Statements of

Financial

Condition

Location

Fund

Unrealized
Appreciation

Statements of

Financial

Condition

Location

Fund

Unrealized
Depreciation

Commodities Contracts

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

ProShares UltraShort Bloomberg Natural Gas

1,042,300

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

ProShares UltraShort Bloomberg Commodity

27,665

ProShares UltraShort Gold

5,647,573

ProShares UltraShort Bloomberg Crude Oil

3,565,673

ProShares UltraShort Silver

14,200

ProShares UltraShort Silver

2,227,857

ProShares Ultra Bloomberg Commodity

15,078

ProShares Ultra Bloomberg Natural Gas

3,656,539

ProShares Ultra Bloomberg Crude Oil

2,584,554

ProShares Ultra Gold

6,827,534

ProShares Ultra Silver

2,507,080

Foreign Exchange Contracts

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

ProShares UltraShort Australian Dollar

917,605

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

ProShares Short Euro

33,231

ProShares UltraShort Euro

151,351

ProShares UltraShort Euro

13,899,858

ProShares UltraShort Yen

31,317,568

ProShares UltraShort Yen

1,930,884

ProShares Ultra Euro

120,908

ProShares Ultra Australian Dollar

118,220

ProShares Ultra Yen

4,052

ProShares Ultra Euro

19,946

ProShares Ultra Yen

163,361

VIX Futures Contracts

Receivables on open futures contracts

ProShares Short VIX Short-Term Futures ETF

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

16,652,686

8,116,955

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

124

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2014


Derivatives not accounted for as hedging instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity	$	502,112		$	401,110
		ProShares UltraShort Bloomberg Crude Oil		42,549,744			29,109,258
		ProShares UltraShort Bloomberg Natural Gas		13,918,036			(4,337,530	)
		ProShares UltraShort Gold		(4,376,264	)		16,210,828
		ProShares UltraShort Silver		(1,123,414	)		22,946,708
		ProShares Ultra Bloomberg Commodity		(651,785	)		(339,598	)
		ProShares Ultra Bloomberg Crude Oil		(16,410,261	)		(12,476,761	)
		ProShares Ultra Bloomberg Natural Gas		(7,087,097	)		5,766,729
		ProShares Ultra Gold		1,375,191			(21,377,754	)
		ProShares Ultra Silver		9,486,957			(178,532,813	)

Foreign Exchange Contracts	Net realized gain (loss) on futures contracts and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures contracts and/or foreign currency forward contracts	ProShares Short Euro		767,314			541,828
		ProShares UltraShort Australian Dollar		549,795			2,249,440
		ProShares UltraShort Euro		32,039,809			42,910,400
		ProShares UltraShort Yen		15,787,084			44,778,863
		ProShares Ultra Australian Dollar		(80,720	)		(384,611	)
		ProShares Ultra Euro		(172,537	)		(212,588	)
		ProShares Ultra Yen		(86,452	)		(209,139	)

VIX Futures Contracts	Net realized gain (loss) on futures contracts/ changes in unrealized appreciation/depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(2,990,117	)		19,045,502
		ProShares VIX Mid-Term Futures ETF		(4,036,079	)		5,996,790
		ProShares Ultra VIX Short-Term Futures ETF		(4,719,200	)		89,185,433
		ProShares Short VIX Short-Term Futures ETF		18,146,923			(33,969,073	)

		Total Trust	$	93,389,039		$	27,303,022

125

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2013


Derivatives not accounted for as hedging instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity	$	13,664		$	(212,120	)
		ProShares UltraShort Bloomberg Crude Oil		(86,184,111	)		44,663,321
		ProShares UltraShort Bloomberg Natural Gas		2,862,705			(1,862,190	)
		ProShares UltraShort Gold		6,021,147			(44,053,880	)
		ProShares UltraShort Silver		6,003,481			(32,088,651	)
		ProShares Ultra Bloomberg Commodity		(85,078	)		233,903
		ProShares Ultra Bloomberg Crude Oil		53,589,084			(18,204,607	)
		ProShares Ultra Bloomberg Natural Gas		(14,491,916	)		9,380,633
		ProShares Ultra Gold		(5,910,890	)		36,566,124
		ProShares Ultra Silver		28,400,072			96,489,190

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		(39,024	)		(208,707	)
		ProShares UltraShort Australian Dollar		389,254			(1,865,253	)
		ProShares UltraShort Euro		(8,625,860	)		(30,678,790	)
		ProShares UltraShort Yen		(5,693,424	)		(8,391,457	)
		ProShares Ultra Australian Dollar		(123,128	)		277,231
		ProShares Ultra Euro		41,105			227,504
		ProShares Ultra Yen		(20,255	)		65,431

VIX Futures Contracts	Net realized gain (loss) on futures contracts/changes in unrealized appreciation/depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(58,627,489	)		1,983,669
		ProShares VIX Mid-Term Futures ETF		(6,929,719	)		(6,313,054	)
		ProShares Ultra VIX Short-Term Futures ETF		(197,375,157	)		9,751,723
		ProShares Short VIX Short-Term Futures ETF		37,631,293			(2,816,258	)

		Total Trust	$	(249,154,246	)	$	52,943,762

126

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2014


Derivatives not accounted for as hedging instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity	$	(3,522	)	$	379,056
		ProShares UltraShort Bloomberg Crude Oil		(1,295,265	)		11,401,138
		ProShares UltraShort Bloomberg Natural Gas		2,732,493			(2,911,986	)
		ProShares UltraShort Gold		(12,650,556	)		(25,093	)
		ProShares UltraShort Silver		(1,282,703	)		14,580,242
		ProShares Ultra Bloomberg Commodity		(274,839	)		(345,632	)
		ProShares Ultra Bloomberg Crude Oil		14,597,508			(9,827,181	)
		ProShares Ultra Bloomberg Natural Gas		9,878,729			8,012,503
		ProShares Ultra Gold		3,319,675			(1,317,485	)
		ProShares Ultra Silver		(22,797,421	)		(89,115,067	)

Foreign Exchange Contracts	Net realized gain (loss) on futures contracts and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures contracts and/or foreign currency forward contracts	ProShares Short Euro		925,848			463,900
		ProShares UltraShort Australian Dollar		(1,375,743	)		968,995
		ProShares UltraShort Euro		25,744,724			51,071,566
		ProShares UltraShort Yen		15,952,890			5,744,569
		ProShares Ultra Australian Dollar		177,523			(202,891	)
		ProShares Ultra Euro		(127,652	)		(282,823	)
		ProShares Ultra Yen		(108,048	)		2,889

VIX Futures Contracts	Net realized gain (loss) on futures contracts/ changes in unrealized appreciation/depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(28,437,457	)		29,084,702
		ProShares VIX Mid-Term Futures ETF		(16,100,400	)		7,398,429
		ProShares Ultra VIX Short-Term Futures ETF		(255,442,487	)		72,661,998
		ProShares Short VIX Short-Term Futures ETF		94,414,974			(33,165,401	)

		Total Trust	$	(172,151,729	)	$	64,576,428

127

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2013


Derivatives not accounted for as hedging instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity	$	472,331		$	51,626
		ProShares UltraShort Bloomberg Crude Oil		(91,283,615	)		53,041,584
		ProShares UltraShort Bloomberg Natural Gas		254,565			58,149
		ProShares UltraShort Gold		39,762,664			4,027,954
		ProShares UltraShort Silver		86,823,320			(10,266,771	)
		ProShares Ultra Bloomberg Commodity		(868,053	)		68,896
		ProShares Ultra Bloomberg Crude Oil		140,887,078			(68,999,815	)
		ProShares Ultra Bloomberg Natural Gas		410,025			7,251,345
		ProShares Ultra Gold		(124,334,744	)		(1,513,242	)
		ProShares Ultra Silver		(509,899,199	)		65,695,557

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		(114,962	)		(86,038	)
		ProShares UltraShort Australian Dollar		2,294,351			(552,202	)
		ProShares UltraShort Euro		(19,722,590	)		(12,784,494	)
		ProShares UltraShort Yen		139,331,278			(50,633,718	)
		ProShares Ultra Australian Dollar		(863,033	)		169,154
		ProShares Ultra Euro		12,734			103,314
		ProShares Ultra Yen		(1,694,827	)		569,791

VIX Futures Contracts	Net realized gain (loss) on futures contracts and swap agreements/changes in unrealized appreciation/depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(102,880,094	)		3,441,625
		ProShares VIX Mid-Term Futures ETF		(19,676,804	)		739,790
		ProShares Ultra VIX Short-Term Futures ETF		(302,301,436	)		10,634,281
		ProShares Short VIX Short-Term Futures ETF		58,706,439			(2,062,754	)

		Total Trust	$	(704,684,572	)	$	(1,045,968	)

128

Offsetting Assets and Liabilities

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

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of September 30, 2014 and December 31, 2013:


Fair Values of Derivative Instruments as of September 30, 2014
	Assets						Liabilities
	Gross Amounts of Recognized Assets presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Liabilities presented in the Statements of Financial Condition
ProShares UltraShort Bloomberg Commodity
Swap agreements	$	351,391	$	—	$	351,391	$	—	$	—	$	—
ProShares UltraShort Bloomberg Crude Oil
Futures contracts*		5,351,442		—		5,351,442		—		—		—
Swap agreements		1,336,940		—		1,336,940		—		—		—
ProShares UltraShort Bloomberg Natural Gas
Futures contracts*		242,198		—		242,198		—		—		—
ProShares UltraShort Gold
Forward agreements		5,603,080		—		5,603,080		—		—		—
Futures contracts*		760		—		760		—		—		—
ProShares UltraShort Silver
Forward agreements		12,351,895		—		12,351,895		—		—		—
Futures contracts*		1,905		—		1,905		—		—		—
ProShares Short Euro
Futures contracts*		86,385		—		86,385		—		—		—
ProShares UltraShort Australian Dollar
Futures contracts*		—		—		—		83,164		—		83,164
ProShares UltraShort Euro
Foreign currency forward contracts		39,102,543		—		39,102,543		1,779,484		—		1,779,484
ProShares UltraShort Yen
Foreign currency forward contracts		35,860,499		—		35,860,499		729,246		—		729,246
ProShares Ultra Bloomberg Commodity
Swap agreements		—		—		—		330,554		—		330,554
ProShares Ultra Bloomberg Crude Oil
Futures contracts*		—		—		—		5,850,066		—		5,850,066
Swap agreements		—		—		—		1,175,472		—		1,175,472
ProShares Ultra Bloomberg Natural Gas
Futures contracts*		—		—		—		803,837		—		803,837
ProShares Ultra Gold
Forward agreements		—		—		—		8,125,619		—		8,125,619

129


Futures contracts*	—	—	—	1,440	—	1,440
ProShares Ultra Silver
Forward agreements	—	—	—	91,592,767	—	91,592,767
Futures contracts*	—	—	—	5,100	—	5,100
ProShares Ultra Australian Dollar
Futures contracts*	13,680	—	13,680	—	—	—
ProShares Ultra Euro
Foreign currency forward contracts	3,517	—	3,517	185,378	—	185,378
ProShares Ultra Yen
Foreign currency forward contracts	3,275	—	3,275	159,695	—	159,695
ProShares VIX Short-Term Futures ETF
Futures contracts*	528,712	—	528,712	—	—	—
ProShares VIX Mid-Term Futures ETF
Futures contracts*	268,191	—	268,191	—	—	—
ProShares Ultra VIX Short-Term Futures ETF
Futures contracts*	11,373,242	—	11,373,242	—	—	—
ProShares Short VIX Short-Term Futures ETF
Futures contracts*	—	—	—	5,914,427	—	5,914,427

*	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.

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at September 30, 2014. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the un-collateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Account for Derivative Instruments”.


Gross Amounts Not Offset in the Statements of Financial Condition
	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition		Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds)/the Counterparties			Net Amount
ProShares UltraShort Bloomberg Commodity
Deutsche Bank AG	$	138,092	$	—		$	—		$	138,092
Goldman Sachs International		151,279		—			—			151,279
UBS AG		62,020		—			—			62,020
ProShares UltraShort Bloomberg Crude Oil
Deutsche Bank AG		386,649		—			(150,000	)		236,649
Goldman Sachs & Co.		5,351,442		—			—			5,351,442
Goldman Sachs International		119,484		—			—			119,484
Societe Generale S.A.		263,194		(263,194	)		—			—
UBS AG		567,613		—			—			567,613
ProShares UltraShort Bloomberg Natural Gas
Goldman Sachs & Co.		242,198		—			—			242,198
ProShares UltraShort Gold
Deutsche Bank AG		2,934,951		—			(2,934,951	)		—
Goldman Sachs & Co.		760		—			—			760
Goldman Sachs International		1,104,499		(1,040,501	)		—			63,998
Societe Generale S.A.		566,668		(566,668	)		—
UBS AG		996,962		(955,201	)		—			41,761
ProShares UltraShort Silver
Deutsche Bank AG		6,311,898		—			(4,950,000	)		1,361,898

130


Goldman Sachs & Co.	1,905		—		—	1,905
Goldman Sachs International	2,281,378		(1,823,180	)	—	458,198
Societe Generale S.A.	1,430,359		(1,430,359	)	—	—
UBS AG	2,328,260		(1,708,692	)	—	619,568
ProShares Short Euro
RBC Capital Markets	86,385		—		—	86,385
ProShares UltraShort Australian Dollar
RBC Capital Markets	(83,164	)	—		83,164	—
ProShares UltraShort Euro
Goldman Sachs International	17,950,679		(15,954,132	)	—	1,996,547
UBS AG	19,372,380		(17,710,695	)	—	1,661,685
ProShares UltraShort Yen
Goldman Sachs International	17,180,097		(16,269,531	)	—	910,566
UBS AG	17,951,156		(17,719,273	)	—	231,883
ProShares Ultra Bloomberg Commodity
Deutsche Bank AG	(135,580	)	135,580		—	—
Goldman Sachs International	(148,743	)	148,743		—	—
UBS AG	(46,231	)	46,231		—	—
ProShares Ultra Bloomberg Crude Oil
Deutsche Bank AG	(299,424	)	299,424		—	—
Goldman Sachs & Co.	(5,850,066	)	—		5,028,210	(821,856	)
Goldman Sachs International	(68,287	)	68,287		—	—
Societe Generale S.A.	(222,180	)	222,180		—	—
UBS AG	(585,581	)	585,581		—	—
ProShares Ultra Bloomberg Natural Gas
Goldman Sachs & Co.	(803,837	)	—		803,837	—
ProShares Ultra Gold
Deutsche Bank AG	(4,255,264	)	4,255,264		—	—
Goldman Sachs & Co.	(1,440	)	—		1,440	—
Goldman Sachs International	(1,626,387	)	1,626,387		—	—
Societe Generale S.A.	(714,569	)	714,569		—	—
UBS AG	(1,529,399	)	1,529,399		—	—
ProShares Ultra Silver
Deutsche Bank AG	(46,744,838	)	46,744,838		—	—
Goldman Sachs & Co.	(5,100	)	—		5,100	—
Goldman Sachs International	(17,435,908	)	17,435,908		—	—
Societe Generale S.A.	(9,689,940	)	9,689,940		—	—
UBS AG	(17,722,081	)	17,722,081		—	—
ProShares Ultra Australian Dollar
RBC Capital Markets	13,680		—		—	13,680
ProShares Ultra Euro
Goldman Sachs International	(30,998	)	30,998		—	—
UBS AG	(150,863	)	150,863		—	—
ProShares Ultra Yen
Goldman Sachs International	(29,649	)	29,649		—	—
UBS AG	(126,771	)	113,998		—	(12,773	)
ProShares VIX Short-Term Futures ETF
RBC Capital Markets	528,712		—		—	528,712
ProShares VIX Mid-Term Futures ETF
RBC Capital Markets	268,191		—		—	268,191
ProShares Ultra VIX Short-Term Futures ETF
RBC Capital Markets	11,373,242		—		—	11,373,242
ProShares Short VIX Short-Term Futures ETF
RBC Capital Markets	(5,914,427	)	—		5,914,427	—

131


Fair Values of Derivative Instruments as of December 31, 2013
	Assets						Liabilities
	Gross Amounts of Recognized Assets presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Assets presented in the Statements of Financial Condition		Gross Amounts of Recognized Liabilities presented in the Statements of Financial Condition		Gross Amounts Offset in the Statements of Financial Condition		Net Amounts of Liabilities presented in the Statements of Financial Condition
ProShares UltraShort Bloomberg Commodity
Swap agreements	$	—	$	—	$	—	$	27,665		—	$	27,665
ProShares UltraShort Bloomberg Crude Oil
Futures contracts*		1,503,943		—		1,503,943		—		—		—
Swap agreements		—		—		—		2,332,900		—		2,332,900
ProShares UltraShort Bloomberg Natural Gas
Futures contracts*		1,520,548		—		1,520,548		—		—		—
ProShares UltraShort Gold
Forward agreements		5,633,053		—		5,633,053		—		—		—
Futures contracts*		300		—		300		—		—		—
ProShares UltraShort Silver
Forward agreements		—		—		—		2,227,857		—		2,227,857
Futures contracts*		2,450		—		2,450		—		—		—
ProShares Short Euro
Futures contracts*		9,100		—		9,100		—		—		—
ProShares UltraShort Australian Dollar
Futures contracts*		—		—		—		86,166		—		86,166
ProShares UltraShort Euro
Foreign currency forward contracts		151,351		—		151,351		13,899,858		—		13,899,858
ProShares UltraShort Yen
Foreign currency forward contracts		31,317,568		—		31,317,568		1,930,884		—		1,930,884
ProShares Ultra Bloomberg Commodity
Swap agreements		15,078		—		15,078		—		—		—
ProShares Ultra Bloomberg Crude Oil
Futures contracts*		—		—		—		997,210		—		997,210
Swap agreements		1,957,893		—		1,957,893		—		—		—
ProShares Ultra Bloomberg Natural Gas
Futures contracts*		—		—		—		5,628,532		—		5,628,532
ProShares Ultra Gold
Forward agreements		—		—		—		6,812,974		—		6,812,974
Futures contracts*		—		—		—		300		—		300
ProShares Ultra Silver
Forward agreements		—		—		—		2,492,880		—		2,492,880
Futures contracts*		—		—		—		2,450		—		2,450
ProShares Ultra Australian Dollar
Futures contracts*		10,650		—		10,650		—		—		—
ProShares Ultra Euro
Foreign currency forward contracts		120,908		—		120,908		19,946		—		19,946
ProShares Ultra Yen
Foreign currency forward contracts		4,052		—		4,052		163,361		—		163,361
ProShares VIX Short-Term Futures ETF
Futures contracts*		3,179,017		—		3,179,017		—		—		—
ProShares VIX Mid-Term Futures ETF
Futures contracts*		100,734		—		100,734		—		—		—
ProShares Ultra VIX Short-Term Futures ETF
Futures contracts*		—		—		—		3,356,803		—		3,356,803
ProShares Short VIX Short-Term Futures ETF
Futures contracts*		603,833		—		603,833		—		—		—

132

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.

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at December 31, 2013. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Account for Derivative Instruments”.


Gross Amounts Not Offset in the Statements of Financial Condition
	Amounts of Recognized Assets / (Liabilities) presented in the Statements of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares UltraShort Bloomberg Commodity
Deutsche Bank AG	$	(11,710	)	$	11,710		$	—		$	—
Goldman Sachs International		(12,945	)		12,945			—			—
UBS AG		(3,010	)		3,010			—			—
ProShares UltraShort Bloomberg Crude Oil
Deutsche Bank AG		(570,114	)		570,114			—			—
Goldman Sachs & Co.		1,503,943			—			—			1,503,943
Goldman Sachs International		(632,990	)		632,990			—			—
Societe Generale S.A.		(402,586	)		402,586			—			—
UBS AG		(727,210	)		727,210			—			—
ProShares UltraShort Bloomberg Natural Gas
Goldman Sachs & Co.		1,520,548			—			—			1,520,548
ProShares UltraShort Gold
Deutsche Bank AG		2,258,281			—			(2,258,281	)		—
Goldman Sachs & Co.		300			—			—			300
Goldman Sachs International		1,411,290			(1,411,290	)		—			—
Societe Generale S.A.		665,044			(665,044	)		—			—
UBS AG		1,298,438			(1,298,438	)		—			—
ProShares UltraShort Silver
Deutsche Bank AG		(445,752	)		445,752			—			—
Goldman Sachs & Co.		2,450			—			—			2,450
Goldman Sachs International		(1,257,636	)		1,257,636			—			—
Societe Generale S.A.		(7,359	)		7,359			—			—
UBS AG		(517,110	)		517,110			—			—
ProShares Short Euro
RBC Capital Markets		9,100			—			—			9,100
ProShares UltraShort Australian Dollar
RBC Capital Markets		(86,166	)		—			86,166			—
ProShares UltraShort Euro
Goldman Sachs International		64,104			—			—			64,104
Goldman Sachs International		(6,820,802	)		6,820,802						—
UBS AG		87,247			—			—			87,247
UBS AG		(7,079,056	)		7,079,056			—			—
ProShares UltraShort Yen
Goldman Sachs International		15,716,318			(13,635,426	)		—			2,080,892

133


Goldman Sachs International	(884,849	)	884,849		—		—
UBS AG	15,601,250		(14,004,926	)	—		1,596,324
UBS AG	(1,046,035	)	1,046,035		—		—
ProShares Ultra Bloomberg Commodity
Deutsche Bank AG	6,454		—		—		6,454
Goldman Sachs International	4,974		—		—		4,974
UBS AG	3,650		—		—		3,650
ProShares Ultra Bloomberg Crude Oil
Deutsche Bank AG	622,117		—		(622,117	)	—
Goldman Sachs & Co.	(997,210	)	—		997,210		—
Goldman Sachs International	576,723		(576,723	)	—		—
Societe Generale S.A.	275,816		(275,816	)	—		—
UBS AG	483,237		(483,237	)	—		—
ProShares Ultra Bloomberg Natural Gas
Goldman Sachs & Co.	(5,628,532	)	—		4,630,277		(998,255	)
ProShares Ultra Gold
Deutsche Bank AG	(3,543,937	)	3,543,937		—		—
Goldman Sachs & Co.	(300	)	—		300		—
Goldman Sachs International	(1,327,335	)	1,327,335		—		—
Societe Generale S.A.	(785,038	)	785,038		—		—
UBS AG	(1,156,664	)	1,156,664		—		—
ProShares Ultra Silver
Deutsche Bank AG	(350,663	)	350,663		—		—
Goldman Sachs & Co.	(2,450	)	—		2,450		—
Goldman Sachs International	(1,345,433	)	1,345,433		—		—
Societe Generale S.A.	(28,581	)	28,581		—		—
UBS AG	(768,203	)	768,203		—		—
ProShares Ultra Australian Dollar
RBC Capital Markets	10,650		—		—		10,650
ProShares Ultra Euro
Goldman Sachs International	56,991		—		—		56,991
Goldman Sachs International	(19,770	)	19,770		—		—
UBS AG	63,917		—		—		63,917
UBS AG	(176	)	176		—		—
ProShares Ultra Yen
Goldman Sachs International	2,462		—		—		2,462
Goldman Sachs International	(78,309	)	78,309		—		—
UBS AG	1,590		—		—		1,590
UBS AG	(85,052	)	85,052		—		—
ProShares VIX Short-Term Futures ETF
RBC Capital Markets	3,179,017		—		—		3,179,017
ProShares VIX Mid-Term Futures ETF
RBC Capital Markets	100,734		—		—		100,734
ProShares Ultra VIX Short-Term Futures ETF
RBC Capital Markets	(3,356,803	)	—		3,356,803		—
ProShares Short VIX Short-Term Futures ETF
RBC Capital Markets	603,833		—		—		603,833

134

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. The Managed Futures Fund will pay the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.75% per annum of its average daily net assets. The Sponsor did not and will not charge its fee in the first year of operation of each Fund in an amount equal to the offering costs. The Sponsor reimbursed each Fund to the extent that its offering costs exceed the Management Fee for the first year of operations. The Management Fee is paid in consideration of the Sponsor’s services as commodity pool operator, and for managing the business and affairs of the Funds. From the Management Fee, the Sponsor pays the fees and expenses of the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent and any index licensors for the Funds , the routine operational, administrative and other ordinary expenses of each Fund, and the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations, including, but not limited to, expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses. For the three and nine months ended September 30, 2013 and from January 1, 2014 through July 30, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually. 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.

135

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 and will not charge its Management Fee in the first year of operations of the Ultra Australian Dollar Fund, UltraShort Australian Dollar Fund, Short Euro Fund and the Managed Futures Fund in an amount equal to the offering costs. The Sponsor reimbursed each Fund, with the exception of each Matching VIX Fund and the Managed Futures Fund, to the extent that its offering costs exceeded 0.95% of its average daily NAV for the first year of operations. The Sponsor will reimburse the Managed Futures Fund to the extent that its offering costs exceed 0.75% of its average daily NAV for the first year of operations. Normal and expected expenses incurred in connection with the continuous offering of Shares of the Managed Futures Fund after the commencement of its trading operations will be paid by the Sponsor.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and the Managed Futures Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements, such as references to the Transaction Fees imposed on purchases and redemptions, is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is dictated by the terms of the Authorized Participant Agreement and Authorized Participant Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co., as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% 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.

136

Transaction fees for the three and nine months ended September 30, 2014, which are included in the Sale and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:


Fund	Three Months Ended September 30, 2014		Nine Months Ended September 30, 2014
UltraShort Bloomberg Commodity	$	—	$	—
UltraShort Bloomberg Crude Oil		54,104		199,604
UltraShort Bloomberg Natural Gas		3,896		20,800
UltraShort Gold		5,064		28,170
UltraShort Silver		6,199		41,467
Short Euro		—		—
UltraShort Australian Dollar		—		—
UltraShort Euro		—		—
UltraShort Yen		—		—
Ultra Bloomberg Commodity		—		249
Ultra Bloomberg Crude Oil		50,115		136,889
Ultra Bloomberg Natural Gas		6,542		16,058
Ultra Gold		2,477		9,475
Ultra Silver		16,924		54,987
Ultra Australian Dollar		—		—
Ultra Euro		—		—
Ultra Yen		—		—
VIX Short-Term Futures ETF		20,220		20,220
VIX Mid-Term Futures ETF		1,328		1,328
Ultra VIX Short-Term Futures ETF		163,716		446,535
Short VIX Short-Term Futures ETF		67,037		131,011

Total Trust	$	397,622	$	1,106,793

137

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended September 30, 2014:

For the Three Months Ended September 30, 2014 (unaudited)


Per Share Operating Performance	UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar
Net asset value, at June 30, 2014	$	54.2430		$	24.6332		$	40.5583		$	83.9968		$	73.6642		$	35.6131		$	40.2542
Net investment income (loss)		(0.1422	)		(0.0654	)		(0.1378	)		(0.2023	)		(0.1862	)		(0.0864	)		(0.1020	)
Net realized and unrealized gain (loss)		15.0557			6.2237			5.8977			13.1335			33.6339			2.9991			5.7257
Change in net asset value from operations		14.9135			6.1583			5.7599			12.9312			33.4477			2.9127			5.6237
Net asset value, at September 30, 2014	$	69.1565		$	30.7915		$	46.3182		$	96.9280		$	107.1119		$	38.5258		$	45.8779
Market value per share, at June 30, 2014†	$	52.00		$	24.61		$	40.43		$	82.11		$	72.05		$	35.66		$	40.29
Market value per share, at September 30, 2014†	$	67.85		$	30.60		$	46.48		$	98.24		$	107.60		$	38.50		$	45.82

Total Return, at net asset value^		27.5	%		25.0	%		14.2	%		15.4	%		45.4	%		8.2	%		14.0	%
Total Return, at market value^		30.5	%		24.3	%		15.0	%		19.6	%		49.3	%		8.0	%		13.7	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.97	)%		(1.14	)%		(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)		(0.92	)%		(0.94	)%		(1.11	)%		(0.92	)%		(0.91	)%		(0.93	)%		(0.98	)%

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

^	Percentages are not annualized for the period ended September 30, 2014.

**	Percentages are annualized.

138

For the Three Months Ended September 30, 2014 (unaudited)


Per Share Operating Performance	UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver
Net asset value, at June 30, 2014	$	17.0603		$	64.8923		$	22.0290		$	39.1905		$	45.0351		$	48.3777		$	70.1043
Net investment income (loss)		(0.0419	)		(0.1581	)		(0.0447	)		(0.0778	)		(0.0923	)		(0.1051	)		(0.1442	)
Net realized and unrealized gain (loss)		2.9566			11.0143			(4.9560	)		(8.9949	)		(8.7309	)		(7.1796	)		(23.5528	)
Change in net asset value from operations		2.9147			10.8562			(5.0007	)		(9.0727	)		(8.8232	)		(7.2847	)		(23.6970	)
Net asset value, at September 30, 2014	$	19.9750		$	75.7485		$	17.0283		$	30.1178		$	36.2119		$	41.0930		$	46.4073
Market value per share, at June 30, 2014†	$	17.05		$	64.89		$	22.02		$	39.19		$	45.02		$	49.41		$	71.76
Market value per share, at September 30, 2014†	$	19.96		$	75.76		$	17.06		$	30.34		$	36.20		$	40.59		$	46.15

Total Return, at net asset value^		17.1	%		16.7	%		(22.7	)%		(23.2	)%		(19.6	)%		(15.1	)%		(33.8	)%
Total Return, at market value^		17.1	%		16.8	%		(22.5	)%		(22.6	)%		(19.6	)%		(17.9	)%		(35.7	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.95	)%		(0.95	)%		(0.97	)%		(1.09	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.91	)%		(0.92	)%		(0.91	)%		(0.94	)%		(1.06	)%		(0.91	)%		(0.91	)%

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

^	Percentages are not annualized for the period ended September 30, 2014.

**	Percentages are annualized.

139

For the Three Months Ended September 30, 2014 (unaudited)


Per Share Operating Performance	Ultra Australian Dollar			Ultra Euro			Ultra Yen			VIX Short-Term Futures ETF			VIX Mid-Term Futures ETF*			Ultra VIX Short Term Futures ETF			Short VIX Short Term Futures ETF
Net asset value, at June 30, 2014	$	35.9201		$	25.6654		$	19.9677		$	19.0084		$	61.7690		$	26.5520		$	88.4063
Net investment income (loss)		(0.0837	)		(0.0553	)		(0.0438	)		(0.0444	)		(0.1295	)		(0.1176	)		(0.3181	)
Net realized and unrealized gain (loss)		(4.6513	)		(3.8505	)		(2.9546	)		1.8571			2.3798			3.3319			(13.2748	)
Change in net asset value from operations		(4.7350	)		(3.9058	)		(2.9984	)		1.8127			2.2503			3.2143			(13.5929	)
Net asset value, at September 30, 2014	$	31.1851		$	21.7596		$	16.9693		$	20.8211		$	64.0193		$	29.7663		$	74.8134
Market value per share, at June 30, 2014†	$	35.65		$	25.80		$	20.07		$	19.03		$	61.88		$	26.62		$	88.27
Market value per share, at September 30, 2014†	$	30.99		$	21.72		$	17.06		$	20.78		$	63.88		$	29.63		$	74.94

Total Return, at net asset value^		(13.2	)%		(15.2	)%		(15.0	)%		9.5	%		3.6	%		12.1	%		(15.4	)%
Total Return, at market value^		(13.1	)%		(15.8	)%		(15.0	)%		9.2	%		3.2	%		11.3	%		(15.1	)%

Ratios to Average Net Assets**

Expense ratio		(0.99	)%		(0.95	)%		(0.95	)%		(0.94	)%		(0.88	)%		(1.82	)%		(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)		(0.95	)%		(0.91	)%		(0.92	)%		(0.92	)%		(0.85	)%		(1.80	)%		(1.52	)%

*	See Note 9 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 September 30, 2014.

**	Percentages are annualized.

140

Selected data for a Share outstanding throughout the three months ended September 30, 2013:

For the Three Months Ended September 30, 2013 (unaudited)


Per Share Operating Performance	UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar
Net asset value, at June 30, 2013	$	65.8903		$	36.3393		$	88.5724		$	114.0985		$	110.5972		$	37.9264		$	46.4112
Net investment income (loss)		(0.1408	)		(0.0691	)		(0.2504	)		(0.2074	)		(0.1902	)		(0.0886	)		(0.1140	)
Net realized and unrealized gain (loss)		(3.3059	)		(6.0060	)		3.3319			(25.7822	)		(33.8396	)		(1.4518	)		(2.7008	)
Change in net asset value from operations		(3.4467	)		(6.0751	)		3.0815			(25.9896	)		(34.0298	)		(1.5404	)		(2.8148	)
Net asset value, at September 30, 2013	$	62.4436		$	30.2642		$	91.6539		$	88.1089		$	76.5674		$	36.3860		$	43.5964
Market value per share, at June 30, 2013†	$	64.97		$	36.45		$	88.00		$	106.50		$	101.27		$	38.01		$	46.54
Market value per share, at September 30, 2013†	$	57.37		$	30.25		$	91.86		$	87.88		$	76.49		$	36.41		$	43.54

Total Return, at net asset value^		(5.2	)%		(16.7	)%		3.5	%		(22.8	)%		(30.8	)%		(4.1	)%		(6.1	)%
Total Return, at market value^		(11.7	)%		(17.0	)%		4.4	%		(17.5	)%		(24.5	)%		(4.2	)%		(6.4	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.97	)%		(1.17	)%		(0.95	)%		(0.95	)%		(0.97	)%		(1.02	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.91	)%		(0.94	)%		(1.14	)%		(0.91	)%		(0.91	)%		(0.95	)%		(0.99	)%

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

^	Percentages are not annualized for the period ended September 30, 2013.

**	Percentages are annualized.

141

For the Three Months Ended September 30, 2013 (unaudited)


Per Share Operating Performance	UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver*
Net asset value, at June 30, 2013	$	19.2890		$	64.1071		$	19.2603		$	30.1614		$	36.0214		$	41.6758		$	62.9731
Net investment income (loss)		(0.0429	)		(0.1464	)		(0.0469	)		(0.0851	)		(0.0937	)		(0.1173	)		(0.1834	)
Net realized and unrealized gain (loss)		(1.5079	)		(1.7693	)		0.7443			4.6335			(3.6705	)		9.1902			17.4893
Change in net asset value from operations		(1.5508	)		(1.9157	)		0.6974			4.5484			(3.7642	)		9.0729			17.3059
Net asset value, at September 30, 2013	$	17.7382		$	62.1914		$	19.9577		$	34.7098		$	32.2572		$	50.7487		$	80.2790
Market value per share, at June 30, 2013†	$	19.29		$	64.08		$	18.96		$	30.11		$	36.26		$	44.63		$	68.00
Market value per share, at September 30, 2013†	$	17.75		$	62.23		$	19.92		$	34.73		$	32.18		$	50.86		$	80.20

Total Return, at net asset value^		(8.0	)%		(3.0	)%		3.6	%		15.1	%		(10.4	)%		21.8	%		27.5	%
Total Return, at market value^		(8.0	)%		(2.9	)%		5.1	%		15.3	%		(11.3	)%		14.0	%		17.9	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.95	)%		(0.95	)%		(0.96	)%		(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)		(0.92	)%		(0.92	)%		(0.91	)%		(0.93	)%		(1.08	)%		(0.91	)%		(0.91	)%

*	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 September 30, 2013.

**	Percentages are annualized.

142

For the Three Months Ended September 30, 2013 (unaudited)


Per Share Operating Performance	Ultra Australian Dollar			Ultra Euro			Ultra Yen			VIX Short-Term Futures ETF			VIX Mid-Term Futures ETF⁺			Ultra VIX Short Term Futures ETF*			Short VIX Short Term Futures ETF*
Net asset value, at June 30, 2013	$	32.8323		$	23.4744		$	21.2199		$	55.9419		$	113.1502		$	287.9838		$	39.1314
Net investment income (loss)		(0.0804	)		(0.0556	)		(0.0490	)		(0.0874	)		(0.1983	)		(0.7102	)		(0.1909	)
Net realized and unrealized gain (loss)		1.5404			1.8323			0.3008			(16.3058	)		(20.2429	)		(149.1718	)		13.5673
Change in net asset value from operations		1.4600			1.7767			0.2518			(16.3932	)		(20.4412	)		(149.8820	)		13.3764
Net asset value, at September 30, 2013	$	34.2923		$	25.2511		$	21.4717		$	39.5487		$	92.7090		$	138.1018		$	52.5078
Market value per share, at June 30, 2013†	$	33.96		$	23.25		$	21.10		$	55.91		$	113.00		$	286.76		$	39.23
Market value per share, at September 30, 2013†	$	34.35		$	25.30		$	21.70		$	39.45		$	92.08		$	137.36		$	52.57

Total Return, at net asset value^		4.4	%		7.6	%		1.2	%		(29.3	)%		(18.1	)%		(52.0	)%		34.2	%
Total Return, at market value^		1.1	%		8.8	%		2.8	%		(29.4	)%		(18.5	)%		(52.1	)%		34.0	%

Ratios to Average Net Assets**

Expense ratio		(1.00	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(1.81	)%		(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)		(0.97	)%		(0.91	)%		(0.91	)%		(0.83	)%		(0.82	)%		(1.79	)%		(1.51	)%

*	See Note 1 of these Notes to Financial Statements.

⁺	See Note 9 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 September 30, 2013.

**	Percentages are annualized.

143

Selected data for a Share outstanding throughout the nine months ended September 30, 2014:

For the Nine Months Ended September 30, 2014 (unaudited)


Per Share Operating Performance	UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar
Net asset value, at December 31, 2013	$	63.2936		$	31.7301		$	69.9635		$	103.5180		$	89.7820		$	35.5867		$	46.6384
Net investment income (loss)		(0.3965	)		(0.1953	)		(0.3585	)		(0.5973	)		(0.5505	)		(0.2496	)		(0.3090	)
Net realized and unrealized gain (loss)#		6.2594			(0.7433	)		(23.2868	)		(5.9927	)		17.8804			3.1887			(0.4515	)
Change in net asset value from operations		5.8629			(0.9386	)		(23.6453	)		(6.5900	)		17.3299			2.9391			(0.7605	)
Net asset value, at September 30, 2014	$	69.1565		$	30.7915		$	46.3182		$	96.9280		$	107.1119		$	38.5258		$	45.8779
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 September 30, 2014†	$	67.85		$	30.60		$	46.48		$	98.24		$	107.60		$	38.50		$	45.82

Total Return, at net asset value^		9.3	%		(3.0	)%		(33.8	)%		(6.4	)%		19.3	%		8.3	%		(1.6	)%
Total Return, at market value^		16.2	%		(3.1	)%		(33.0	)%		(5.1	)%		19.3	%		8.0	%		(1.8	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.97	)%		(1.16	)%		(0.95	)%		(0.95	)%		(0.96	)%		(1.01	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.91	)%		(0.93	)%		(1.11	)%		(0.90	)%		(0.90	)%		(0.92	)%		(0.96	)%

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

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

^	Percentages are not annualized for the period ended September 30, 2014.

**	Percentages are annualized.

144

For the Nine Months Ended September 30, 2014 (unaudited)


Per Share Operating Performance	UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver
Net asset value, at December 31, 2013	$	17.0613		$	70.8640		$	19.4317		$	32.0899		$	38.8383		$	41.2553		$	63.3305
Net investment income (loss)		(0.1173	)		(0.4498	)		(0.1409	)		(0.2302	)		(0.3216	)		(0.3155	)		(0.4388	)
Net realized and unrealized gain (loss)#		3.0310			5.3343			(2.2625	)		(1.7419	)		(2.3048	)		0.1532			(16.4844	)
Change in net asset value from operations		2.9137			4.8845			(2.4034	)		(1.9721	)		(2.6264	)		(0.1623	)		(16.9232	)
Net asset value, at September 30, 2014	$	19.9750		$	75.7485		$	17.0283		$	30.1178		$	36.2119		$	41.0930		$	46.4073
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 September 30, 2014†	$	19.96		$	75.76		$	17.06		$	30.34		$	36.20		$	40.59		$	46.15

Total Return, at net asset value^		17.1	%		6.9	%		(12.4	)%		(6.1	)%		(6.8	)%		(0.4	)%		(26.7	)%
Total Return, at market value^		17.0	%		6.8	%		(10.8	)%		(5.8	)%		(7.8	)%		(1.6	)%		(26.8	)%

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)		(0.90	)%		(0.89	)%		(0.91	)%		(0.93	)%		(1.07	)%		(0.91	)%		(0.91	)%

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

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

^	Percentages are not annualized for the period ended September 30, 2014.

**	Percentages are annualized.

145


For the Nine Months Ended September 30, 2014 (unaudited)

Per Share Operating Performance	Ultra Australian Dollar			Ultra Euro			Ultra Yen			VIX Short-Term Futures ETF			VIX Mid-Term Futures ETF*			Ultra VIX Short Term Futures ETF			Short VIX Short Term Futures ETF
Net asset value, at December 31, 2013	$	31.6801		$	26.0346		$	18.6318		$	28.5387		$	77.1837		$	67.0841		$	67.4993
Net investment income (loss)		(0.2384	)		(0.1697	)		(0.1304	)		(0.1518	)		(0.4227	)		(0.4998	)		(0.7883	)
Net realized and unrealized gain (loss)#		(0.2566	)		(4.1053	)		(1.5321	)		(7.5658	)		(12.7417	)		(36.8180	)		8.1024
Change in net asset value from operations		(0.4950	)		(4.2750	)		(1.6625	)		(7.7176	)		(13.1644	)		(37.3178	)		7.3141
Net asset value, at September 30, 2014	$	31.1851		$	21.7596		$	16.9693		$	20.8211		$	64 .0193		$	29.7663		$	74.8134
Market value per share, at December 31, 2013†	$	31.61		$	25.98		$	18.61		$	28.53		$	77.16		$	67.12		$	67.47
Market value per share, at September 30, 2014†	$	30.99		$	21.72		$	17.06		$	20.78		$	63.88		$	29.63		$	74.94

Total Return, at net asset value^		(1.6	)%		(16.4	)%		(8.9	)%		(27.0	)%		(17.1	)%		(55.6	)%		10.8	%
Total Return, at market value^		(2.0	)%		(16.4	)%		(8.3	)%		(27.2	)%		(17.2	)%		(55.9	)%		11.1	%

Ratios to Average Net Assets**

Expense ratio		(0.99	)%		(0.95	)%		(0.95	)%		(0.87	)%		(0.86	)%		(1.78	)%		(1.51	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.94	)%		(0.90	)%		(0.90	)%		(0.83	)%		(0.82	)%		(1.75	)%		(1.47	)%

*	See Note 9 of these Notes to Financial Statements.

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

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

^	Percentages are not annualized for the period ended September 30, 2014.

**	Percentages are annualized.

146

Selected data for a Share outstanding throughout the nine months ended September 30, 2013:

For the Nine Months Ended September 30, 2013 (unaudited)


Per Share Operating Performance	UltraShort Bloomberg Commodity			UltraShort Bloomberg Crude Oil			UltraShort Bloomberg Natural Gas			UltraShort Gold			UltraShort Silver			Short Euro			UltraShort Australian Dollar
Net asset value, at December 31, 2012	$	54.1021		$	40.3079		$	102.1402		$	63.8688		$	51.3951		$	37.6285		$	37.8081
Net investment income (loss)		(0.3875	)		(0.2262	)		(0.6806	)		(0.5395	)		(0.4408	)		(0.2593	)		(0.3257	)
Net realized and unrealized gain (loss)#		8.7290			(9.8175	)		(9.8057	)		24.7796			25.6131			(0.9832	)		6.1140
Change in net asset value from operations		8.3415			(10.0437	)		(10.4863	)		24.2401			25.1723			(1.2425	)		5.7883
Net asset value, at September 30, 2013	$	62.4436		$	30.2642		$	91.6539		$	88.1089		$	76.5674		$	36.3860		$	43.5964
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 September 30, 2013†	$	57.37		$	30.25		$	91.86		$	87.88		$	76.49		$	36.41		$	43.54

Total Return, at net asset value^		15.4	%		(24.9	)%		(10.3	)%		38.0	%		49.0	%		(3.3	)%		15.3	%
Total Return, at market value^		11.1	%		(25.2	)%		(9.6	)%		40.4	%		52.8	%		(3.3	)%		15.4	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.98	)%		(1.20	)%		(0.95	)%		(0.95	)%		(0.96	)%		(1.03	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.89	)%		(0.93	)%		(1.15	)%		(0.90	)%		(0.89	)%		(0.93	)%		(0.99	)%

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

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

^	Percentages are not annualized for the period ended September 30, 2013.

**	Percentages are annualized.

147

For the Nine Months Ended September 30, 2013 (unaudited)


Per Share Operating Performance	UltraShort Euro			UltraShort Yen			Ultra Bloomberg Commodity			Ultra Bloomberg Crude Oil			Ultra Bloomberg Natural Gas			Ultra Gold			Ultra Silver*
Net asset value, at December 31, 2012	$	19.0172		$	50.7577		$	24.3875		$	29.3941		$	39.0490		$	83.7634		$	171.8906
Net investment income (loss)		(0.1275	)		(0.4164	)		(0.1487	)		(0.2120	)		(0.3134	)		(0.4298	)		(0.7216	)
Net realized and unrealized gain (loss)#		(1.1515	)		11.8501			(4.2811	)		5.5277			(6.4784	)		(32.5849	)		(90.8900	)
Change in net asset value from operations		(1.2790	)		11.4337			(4.4298	)		5.3157			(6.7918	)		(33.0147	)		(91.6116	)
Net asset value, at September 30, 2013	$	17.7382		$	62.1914		$	19.9577		$	34.7098		$	32.2572		$	50.7487		$	80.2790

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 September 30, 2013†	$	17.75		$	62.23		$	19.92		$	34.73		$	32.18		$	50.86		$	80.20

Total Return, at net asset value^		(6.7	)%		22.5	%		(18.2	)%		18.1	%		(17.4	)%		(39.4	)%		(53.3	)%
Total Return, at market value^		(6.6	)%		22.6	%		(16.8	)%		18.5	%		(18.0	)%		(40.4	)%		(54.5	)%

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)		(0.90	)%		(0.90	)%		(0.90	)%		(0.91	)%		(1.08	)%		(0.88	)%		(0.88	)%

*	See Note 1 of these Notes to Financial Statements.

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

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

^	Percentages are not annualized for the period ended September 30, 2013.

**	Percentages are annualized.

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For the Nine Months Ended September 30, 2013 (unaudited)

Per Share Operating Performance	Ultra Australian Dollar			Ultra Euro			Ultra Yen			VIX Short-Term Futures ETF			VIX Mid-Term Futures ETF⁺			Ultra VIX Short Term Futures ETF*			Short VIX Short Term Futures ETF*
Net asset value, at December 31, 2012	$	41.4986		$	24.3499		$	28.1840		$	83.9374		$	138.8013		$	805.2711		$	33.0649
Net investment income (loss)		(0.2663	)		(0.1625	)		(0.1519	)		(0.3083	)		(0.6171	)		(3.1394	)		(0.5081	)
Net realized and unrealized gain (loss)		(6.9400	)		1.0637			(6.5604	)		(44.0804	)		(45.4752	)		(664.0299	)		19.9510
Change in net asset value from operations		(7.2063	)		0.9012			(6.7123	)		(44.3887	)		(46.0923	)		(667.1693	)		19.4429
Net asset value, at September 30, 2013	$	34.2923		$	25.2511		$	21.4717		$	39.5487		$	92.7090		$	138.1018		$	52.5078

Market value per share, at December 31, 2012†	$	41.45		$	24.32		$	28.28		$	85.05		$	136.88		$	836.00		$	32.73
Market value per share, at September 30, 2013†	$	34.35		$	25.30		$	21.70		$	39.45		$	92.08		$	137.36		$	52.57

Total Return, at net asset value^		(17.4	)%		3.7	%		(23.8	)%		(52.9	)%		(33.2	)%		(82.9	)%		58.8	%
Total Return, at market value^		(17.1	)%		4.0	%		(23.3	)%		(53.6	)%		(32.7	)%		(83.6	)%		60.6	%

Ratios to Average Net Assets**

Expense ratio		(0.99	)%		(0.95	)%		(0.95	)%		(0.85	)%		(0.85	)%		(1.84	)%		(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)		(0.95	)%		(0.90	)%		(0.89	)%		(0.81	)%		(0.81	)%		(1.82	)%		(1.50	)%

*	See Note 1 of these Notes to Financial Statements.

⁺	See Note 9 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 September 30, 2013.

**	Percentages are annualized.

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NOTE 8 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from the inverse (-1x), two times the inverse (-2x), or two times (2x) of the return of the Geared Fund’s benchmark for the period. A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short and UltraShort Funds), as a result of daily rebalancing, the benchmark’s volatility and compounding. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Fund’s underlying benchmark. The Matching VIX Funds and the Managed Futures Fund seek to achieve their stated investment objective both over a single day and over time.

Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra Fund with a 2x multiple should be approximately two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of a Short or UltraShort Fund is designed to return the inverse (-1x) or two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present different risks than other funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Daily objective geared funds, if used properly and in conjunction with the investor’s view on the future direction and volatility of the markets, can be useful tools for investors who want to manage their exposure to various markets and market segments and who are willing to monitor and/or periodically rebalance their portfolios. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds expect to meet their investment objectives, several factors may affect their ability to do so. Among these factors are: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmark; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding instruments traded in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; (10) accounting standards; and (11) differences caused by a Fund obtaining exposure to only a representative sample of the components of a benchmark, overweighting or underweighting certain components of a benchmark or obtaining exposure to assets that are not included in a benchmark.

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions or extreme market volatility will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -1x, -2x or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day. In addition, unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

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Counterparty Risk

Certain of the Funds will use swap agreements and/or forward contracts as a means to achieve their respective investment objectives. Such Funds will use either swap agreements and/or forward contracts referencing their respective benchmarks. These Funds may also invest in other swap agreements or forward contracts if such instruments tend to exhibit trading prices or returns that correlate with the benchmark or a component of the benchmark and will further the investment objective of the Fund. Certain Funds may invest in swap agreements or forward contracts if position accountability rules or position limits are reached with respect to specific futures contracts or the market for a specific futures contract experiences emergencies (e.g., natural disaster, terrorist attack or an act of God) or disruptions (e.g., a trading halt or a flash crash) that prevent the Funds from obtaining the appropriate amount of investment exposure to the affected futures contract or certain other futures contracts. Although unlikely, those Funds, under these circumstances, could have 100% exposure to swap agreements or forward contracts.

Swap agreements and forward contracts are generally traded in OTC markets and have only recently become subject to regulation by the CFTC. CFTC rules, however, do not cover all types of swap agreements and forward contracts. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

The Funds will be subject to credit risk with respect to the counterparties to the derivatives contracts (whether a clearing corporation in the case of cleared instruments or another third party in the case of OTC uncleared instruments). Unlike in futures contracts, the counterparty to uncleared swap agreements or forward contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. As a result, a Fund is subject to credit risk with respect to the amount it expects to receive from counterparties to uncleared swaps and forward contracts entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.

The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds; however there are no limitations on the percentage of its assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.

OTC swaps or forward contracts are less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. If the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap agreement or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Transactions entered into directly between two counterparties generally do not benefit from such protections. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

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

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

Leverage Risk

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

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

Liquidity Risk

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

“Contango” and “Backwardation” Risk

In Funds that hold futures contracts, as the futures contracts near expiration, they are generally replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in November 2014 may specify a January 2015 expiration. For an Ultra Fund and a Matching VIX Fund, as that contract nears expiration, it may be replaced by selling the January 2015 contract and purchasing the contract expiring in March 2015. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the January 2015 contract would take place at a price that is higher than the price at which the March 2015 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund 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.

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Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to maintain the constant weighted average maturity of the S&P 500 VIX Short-Term Futures Index or the S&P 500 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.

Other Matters

On September 9, 2014, NYSE Regulation, Inc. (“NYSE Regulation”) sent a letter informing the Sponsor that ProShares Ultra Australian Dollar failed to comply with continued NYSE Arca Equities, Inc. listing standards regarding its number of record or beneficial holders. The Sponsor sent a written plan (“Plan”) to the NYSE Regulation designed to increase and sustain a higher number of record or beneficial holders. Upon review and consideration of the Plan, the NYSE Regulation Staff has granted an extension allowing the continued listing of ProShares Ultra Australian Dollar through at least December 23, 2014. There is no guarantee that the Fund will be able to meet the continued listing standards and avoid a delisting action after that date. If the Fund is delisted, there will not be an active trading market for the Fund’s Shares. If investors need to sell their Fund Shares at a time when no active market for them exists, the price investors receive for the Fund’s Shares, assuming that investors are able to sell them, likely will be lower than the price that investors would receive if an active market did exist. In addition, if the Fund is delisted, the Fund would likely be forced to liquidate.

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. The subsequent events were as follows:

On October 2, 2014, the Managed Futures Fund commenced investment operations.

On October 15, 2014, the Trust announced a 1-for-4 reverse split of the Shares of beneficial interest of ProShares VIX Mid-Term Futures ETF (NYSE Arca symbol “VIXM”). Prior to the opening of trading on the NYSE Arca on November 6, 2014, ProShares VIX Mid-Term Futures ETF executed a 1-for-4 reverse split of Shares.

The reverse split was effective for shareholders of record after the close of the markets on November 5, 2014, and payable after the close of the markets on November 6, 2014. ProShares VIX Mid-Term Futures ETF traded at its post-reverse split price on November 6, 2014. The ticker symbol for the Fund did not change, and it continues to trade on the NYSE Arca.

The reverse split was applied retroactively for all periods presented, decreasing the number of Shares outstanding for ProShares VIX Mid-Term Futures ETF, and resulted in a proportionate increase in the price per Share and per Share information of ProShares VIX Mid-Term Futures ETF. Therefore, the reverse split did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

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Item 2.

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

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

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of September 30, 2014, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Bloomberg Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Bloomberg Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra 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 one additional series: ProShares Managed Futures Strategy (the “Managed Futures Fund”). As of September 30, 2014, the Managed Futures Fund had seed capital, but had not commenced investment operations; therefore, this Quarterly Report on Form 10-Q does not include the Schedule of Investments, Statement of Operations, Statement of Changes in Shareholders’ Equity, Statement of Cash Flows, results of operations or any other financial information for the Managed Futures Fund.

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Eight of the Funds, ProShares UltraShort Bloomberg Commodity, ProShares UltraShort Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra Bloomberg Commodity, ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Euro and ProShares Ultra Yen commenced trading on the NYSE Arca on November 25, 2008. Four of the Funds, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Ultra Gold and ProShares Ultra Silver, commenced trading on the NYSE Arca on December 3, 2008. Two of the Funds, ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF, commenced trading on the NYSE Arca on January 3, 2011. Two of the Funds, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF commenced trading on the NYSE Arca on October 3, 2011. Two of the Funds, ProShares UltraShort Bloomberg Natural Gas and ProShares Ultra Bloomberg Natural Gas, commenced trading on the NYSE Arca on October 4, 2011. One of the Funds, ProShares Short Euro, commenced trading on the NYSE Arca on June 26, 2012. Two of the Funds, ProShares UltraShort Australian Dollar and ProShares Ultra Australian Dollar, commenced trading on the NYSE Arca on July 17, 2012.

ProShare Capital Management LLC serves as the Trust’s Sponsor (the “Sponsor”) and commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the CEA and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.

Effective as of July 1, 2014, the official name for the Dow-Jones Commodity Index and its sub-indexes (Dow-Jones Commodity Subindex^SM, Dow Jones-UBS WTI Crude Oil Subindex^SM, and Dow-Jones Natural Gas Subindex^SM) changed to the Bloomberg Commodity Index, Bloomberg Commodity Subindex^SM, Bloomberg WTI Crude Oil Subindex^SM, and Bloomberg Natural Gas Subindex^SM, respectively. The changes were made to reflect the transfer of several Dow Jones-UBS indexes to Bloomberg L.P. The methodology for the underlying index of each Commodity Index Fund remained the same in all material respects. As a result, the fund name, underlying index name and ticker symbol changed for each of the Commodity Index Funds and are reflected in this Quarterly Report on Form 10-Q. The new name, underlying index name and ticker symbol for each of the Commodity Index Funds are as follows:


Prior Fund Name	New Fund Name	Prior Underlying Index Name and Ticker Symbol	New Underlying Index Name and Ticker Symbol
ProShares UltraShort DJ-UBS Commodity	ProShares UltraShort Bloomberg Commodity	Dow Jones – UBS Commodity Index^SM – DJUBSTR	Bloomberg Commodity Index^SM – BCOMTR

ProShares Ultra DJ-UBS Commodity	ProShares Ultra Bloomberg Commodity	Dow Jones – UBS Commodity Index^SM – DJUBSTR	Bloomberg Commodity Index^SM – BCOMTR

ProShares UltraShort DJ-UBS Crude Oil	ProShares UltraShort Bloomberg Crude Oil	Dow Jones – UBS WTI Crude Oil Subindex^SM – DJUBCLTR	Bloomberg WTI Crude Oil Subindex^SM – BCOMCLTR

ProShares Ultra DJ-UBS Crude Oil	ProShares Ultra Bloomberg Crude Oil	Dow Jones – UBS WTI Crude Oil Subindex^SM – DJUBCLTR	Bloomberg WTI Crude Oil Subindex^SM – BCOMCLTR

ProShares UltraShort DJ-UBS Natural Gas	ProShares UltraShort Bloomberg Natural Gas	Dow Jones – UBS Natural Gas Subindex^SM – DJUBNGTR	Bloomberg Natural Gas Subindex^SM – BCOMNGTR

ProShares Ultra DJ-UBS Natural Gas	ProShares Ultra Bloomberg Natural Gas	Dow Jones – UBS Natural Gas Subindex^SM – DJUBNGTR	Bloomberg Natural Gas Subindex^SM – BCOMNGTR

155

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

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

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

Each Geared Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share (“NAV”) to the time of the Fund’s next NAV calculation. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ from -1x, -2x or 2x of the return of the index to which such Fund is benchmarked for that period. In periods of higher market volatility, the volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds are riskier than similarly benchmarked exchange-traded funds that are not geared. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. The Geared VIX Funds do not seek to achieve their stated objective over a period greater than a single day. Each Matching VIX Fund seeks results (before fees and expenses), both over a single day and over time, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results (before fees and expenses) that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”). The Managed Futures Fund seeks to provide investment results (before fees and expenses) that correspond to the performance of the S&P Strategic Futures Index (“SFI”). The Managed Futures Fund intends to obtain exposure to the SFI by primarily investing in unleveraged positions in commodity futures contracts as well as currency and U.S. Treasury futures contracts that are deemed to have sufficient liquidity.

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

Until August 14, 2014, the price of silver for each of ProShares Ultra Silver and ProShares UltraShort Silver was the U.S. dollar price of silver bullion as measured by the London fixing price per troy ounce of unallocated silver bullion for delivery in London through a member of the London Bullion Market Association (“LBMA”) authorized to affect such delivery. In May 2014, the company that runs the London silver fixing announced that, as of August 14, 2014, they will stop running the process. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, based on an electronic, auction-based methodology effective August 15, 2014.

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

Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the net assets of each Fund is held in cash and/or U.S. Treasury securities, agency securities, or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements and each Fund’s trading in futures and forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and nine months ended September 30, 2014 and 2013, each of the Funds earned interest income as follows:


Fund	Interest Income Three Months Ended September 30, 2014		Interest Income Three Months Ended September 30, 2013		Interest Income Nine Months Ended September 30, 2014		Interest Income Nine Months Ended September 30, 2013
ProShares UltraShort Bloomberg Commodity	$	295	$	416	$	947	$	1,651
ProShares UltraShort Bloomberg Crude Oil		24,612		34,116		100,900		82,626
ProShares UltraShort Bloomberg Natural Gas		2,392		1,267		15,332		7,217
ProShares UltraShort Gold		7,015		13,065		34,960		48,373
ProShares UltraShort Silver		5,567		8,580		26,362		47,626
ProShares Short Euro		1,279		338		3,684		1,363
ProShares UltraShort Australian Dollar		1,375		1,790		7,366		3,399
ProShares UltraShort Euro		41,636		39,032		170,287		179,135
ProShares UltraShort Yen		28,871		40,839		163,880		171,429
ProShares Ultra Bloomberg Commodity		351		395		1,070		1,809
ProShares Ultra Bloomberg Crude Oil		11,935		13,828		44,923		115,731
ProShares Ultra Bloomberg Natural Gas		3,296		5,794		11,380		22,420
ProShares Ultra Gold		13,569		18,099		45,026		118,967
ProShares Ultra Silver		41,216		51,513		155,173		313,406
ProShares Ultra Australian Dollar		347		242		1,433		1,312
ProShares Ultra Euro		231		371		936		1,468
ProShares Ultra Yen		167		295		988		1,538
ProShares VIX Short-Term Futures ETF		6,363		10,711		40,577		54,250
ProShares VIX Mid-Term Futures ETF		3,406		6,721		13,659		20,472
ProShares Ultra VIX Short-Term Futures ETF		13,610		10,797		55,542		46,863
ProShares Short VIX Short-Term Futures ETF		16,267		6,018		60,496		22,651

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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.

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

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of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovery collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

The Sponsor attempts to minimize certain of these market and credit risks by normally:

•

executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

•

limiting the outstanding amounts due from counterparties to the Funds;

•

not posting margin directly with a counterparty;

•

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

•

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

•

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

Off-Balance Sheet Arrangements and Contractual Obligations

As of November 3, 2014, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

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

Critical Accounting Policies

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

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.

Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures or forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.

The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

159

For financial reporting purposes, the Leveraged Funds, the Short Euro Fund and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three and nine months ended September 30, 2014.

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

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

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. See Note 2 in Item 1 of this Quarterly Report on Form 10-Q for further information.

Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.

Each Fund pays its respective brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission regulated investments. Brokerage commissions on futures contracts are recognized on a half-turn basis. For the three and nine months ended September 30, 2013 and from January 1, 2014 through July 30, 2014, the Sponsor paid brokerage commissions on VIX futures contracts for the Matching VIX Funds. On July 31, 2014, the Sponsor began paying, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds that exceed variable create/redeem fees collected by more than 0.02% of the Matching VIX Fund’s average net assets annually.

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Results of Operations for the Three Months Ended September 30, 2014 Compared to the Three Months Ended September 30, 2013

ProShares UltraShort Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	3,254,416		$	3,953,221
NAV end of period	$	4,149,184		$	3,746,428
Percentage change in NAV		27.5	%		(5.2	)%
Shares outstanding beginning of period		59,997			59,997
Shares outstanding end of period		59,997			59,997
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	54.24		$	65.89
Per share NAV end of period	$	69.16		$	62.44
Percentage change in per share NAV		27.5	%		(5.2	)%
Percentage change in benchmark		(11.8	)%		2.1	%
Benchmark annualized volatility		7.8	%		10.4	%

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index (formerly Dow Jones-UBS Commodity Index). There was no net change in the Fund’s outstanding Shares from June 30, 2014 to September 30, 2014. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from June 30, 2013 to September 30, 2013.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 27.5% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 5.2% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 23, 2014 at $69.36 per Share and reached its low for the period on July 2, 2014 at $54.51 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 7, 2013 at $66.37 per Share and reached its low for the period on August 28, 2013 at $57.81 per Share.

The benchmark’s decline of 11.8% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 2.1% for the three months ended September 30, 2013, can be attributed to depreciation of the underlying components of the index during the three months ended September 30, 2014.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(8,532	)	$	(8,450	)
Management fee		8,827			8,866
Net realized gain (loss)		502,115			13,686
Change in net unrealized appreciation/depreciation		401,185			(212,029	)
Net income (loss)	$	894,768		$	(206,793	)

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the Fund’s benchmark index during the three months ended September 30, 2014.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	362,599,585		$	251,466,116
NAV end of period	$	196,140,063		$	442,461,028
Percentage change in NAV		(45.9	)%		76.0	%
Shares outstanding beginning of period		14,719,944			6,919,944
Shares outstanding end of period		6,369,944			14,619,944
Percentage change in shares outstanding		(56.7	)%		111.3	%
Shares created		250,000			12,900,000
Shares redeemed		8,600,000			5,200,000
Per share NAV beginning of period	$	24.63		$	36.34
Per share NAV end of period	$	30.79		$	30.26
Percentage change in per share NAV		25.0	%		(16.7	)%
Percentage change in benchmark		(11.8	)%		7.9	%
Benchmark annualized volatility		18.3	%		19.0	%

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 14,719,944 outstanding Shares at June 30, 2014 to 6,369,944 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM (formerly Dow Jones-UBS WTI Crude Oil Subindex^SM). By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 6,919,944 outstanding Shares at June 30, 2013 to 14,619,944 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 25.0% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 16.7% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 10, 2014 at $31.28 per Share and reached its low for the period on July 1, 2014 at $24.63 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 1, 2013 at $35.25 per Share and reached its low for the period on September 6, 2013 at $26.59 per Share.

162

The benchmark’s decline of 11.8% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 7.9% for the three months ended September 30, 2013, can be attributed to a decrease in the price of WTI Crude Oil during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(639,303	)	$	(1,036,872	)
Management fee		648,492			1,047,511
Brokerage commissions		15,423			23,477
Net realized gain (loss)		42,556,429			(86,180,653	)
Change in net unrealized appreciation/depreciation		29,108,049			44,674,375
Net income (loss)	$	71,025,175		$	(42,543,150	)

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	49,682,009		$	19,924,537
NAV end of period	$	19,683,020		$	16,035,027
Percentage change in NAV		(60.4	)%		(19.5	)%
Shares outstanding beginning of period		1,224,952			224,952
Shares outstanding end of period		424,952			174,952
Percentage change in shares outstanding		(65.3	)%		(22.2	)%
Shares created		—			50,000
Shares redeemed		800,000			100,000
Per share NAV beginning of period	$	40.56		$	88.57
Per share NAV end of period	$	46.32		$	91.65
Percentage change in per share NAV		14.2	%		3.5	%
Percentage change in benchmark		(9.3	)%		(4.4	)%
Benchmark annualized volatility		28.0	%		26.5	%

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 1,224,952 outstanding Shares at June 30, 2014 to 424,952 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM (formerly Dow Jones-UBS Natural Gas Subindex^SM). By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 224,952 outstanding Shares at June 30, 2013 to 174,952 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM.

163

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.2% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 3.5% for the three months ended September 30, 2013, was primarily due to greater appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 28, 2014 at $55.42 per Share and reached its low for the period on July 1, 2014 at $40.63 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 9, 2013 at $103.75 per Share and reached its low for the period on July 18, 2013 at $75.90 per Share.

The benchmark’s decline of 9.3% for the three months ended September 30, 2014, as compared to the benchmark’s decline of 4.4% for the three months ended September 30, 2013, can be attributed to a greater decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(86,019	)	$	(48,035	)
Management fee		73,623			40,159
Brokerage commissions		14,788			9,143
Net realized gain (loss)		13,918,788			2,863,123
Change in net unrealized appreciation/depreciation		(4,337,011	)		(1,861,542	)
Net income (loss)	$	9,495,758		$	953,546

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a greater decrease in the price of Henry Hub Natural Gas during the three months ended September 30, 2014.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	83,742,981		$	170,802,997
NAV end of period	$	82,095,909		$	145,113,410
Percentage change in NAV		(2.0	)%		(15.0	)%
Shares outstanding beginning of period		996,978			1,496,978
Shares outstanding end of period		846,978			1,646,978
Percentage change in shares outstanding		(15.0	)%		10.0	%
Shares created		50,000			550,000
Shares redeemed		200,000			400,000
Per share NAV beginning of period	$	84.00		$	114.10
Per share NAV end of period	$	96.93		$	88.11
Percentage change in per share NAV		15.4	%		(22.8	)%
Percentage change in benchmark		(7.5	)%		11.3	%
Benchmark annualized volatility		10.6	%		22.7	%

164

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 996,978 outstanding Shares at June 30, 2014 to 846,978 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of 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 1,496,978 outstanding Shares at June 30, 2013 to 1,646,978 outstanding Shares at September 30, 2013.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 15.4% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 22.8% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 22, 2014 at $97.47 per Share and reached its low for the period on July 10, 2014 at $80.73 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 5, 2013 at $109.28 per Share and reached its low for the period on August 28, 2013 at $78.23 per Share.

The benchmark’s decline of 7.5% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 11.3% for the three months ended September 30, 2013, can be attributed to a decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(185,871	)	$	(283,915	)
Management fee		192,878			296,972
Brokerage commissions		8			8
Net realized gain (loss)		(4,375,421	)		6,023,935
Change in net unrealized appreciation/depreciation		16,208,294			(44,052,898	)
Net income (loss)	$	11,647,002		$	(38,312,878	)

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2014.

165

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	52,190,256		$	83,886,747
NAV end of period	$	59,820,800		$	115,501,076
Percentage change in NAV		14.6	%		37.7	%
Shares outstanding beginning of period		708,489			758,489
Shares outstanding end of period		558,489			1,508,489
Percentage change in shares outstanding		(21.2	)%		98.9	%
Shares created		100,000			1,550,000
Shares redeemed		250,000			800,000
Per share NAV beginning of period	$	73.66		$	110.60
Per share NAV end of period	$	107.11		$	76.57
Percentage change in per share NAV		45.4	%		(30.8	)%
Percentage change in benchmark		(18.0	)%		15.0	%
Benchmark annualized volatility		16.5	%		33.4	%

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price^†. The increase in the Fund’s NAV was offset by a decrease from 708,489 outstanding Shares at June 30, 2014 to 558,489 outstanding Shares at September 30, 2014. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 758,489 outstanding Shares at June 30, 2013 to 1,508,489 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 45.4% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 30.8% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $107.11 per Share and reached its low for the period on July 10, 2014 at $69.31 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 9, 2013 at $107.42 per Share and reached its low for the period on August 28, 2013 at $61.41 per Share.

The benchmark’s decline of 18.0% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 15.0% for the three months ended September 30, 2013, can be attributed to a decrease in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2014.

^†	On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

166

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(129,289	)	$	(210,470	)
Management fee		134,847			219,042
Brokerage commissions		9			8
Net realized gain (loss)		(1,121,493	)		6,007,983
Change in net unrealized appreciation/depreciation		22,946,203			(32,085,121	)
Net income (loss)	$	21,695,421		$	(26,287,608	)

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decrease in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2014.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	14,245,423		$	3,792,834
NAV end of period	$	17,336,789		$	7,277,390
Percentage change in NAV		21.7	%		91.9	%
Shares outstanding beginning of period		400,005			100,005
Shares outstanding end of period		450,005			200,005
Percentage change in shares outstanding		12.5	%		100.0	%
Shares created		50,000			100,000
Shares redeemed		—			—
Per share NAV beginning of period	$	35.61		$	37.93
Per share NAV end of period	$	38.53		$	36.39
Percentage change in per share NAV		8.2	%		(4.1	)%
Percentage change in benchmark		(7.8	)%		3.9	%
Benchmark annualized volatility		4.8	%		7.6	%

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 400,005 outstanding Shares at June 30, 2014 to 450,005 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 100,005 outstanding Shares at June 30, 2013 to 200,005 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.2% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 4.1% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $38.53 per Share and reached its low for the period on July 1, 2014 at $35.65 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 9, 2013 at $38.60 per Share and reached its low for the period on September 25, 2013 at $36.38 per Share.

167

The benchmark’s decline of 7.8% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 3.9% for the three months ended September 30, 2013, can be attributed to a decline in the value of the euro versus the U.S. dollar during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(37,429	)	$	(16,029	)
Management fee		38,144			16,080
Brokerage commissions		564			287
Net realized gain (loss)		767,314			(39,009	)
Change in net unrealized appreciation/depreciation		541,678			(208,800	)
Net income (loss)	$	1,271,563		$	(263,838	)

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the euro versus the U.S. dollar during the three months ended September 30, 2014.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	20,127,301		$	23,205,856
NAV end of period	$	20,645,274		$	23,978,227
Percentage change in NAV		2.6	%		3.3	%
Shares outstanding beginning of period		500,005			500,005
Shares outstanding end of period		450,005			550,005
Percentage change in shares outstanding		(10.0	)%		10.0	%
Shares created		—			50,000
Shares redeemed		50,000			—
Per share NAV beginning of period	$	40.25		$	46.41
Per share NAV end of period	$	45.88		$	43.60
Percentage change in per share NAV		14.0	%		(6.1	)%
Percentage change in benchmark		(7.1	)%		2.0	%
Benchmark annualized volatility		7.1	%		12.1	%

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 500,005 outstanding Shares at June 30, 2014 to 450,005 outstanding Shares at September 30, 2014. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 500,005 outstanding Shares at June 30, 2013 to 550,005 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar.

168

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.0% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 6.1% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 29, 2014 at $46.12 per Share and reached its low for the period on July 1, 2014 at $39.67 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 2, 2013 at $48.58 per Share and reached its low for the period on September 18, 2013 at $42.08 per Share.

The benchmark’s decline of 7.1% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 2.0% for the three months ended September 30, 2013, can be attributed to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(50,580	)	$	(59,621	)
Management fee		49,101			47,611
Brokerage commissions		2,854			4,057
Offering costs		—			2,926
Reduction to Limitation by Sponsor		—			6,817
Net realized gain (loss)		549,800			389,410
Change in net unrealized appreciation/depreciation		2,248,917			(1,864,718	)
Net income (loss)	$	2,748,137		$	(1,534,929	)

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2014.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	440,156,895		$	509,228,804
NAV end of period	$	472,408,248		$	456,760,044
Percentage change in NAV		7.3	%		(10.3	)%
Shares outstanding beginning of period		25,800,014			26,400,014
Shares outstanding end of period		23,650,014			25,750,014
Percentage change in shares outstanding		(8.3	)%		(2.5	)%
Shares created		300,000			1,400,000
Shares redeemed		2,450,000			2,050,000

169


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Per share NAV beginning of period	$	17.06		$	19.29
Per share NAV end of period	$	19.97		$	17.74
Percentage change in per share NAV		17.1	%		(8.0	)%
Percentage change in benchmark		(7.8	)%		3.9	%
Benchmark annualized volatility		4.8	%		7.6	%

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 25,800,014 outstanding Shares at June 30, 2014 to 23,650,014 outstanding Shares at September 30, 2014. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 26,400,014 outstanding shares at June 30, 2013 to 25,750,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.1% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 8.0% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $19.97 per Share and reached its low for the period on July 1, 2014 at $17.09 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 9, 2013 at $19.97 per Share and reached its low for the period on September 30, 2013 at $17.74 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(1,070,109	)	$	(1,130,081	)
Management fee		1,111,745			1,169,113
Net realized gain (loss)		32,041,814			(8,623,142	)
Change in net unrealized appreciation/depreciation		42,901,264			(30,661,125	)
Net income (loss)	$	73,872,969		$	(40,414,348	)

170

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	353,617,215		$	525,633,184
NAV end of period	$	435,500,662		$	463,282,138
Percentage change in NAV		23.2	%		(11.9	)%
Shares outstanding beginning of period		5,449,294			8,199,294
Shares outstanding end of period		5,749,294			7,449,294
Percentage change in shares outstanding		5.5	%		(9.1	)%
Shares created		900,000			100,000
Shares redeemed		600,000			850,000
Per share NAV beginning of period	$	64.89		$	64.11
Per share NAV end of period	$	75.75		$	62.19
Percentage change in per share NAV		16.7	%		(3.0	)%
Percentage change in benchmark		(7.6	)%		0.9	%
Benchmark annualized volatility		5.1	%		11.5	%

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 5,449,294 outstanding Shares at June 30, 2014 to 5,749,294 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,199,294 outstanding Shares at June 30, 2013 to 7,449,294 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 16.7% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 3.0% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $75.75 per Share and reached its low for the period on July 17, 2014 at $64.75 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 5, 2013 at $66.69 per Share and reached its low for the period on August 9, 2013 at $59.91 per Share.

The benchmark’s decline of 7.6% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 0.9% for the three months ended September 30, 2013, can be attributed to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2014.

171

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(866,070	)	$	(1,164,837	)
Management fee		894,941			1,205,676
Net realized gain (loss)		15,788,078			(5,692,393	)
Change in net unrealized appreciation/depreciation		44,786,922			(8,391,501	)
Net income (loss)	$	59,708,930		$	(15,248,731	)

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2014.

ProShares Ultra Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	4,406,118		$	3,852,327
NAV end of period	$	3,405,894		$	3,991,828
Percentage change in NAV		(22.7	)%		3.6	%
Shares outstanding beginning of period		200,014			200,014
Shares outstanding end of period		200,014			200,014
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	22.03		$	19.26
Per share NAV end of period	$	17.03		$	19.96
Percentage change in per share NAV		(22.7	)%		3.6	%
Percentage change in benchmark		(11.8	)%		2.1	%
Benchmark annualized volatility		7.8	%		10.4	%

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from June 30, 2014 to September 30, 2014. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from June 30, 2013 to September 30, 2013.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 22.7% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 3.6% for the three months ended September 30, 2013, was primarily due to depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 2, 2014 at $21.92 per Share and reached its low for the period on September 23, 2014 at $17.01 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 28, 2013 at $21.69 per Share and reached its low for the period on August 7, 2013 at $18.99 per Share.

172

The benchmark’s decline of 11.8% for the three months ended September 30, 2014, as compared to the benchmark’s rise of 2.1% for the three months ended September 30, 2013, can be attributed to a depreciation of the underlying components of the index during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(8,944	)	$	(9,375	)
Management fee		9,295			9,770
Net realized gain (loss)		(651,766	)		(85,067	)
Change in net unrealized appreciation/depreciation		(339,514	)		233,943
Net income (loss)	$	(1,000,224	)	$	139,501

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the Fund’s benchmark index during the three months ended September 30, 2014.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	97,943,693		$	218,645,114
NAV end of period	$	179,175,918		$	137,074,786
Percentage change in NAV		82.9	%		(37.3	)%
Shares outstanding beginning of period		2,499,170			7,249,170
Shares outstanding end of period		5,949,170			3,949,170
Percentage change in shares outstanding		138.0	%		(45.5	)%
Shares created		5,200,000			1,000,000
Shares redeemed		1,750,000			4,300,000
Per share NAV beginning of period	$	39.19		$	30.16
Per share NAV end of period	$	30.12		$	34.71
Percentage change in per share NAV		(23.2	)%		15.1	%
Percentage change in benchmark		(11.8	)%		7.9	%
Benchmark annualized volatility		18.3	%		19.0	%

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 2,499,170 outstanding Shares at June 30, 2014 to 5,959,170 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 7,249,170 outstanding shares at June 30, 2013 to 3,949,170 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

173

2014, as compared to the Fund’s per Share NAV increase of 15.1% for the three months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $39.20 per Share and reached its low for the period on September 22, 2014 at $29.99 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 6, 2013 at $39.87 per Share and reached its low for the period on July 1, 2013 at $31.06 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(329,563	)	$	(383,510	)
Management fee		333,837			391,381
Brokerage commissions		7,661			5,957
Net realized gain (loss)		(16,408,215	)		53,591,304
Change in net unrealized appreciation/depreciation		(12,477,865	)		(18,204,764	)
Net income (loss)	$	(29,215,643	)	$	35,003,030

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decrease in the price of WTI Crude Oil during the three months ended September 30, 2014.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	21,163,834		$	42,142,901
NAV end of period	$	69,524,710		$	94,189,168
Percentage change in NAV		228.5	%		123.5	%
Shares outstanding beginning of period		469,941			1,169,941
Shares outstanding end of period		1,919,941			2,919,941
Percentage change in shares outstanding		308.5	%		149.6	%
Shares created		1,650,000			2,100,000
Shares redeemed		200,000			350,000
Per share NAV beginning of period	$	45.04		$	36.02
Per share NAV end of period	$	36.21		$	32.26
Percentage change in per share NAV		(19.6	)%		(10.4	)%
Percentage change in benchmark		(9.3	)%		(4.4	)%
Benchmark annualized volatility		28.0	%		26.5	%

174

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 469,941 outstanding Shares at June 30, 2014 to 1,919,941 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from the increase from 1,169,941 outstanding shares at June 30, 2013 to 2,919,941 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 19.6% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 10.4% for the three months ended September 30, 2013, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $44.95 per Share and reached its low for the period on September 5, 2014 at $31.77 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 18, 2013 at $41.04 per Share and reached its low for the period on August 9, 2013 at $29.45 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(128,208	)	$	(214,137	)
Management fee		114,501			188,763
Brokerage commissions		17,003			31,168
Net realized gain (loss)		(7,086,791	)		(14,490,187	)
Change in net unrealized appreciation/depreciation		5,767,208			9,382,834
Net income (loss)	$	(1,447,791	)	$	(5,321,490	)

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a significant increase in outstanding shares during the three months ended September 30, 2014.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	135,458,124		$	139,614,500
NAV end of period	$	113,006,432		$	172,546,283
Percentage change in NAV		(16.6	)%		23.6	%
Shares outstanding beginning of period		2,800,014			3,350,014

175


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Shares outstanding end of period		2,750,014			3,400,014
Percentage change in shares outstanding		(1.8)	%		1.5	%
Shares created		100,000			350,000
Shares redeemed		150,000			300,000
Per share NAV beginning of period	$	48.38		$	41.68
Per share NAV end of period	$	41.09		$	50.75
Percentage change in per share NAV		(15.1)	%		21.8	%
Percentage change in benchmark		(7.5)	%		11.3	%
Benchmark annualized volatility		10.6	%		22.7	%

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 2,800,014 outstanding Shares at June 30, 2014 to 2,750,014 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 3,350,014 outstanding shares at June 30, 2013 to 3,400,014 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

For the three months ended September 30, 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 15.1% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 21.8% for the three months ended September 30, 2013, was primarily due to the depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 10, 2014 at $50.21 per Share and reached its low for the period on September 22, 2014 at $40.91 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 28, 2013 at $58.48 per Share and reached its low for the period on July 5, 2013 at $43.01 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(293,686	)	$	(391,586	)
Management fee		307,247			409,677
Brokerage commissions		8			8
Net realized gain (loss)		1,376,176			(5,907,842	)
Change in net unrealized appreciation/depreciation		(21,378,723	)		36,572,797
Net income (loss)	$	(20,296,233	)	$	30,273,369

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decrease in the price of spot gold in U.S. dollar terms during the three months ended September 30, 2014.

176

ProShares Ultra Silver*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	501,002,636		$	425,855,952
NAV end of period	$	357,175,403		$	553,925,429
Percentage change in NAV		(28.7	)%		30.1	%
Shares outstanding beginning of period		7,146,533			6,762,507
Shares outstanding end of period		7,696,533			6,900,007
Percentage change in shares outstanding		7.7	%		2.0	%
Shares created		900,000			750,000
Shares redeemed		350,000			612,500
Per share NAV beginning of period	$	70.10		$	62.97
Per share NAV end of period	$	46.41		$	80.28
Percentage change in per share NAV		(33.8	)%		27.5	%
Percentage change in benchmark		(18.0	)%		15.0	%
Benchmark annualized volatility		16.5	%		33.4	%

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price^†. The decrease in the Fund’s NAV was offset by an increase from 7,146,533 outstanding Shares at June 30, 2014 to 7,696,533 outstanding Shares at September 30, 2014. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 6,762,507 outstanding shares at June 30, 2013 to 6,900,007 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 33.8% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 27.5% for the three months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 10, 2014 at $74.31 per Share and reached its low for the period on September 30, 2014 at $46.41 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 28, 2013 at $106.31 per Share and reached its low for the period on July 9, 2013 at $64.45 per Share.

^†	On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

177

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(1,023,432	)	$	(1,265,741	)
Management fee		1,064,643			1,317,246
Brokerage commissions		5			8
Net realized gain (loss)		9,487,791			28,405,829
Change in net unrealized appreciation/depreciation		(178,527,065	)		96,493,783
Net income (loss)	$	(170,062,706	)	$	123,633,871

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decrease in the price of spot silver in U.S. dollar terms during the three months ended September 30, 2014.

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

ProShares Ultra Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	3,592,189		$	3,283,396
NAV end of period	$	3,118,670		$	3,429,398
Percentage change in NAV		(13.2	)%		4.4	%
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	$	35.92		$	32.83
Per share NAV end of period	$	31.19		$	34.29
Percentage change in per share NAV		(13.2	)%		4.4	%
Percentage change in benchmark		(7.1	)%		2.0	%
Benchmark annualized volatility		7.1	%		12.1	%

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from June 30, 2014 to September 30, 2014. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from June 30, 2013 to September 30, 2013.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.2% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 4.4% for the three months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $36.44 per Share and reached its low for the period on September 29, 2014 at $31.03 per Share. By comparison, during the three

178

months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 18, 2013 at $35.56 per Share and reached its low for the period on August 2, 2013 at $31.10 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(8,369	)	$	(8,041	)
Management fee		8,338			6,535
Brokerage commissions		378			394
Offering costs		—			2,926
Limitation by Sponsor		—			(1,572	)
Net realized gain (loss)		(80,701	)		(123,121	)
Change in net unrealized appreciation/depreciation		(384,449	)		277,164
Net income (loss)	$	(473,519	)	$	146,002

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the Australian dollar versus the U.S. dollar during the three months ended September 30, 2014.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	2,566,901		$	3,521,494
NAV end of period	$	2,176,269		$	2,525,460
Percentage change in NAV		(15.2	)%		(28.3	)%
Shares outstanding beginning of period		100,014			150,014
Shares outstanding end of period		100,014			100,014
Percentage change in shares outstanding		0.0	%		(33.3)	%
Shares created		—			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	25.67		$	23.47
Per share NAV end of period	$	21.76		$	25.25
Percentage change in per share NAV		(15.2	)%		7.6	%
Percentage change in benchmark		(7.8	)%		3.9	%
Benchmark annualized volatility		4.8	%		7.6	%

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in outstanding Shares from June 30, 2014 to September 30, 2014. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 150,014 outstanding Shares at June 30, 2013 to 100,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

179

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.2% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 7.6% for the three months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $25.61 per Share and reached its low for the period on September 30, 2014 at $21.76 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 19, 2013 at $25.25 per Share and reached its low for the period on July 9, 2013 at $22.64 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(5,529	)	$	(8,123	)
Management fee		5,760			8,494
Net realized gain (loss)		(172,545	)		41,114
Change in net unrealized appreciation/depreciation		(212,558	)		227,594
Net income (loss)	$	(390,632	)	$	260,585

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the euro versus the U.S. dollar during the three months ended September 30, 2014.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	1,997,051		$	3,183,279
NAV end of period	$	1,697,164		$	3,221,062
Percentage change in NAV		(15.0	)%		1.2	%
Shares outstanding beginning of period		100,014			150,014
Shares outstanding end of period		100,014			150,014
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	19.97		$	21.22
Per share NAV end of period	$	16.97		$	21.47
Percentage change in per share NAV		(15.0	)%		1.2	%
Percentage change in benchmark		(7.6	)%		0.9	%
Benchmark annualized volatility		5.1	%		11.5	%

180

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2014 to September 30, 2014. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from June 30, 2013 to September 30, 2013.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.0% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 1.2% for the three months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 17, 2014 at $19.99 per Share and reached its low for the period on September 30, 2014 at $16.97 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 9, 2013 at $22.50 per Share and reached its low for the period on July 5, 2013 at $20.37 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(4,379	)	$	(7,357	)
Management fee		4,546			7,652
Net realized gain (loss)		(86,445	)		(20,236	)
Change in net unrealized appreciation/depreciation		(209,063	)		65,376
Net income (loss)	$	(299,887	)	$	37,783

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a decline in the value of the Japanese yen versus the U.S. dollar during the three months ended September 30, 2014.

181

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	98,364,760		$	174,808,019
NAV end of period	$	140,018,132		$	167,085,628
Percentage change in NAV		42.3	%		(4.4	)%
Shares outstanding beginning of period		5,174,812			3,124,812
Shares outstanding end of period		6,724,812			4,224,812
Percentage change in shares outstanding		30.0	%		35.2	%
Shares created		3,475,000			2,900,000
Shares redeemed		1,925,000			1,800,000
Per share NAV beginning of period	$	19.01		$	55.94
Per share NAV end of period	$	20.82		$	39.55
Percentage change in per share NAV		9.5	%		(29.3	)%
Percentage change in benchmark		9.8	%		(28.9	)%
Benchmark annualized volatility		52.7	%		40.8	%

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 5,174,812 outstanding Shares at June 30, 2014 to 6,724,812 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 3,124,812 outstanding Shares at June 30, 2013 to 4,224,812 outstanding Shares at September 30, 2013.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.5% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 29.3% for the three months ended September 30, 2013, was primarily due to the appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on August 7, 2014 at $23.20 per Share and reached its low for the period on September 18, 2014 at $18.06 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 1, 2013 at $54.66 per Share and reached its low for the period on September 18, 2013 at $36.35 per Share.

The benchmark’s rise of 9.8% for the three months ended September 30, 2014, as compared to the benchmark’s decline of 28.9% for the three months ended September 30, 2013, can be attributed to a rise in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(253,370	)	$	(354,687	)
Management fee		235,234			365,398
Brokerage commissions		24,499			—
Net realized gain (loss)		(2,987,868	)		(58,621,766	)
Change in net unrealized appreciation/depreciation		19,042,796			1,991,315
Net income (loss)	$	15,801,558		$	(56,985,138	)

182

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a rise in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2014.

ProShares VIX Mid-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	40,535,994		$	72,133,381
NAV end of period	$	45,613,786		$	96,765,151
Percentage change in NAV		12.5	%		34.1	%
Shares outstanding beginning of period		656,251			637,501
Shares outstanding end of period		712,501			1,043,751
Percentage change in shares outstanding		8.6	%		63.7	%
Shares created		118,750			625,000
Shares redeemed		62,500			218,750
Per share NAV beginning of period	$	61.77		$	113.15
Per share NAV end of period	$	64.02		$	92.71
Percentage change in per share NAV		3.6	%		(18.1	)%
Percentage change in benchmark		4.0	%		(17.9	)%
Benchmark annualized volatility		23.4	%		24.3	%

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 656,251 outstanding Shares at June 30, 2014 to 712,501 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 637,501 outstanding Shares at June 30, 2013 to 1,043,751 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.6% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 18.1% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on August 7, 2014 at $66.93 per Share and reached its low for the period on August 19, 2014 at $58.76 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 2, 2013 at $112.18 per Share and reached its low for the period on September 18, 2013 at $88.44 per Share.

The benchmark’s rise of 4.0% for the three months ended September 30, 2014, as compared to the benchmark’s decline of 17.9% for the three months ended September 30, 2013, can be attributed to a rise in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended September 30, 2014.

183

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(92,236	)	$	(165,692	)
Management fee		92,676			172,413
Brokerage commissions		2,966			—
Net realized gain (loss)		(4,036,024	)		(6,927,757	)
Change in net unrealized appreciation/depreciation		5,997,445			(6,309,282	)
Net income (loss)	$	1,869,185		$	(13,402,731	)

The Fund’s net income increased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a rise in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended September 30, 2014.

* See Note 9 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares VIX Mid-Term Futures ETF.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	295,261,247		$	215,235,917
NAV end of period	$	258,077,177		$	286,200,633
Percentage change in NAV		(12.6	)%		33.0	%
Shares outstanding beginning of period		11,120,099			747,389
Shares outstanding end of period		8,670,099			2,072,389
Percentage change in shares outstanding		(22.0	)%		177.3	%
Shares created		11,700,000			2,762,500
Shares redeemed		14,150,000			1,437,500
Per share NAV beginning of period	$	26.55		$	287.98
Per share NAV end of period	$	29.77		$	138.10
Percentage change in per share NAV		12.1	%		(52.0	)%
Percentage change in benchmark		9.8	%		(28.9	)%
Benchmark annualized volatility		52.7	%		40.8	%

During the three months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 11,120,099 outstanding Shares at June 30, 2014 to 8,670,099 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 747,389 outstanding Shares at June 30, 2013 to 2,072,389 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

184

2014, as compared to the Fund’s per Share NAV decrease of 52.0% for the three months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on August 7, 2014 at $38.10 per Share and reached its low for the period on September 18, 2014 at $22.73 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on July 1, 2013 at $274.79 per Share and reached its low for the period on September 18, 2013 at $117.13 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(1,308,139	)	$	(1,259,552	)
Management fee		689,515			667,541
Brokerage commissions		632,234			602,808
Net realized gain (loss)		(4,709,504	)		(197,361,289	)
Change in net unrealized appreciation/depreciation		89,179,537			9,756,983
Net income (loss)	$	83,161,894		$	(188,863,858	)

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

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
NAV beginning of period	$	181,236,514		$	117,395,722
NAV end of period	$	310,478,773		$	94,516,078
Percentage change in NAV		71.3	%		(19.5	)%
Shares outstanding beginning of period		2,050,040			3,000,040
Shares outstanding end of period		4,150,040			1,800,040
Percentage change in shares outstanding		102.4	%		(40.0	)%
Shares created		4,450,000			1,500,000
Shares redeemed		2,350,000			2,700,000
Per share NAV beginning of period	$	88.41		$	39.13
Per share NAV end of period	$	74.81		$	52.51
Percentage change in per share NAV		(15.4	)%		34.2	%
Percentage change in benchmark		9.8	%		(28.9	)%
Benchmark annualized volatility		52.7	%		40.8	%

185

During the three months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 2,050,040 outstanding Shares at June 30, 2014 to 4,150,040 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 3,000,040 outstanding Shares at June 30, 2013 to 1,800,040 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 15.4% for the three months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 34.2% for the three months ended September 30, 2013, was primarily due to depreciation in the value of the assets of the fund during the three months ended September 30, 2014.

During the three months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 3, 2014 at $92.60 per Share and reached its low for the period on August 7, 2014 at $69.91 per Share. By comparison, during the three months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 18, 2013 at $57.44 per Share and reached its low for the period on July 1, 2013 at $40.02 per Share.

The benchmark’s rise of 9.8% for the three months ended September 30, 2014, as compared to the benchmark’s decline of 28.9% for the three months ended September 30, 2013, can be attributed to a rise in the prices of the near-term futures contracts on the VIX Futures curve during the three months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended September 30, 2014 and 2013:


	Three Months Ended September 30, 2014			Three Months Ended September 30, 2013
Net investment income (loss)	$	(989,160	)	$	(339,271	)
Management fee		620,236			212,926
Brokerage commissions		385,191			132,363
Net realized gain (loss)		18,154,494			37,635,709
Change in net unrealized appreciation/depreciation		(33,971,541	)		(2,813,145	)
Net income (loss)	$	(16,806,207	)	$	34,483,293

The Fund’s net income decreased for the three months ended September 30, 2014, as compared to the three months ended September 30, 2013, primarily due to a rise in the prices of the near-term futures contracts on the VIX futures curve during the three months ended September 30, 2014.

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

186

Results of Operations for the Nine Months Ended September 30, 2014 Compared to the Nine Months Ended September 30, 2013

ProShares UltraShort Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	3,797,427		$	3,245,965
NAV end of period	$	4,149,184		$	3,746,428
Percentage change in NAV		9.3	%		15.4	%
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	$	69.16		$	62.44
Percentage change in per share NAV		9.3	%		15.4	%
Percentage change in benchmark		(5.6	)%		(8.6	)%
Benchmark annualized volatility		8.4	%		10.8	%

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to September 30, 2014. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to September 30, 2013.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 9.3% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 15.4% for the nine months ended September 30, 2013, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 23, 2014 at $69.36 per Share and reached its low for the period on April 29, 2014 at $51.38 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 7, 2013 at $66.37 per Share and reached its low for the period on January 30, 2013 at $51.04 per Share.

The benchmark’s decline of 5.6% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 8.6% for the nine months ended September 30, 2013, can be attributed to a lesser depreciation of the underlying components of the index during the nine months ended September 30, 2014.

187

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(23,790	)	$	(23,250	)
Management fee		24,737			24,901
Net realized gain (loss)		(3,519	)		472,355
Change in net unrealized appreciation/depreciation		379,066			51,358
Net income (loss)	$	351,757		$	500,463

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the Fund’s benchmark index during the nine months ended September 30, 2014.

ProShares UltraShort Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	256,060,149		$	89,481,266
NAV end of period	$	196,140,063		$	442,461,028
Percentage change in NAV		(23.4	)%		394.5	%
Shares outstanding beginning of period		8,069,944			2,219,944
Shares outstanding end of period		6,369,944			14,619,944
Percentage change in shares outstanding		(21.1	)%		558.6	%
Shares created		14,850,000			22,350,000
Shares redeemed		16,550,000			9,950,000
Per share NAV beginning of period	$	31.73		$	40.31
Per share NAV end of period	$	30.79		$	30.26
Percentage change in per share NAV		(3.0	)%		(24.9	)%
Percentage change in benchmark		(1.8	)%		10.6	%
Benchmark annualized volatility		16.0	%		18.6	%

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 8,069,944 outstanding Shares at December 31, 2013 to 6,369,944 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 2,219,944 outstanding Shares at December 31, 2012 to 14,619,944 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 3.0% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 24.9% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $36.34 per Share and reached its low for the period on June 20, 2014 at $24.07 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on April 17, 2013 at $45.45 per Share and reached its low for the period on September 6, 2013 at $26.59 per Share.

188

The benchmark’s decline of 1.8% for the nine months ended September 30, 2014, as compared to the benchmark’s rise of 10.6% for the nine months ended September 30, 2013, can be attributed to a decrease in the price of WTI Crude Oil during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(2,067,933	)	$	(1,796,450	)
Management fee		2,113,748			1,830,070
Brokerage commission		55,085			49,006
Net realized gain (loss)		(1,278,263	)		(91,271,858	)
Change in net unrealized appreciation/depreciation		11,391,293			53,049,617
Net income (loss)	$	8,045,097		$	(40,018,691	)

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a decrease in the price of WTI Crude Oil during the nine months ended September 30, 2014.

ProShares UltraShort Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	22,734,767		$	12,768,340
NAV end of period	$	19,683,020		$	16,035,027
Percentage change in NAV		(13.4	)%		25.6	%
Shares outstanding beginning of period		324,952			125,008
Shares outstanding end of period		424,952			174,952
Percentage change in shares outstanding		30.8	%		40.0	%
Shares created		2,400,000			387,500
Shares redeemed		2,300,000			337,556
Per share NAV beginning of period	$	69.96		$	102.14
Per share NAV end of period	$	46.32		$	91.65
Percentage change in per share NAV		(33.8	)%		(10.3	)%
Percentage change in benchmark		2.6	%		(5.4	)%
Benchmark annualized volatility		39.3	%		30.8	%

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM. The decrease in the Fund’s NAV was offset by an increase from 324,952 outstanding Shares at December 31, 2013 to 424,952 outstanding Shares at September 30, 2014. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 125,008 outstanding Shares at December 31, 2012 to 174,952 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV also resulted from by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Bloomberg Natural Gas Subindex^SM.

189

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 33.8% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 10.3% for the nine months ended September 30, 2013, was primarily due to a greater depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $76.82 per Share and reached its low for the period on June 12, 2014 at $35.78 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 9, 2013 at $116.81 per Share and reached its low for the period on April 19, 2013 at $59.27 per Share.

The benchmark’s rise of 2.6% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 5.4% for the nine months ended September 30, 2013, can be attributed to an increase in the price of Henry Hub Natural Gas during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(413,886	)	$	(166,191	)
Management fee		352,678			137,353
Brokerage commission		76,540			36,055
Net realized gain (loss)		2,737,682			255,984
Change in net unrealized appreciation/depreciation		(2,912,004	)		57,806
Net income (loss)	$	(588,208	)	$	147,599

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to an increase in the price of Henry Hub Natural Gas during the nine months ended September 30, 2014.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	139,436,456		$	92,416,742
NAV end of period	$	82,095,909		$	145,113,410
Percentage change in NAV		(41.1	)%		57.0	%
Shares outstanding beginning of period		1,346,978			1,446,978
Shares outstanding end of period		846,978			1,646,978
Percentage change in shares outstanding		(37.1	)%		13.8	%
Shares created		450,000			1,750,000
Shares redeemed		950,000			1,550,000
Per share NAV beginning of period	$	103.52		$	63.87
Per share NAV end of period	$	96.93		$	88.11
Percentage change in per share NAV		(6.4	)%		38.0	%
Percentage change in benchmark		1.0	%		(20.0	)%
Benchmark annualized volatility		12.4	%		22.5	%

190

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,346,978 outstanding Shares at December 31, 2013 to 846,978 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,446,978 outstanding Shares at December 31, 2012 to 1,646,978 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.4% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 38.0% for the nine months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 8, 2014 at $100.49 per Share and reached its low for the period on March 14, 2014 at $77.10 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on June 28, 2013 at $114.11 per Share and reached its low for the period on January 2, 2013 at $61.07 per Share.

The benchmark’s rise of 1.0% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 20.0% for the nine months ended September 30, 2013, can be attributed to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(654,933	)	$	(843,885	)
Management fee		689,861			892,226
Brokerage commission		32			32
Net realized gain (loss)		(12,647,502	)		39,766,657
Change in net unrealized appreciation/depreciation		(25,284	)		4,026,909
Net income (loss)	$	(13,327,719	)	$	42,949,681

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2014.

ProShares UltraShort Silver

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014		Nine Months Ended September 30, 2013
NAV beginning of period	$	112,989,686	$	100,656,703
NAV end of period	$	59,820,800	$	115,501,076

191


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Percentage change in NAV		(47.1	)%		14.7	%
Shares outstanding beginning of period		1,258,489			1,958,489
Shares outstanding end of period		558,489			1,508,489
Percentage change in shares outstanding		(55.6	)%		(23.0	)%
Shares created		800,000			3,050,000
Shares redeemed		1,500,000			3,500,000
Per share NAV beginning of period	$	89.78		$	51.40
Per share NAV end of period	$	107.11		$	76.57
Percentage change in per share NAV		19.3	%		49.0	%
Percentage change in benchmark		(12.3	)%		(27.6	)%
Benchmark annualized volatility		19.5	%		33.1	%

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 1,258,489 outstanding Shares at December 31, 2013 to 558,489 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the London Silver Price^†. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 1,958,489 outstanding Shares at December 31, 2012 to 1,508,489 outstanding Shares at September 30, 2013.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 19.3% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 49.0% for the nine months ended September 30, 2013, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $107.11 per Share and reached its low for the period on February 24, 2014 at $68.80 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on June 27, 2013 at $113.67 per Share and reached its low for the period on January 23, 2013 at $43.72 per Share.

The benchmark’s decline of 12.3% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 27.6% for the nine months ended September 30, 2013, can be attributed to a lesser decrease in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2014.

^†	On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(453,626	)	$	(712,063	)
Management fee		479,955			759,657
Brokerage commission		33			32
Net realized gain (loss)		(1,278,772	)		86,830,919
Change in net unrealized appreciation/depreciation		14,577,833			(10,271,469	)
Net income (loss)	$	12,845,435		$	75,847,387

192

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decrease in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2014.

ProShares Short Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	8,896,842		$	3,763,040
NAV end of period	$	17,336,789		$	7,277,390
Percentage change in NAV		94.9	%		93.4	%
Shares outstanding beginning of period		250,005			100,005
Shares outstanding end of period		450,005			200,005
Percentage change in shares outstanding		80.0	%		100.0	%
Shares created		250,000			100,000
Shares redeemed		50,000			—
Per share NAV beginning of period	$	35.59		$	37.63
Per share NAV end of period	$	38.53		$	36.39
Percentage change in per share NAV		8.3	%		(3.3	)%
Percentage change in benchmark		(8.2	)%		2.5	%
Benchmark annualized volatility		5.0	%		8.0	%

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 250,005 outstanding Shares at December 31, 2013 to 450,005 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 100,005 outstanding Shares at December 31, 2012 to 200,005 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.3% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 3.3% for the nine months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $38.53 per Share and reached its low for the period on May 6, 2014 at $35.07 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on March 27, 2013 at $38.76 per Share and reached its low for the period on February 1, 2013 at $36.34 per Share.

The benchmark’s decline of 8.2% for the nine months ended September 30, 2014, as compared to the benchmark’s rise of 2.5% for the nine months ended September 30, 2013, can be attributed to a decline in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2014.

193

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(81,283	)	$	(33,006	)
Management fee		83,705			16,573
Brokerage commission		1,262			517
Offering costs		—			45,511
Limitation by Sponsor		—			(28,232	)
Net realized gain (loss)		926,106			(114,800	)
Change in net unrealized appreciation/depreciation		463,426			(86,238	)
Net income (loss)	$	1,308,249		$	(234,044	)

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a decline in the value of the euro versus the U.S. dollar in conjunction with an increase in shares outstanding during the nine months ended September 30, 2014.

ProShares UltraShort Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	27,983,279		$	3,780,999
NAV end of period	$	20,645,274		$	23,978,227
Percentage change in NAV		(26.2	)%		534.2	%
Shares outstanding beginning of period		600,005			100,005
Shares outstanding end of period		450,005			550,005
Percentage change in shares outstanding		(25.0	)%		450.0	%
Shares created		—			450,000
Shares redeemed		150,000			—
Per share NAV beginning of period	$	46.64		$	37.81
Per share NAV end of period	$	45.88		$	43.60
Percentage change in per share NAV		(1.6	)%		15.3	%
Percentage change in benchmark		(2.0	)%		(10.3	)%
Benchmark annualized volatility		7.7	%		10.6	%

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,005 outstanding Shares at December 31, 2013 to 450,005 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 100,005 outstanding Shares at December 31, 2012 to 550,005 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.6% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 15.3% for the nine months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

194

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 24, 2014 at $48.83 per Share and reached its low for the period on July 1, 2014 at $39.67 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on August 2, 2013 at $48.58 per Share and reached its low for the period on April 11, 2013 at $35.89 per Share.

The benchmark’s decline of 2.0% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 10.3% for the nine months ended September 30, 2013, can be attributed to a lesser decline in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(159,320	)	$	(98,659	)
Management fee		157,466			47,611
Brokerage commission		9,220			7,836
Offering costs		—			47,870
Limitation by Sponsor		—			(1,259	)
Net realized gain (loss)		(1,375,251	)		2,294,668
Change in net unrealized appreciation/depreciation		966,993			(551,893	)
Net income (loss)	$	(567,578	)	$	1,644,116

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2014.

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	418,001,115		$	526,778,026
NAV end of period	$	472,408,248		$	456,760,044
Percentage change in NAV		13.0	%		(13.3	)%
Shares outstanding beginning of period		24,500,014			27,700,014
Shares outstanding end of period		23,650,014			25,750,014
Percentage change in shares outstanding		(3.5	)%		(7.0	)%
Shares created		2,550,000			6,250,000
Shares redeemed		3,400,000			8,200,000
Per share NAV beginning of period	$	17.06		$	19.02
Per share NAV end of period	$	19.97		$	17.74
Percentage change in per share NAV		17.1	%		(6.7	)%
Percentage change in benchmark		(8.2	)%		2.5	%
Benchmark annualized volatility		5.0	%		8.0	%

195

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar. The increase in the Fund’s NAV was offset by a decrease from 24,500,014 outstanding Shares at December 31, 2013 to 23,650,014 outstanding Shares at September 30, 2014. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 27,700,014 outstanding Shares at December 31, 2012 to 25,750,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the euro versus the U.S. dollar.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 17.1% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 6.7% for the nine months ended September 30, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $19.97 per Share and reached its low for the period on May 6, 2014 at $16.52 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on March 27, 2013 at $20.16 per Share and reached its low for the period on February 1, 2013 at $17.72 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(2,919,876	)	$	(3,374,312	)
Management fee		3,090,163			3,553,447
Net realized gain (loss)		25,749,214			(19,715,453	)
Change in net unrealized appreciation/depreciation		51,047,636			(12,790,424	)
Net income (loss)	$	73,876,974		$	(35,880,189	)

ProShares UltraShort Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	588,121,516		$	408,563,630
NAV end of period	$	435,500,662		$	463,282,138
Percentage change in NAV		(26.0	)%		13.4	%
Shares outstanding beginning of period		8,299,294			8,049,294

196


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Shares outstanding end of period		5,749,294			7,449,294
Percentage change in shares outstanding		(30.7	)%		(7.5	)%
Shares created		1,350,000			4,300,000
Shares redeemed		3,900,000			4,900,000
Per share NAV beginning of period	$	70.86		$	50.76
Per share NAV end of period	$	75.75		$	62.19
Percentage change in per share NAV		6.9	%		22 .5	%
Percentage change in benchmark		(4.0	)%		(11.8	)%
Benchmark annualized volatility		6.3	%		13.4	%

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,299,294 outstanding Shares at December 31, 2013 to 5,749,294 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the 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 7,449,294 outstanding Shares at September 30, 2013.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 6.9% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 22.5% for the nine months ended September 30, 2013, was primarily due to a lesser appreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on September 30, 2014 at $75.75 per Share and reached its low for the period on July 17, 2014 at $64.75 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on May 17, 2013 at $70.23 per Share and reached its low for the period on January 8, 2013 at $51.09 per Share.

The benchmark’s decline of 4.0% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 11.8% for the nine months ended September 30, 2013, can be attributed to a lesser decline in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(2,636,773	)	$	(3,278,808	)
Management fee		2,800,653			3,450,237
Net realized gain (loss)		15,965,501			139,337,127
Change in net unrealized appreciation/depreciation		5,712,611			(50,643,634	)
Net income (loss)	$	19,041,339		$	85,414,685

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2014.

197

ProShares Ultra Bloomberg Commodity

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	2,915,034		$	6,097,211
NAV end of period	$	3,405,894		$	3,991,828
Percentage change in NAV		16.8	%		(34.5	)%
Shares outstanding beginning of period		150,014			250,014
Shares outstanding end of period		200,014			200,014
Percentage change in shares outstanding		33.3	%		(20.0	)%
Shares created		50,000			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	19.43		$	24.39
Per share NAV end of period	$	17.03		$	19.96
Percentage change in per share NAV		(12.4	)%		(18.2	)%
Percentage change in benchmark		(5.6	)%		(8.6	)%
Benchmark annualized volatility		8.4	%		10.8	%

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 150,014 outstanding Shares at December 31, 2013 to 200,014 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,014 outstanding shares at December 31, 2012 to 200,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Commodity Index.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 12.4% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 18.2% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on April 29, 2014 at $23.45 per Share and reached its low for the period on September 23, 2014 at $17.01 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 30, 2013 at $25.72 per Share and reached its low for the period on August 7, 2013 at $18.99 per Share.

198

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(23,639	)	$	(30,577	)
Management fee		24,709			32,386
Net realized gain (loss)		(274,820	)		(868,012	)
Change in net unrealized appreciation/depreciation		(345,597	)		68,819
Net income (loss)	$	(644,056	)	$	(829,770	)

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to lesser decrease in the Fund’s benchmark index during the nine months ended September 30, 2014.

ProShares Ultra Bloomberg Crude Oil

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	142,773,429		$	483,508,964
NAV end of period	$	179,175,918		$	137,074,786
Percentage change in NAV		25.5	%		(71.7	)%
Shares outstanding beginning of period		4,449,170			16,449,170
Shares outstanding end of period		5,949,170			3,949,170
Percentage change in shares outstanding		33.7	%		(76.0	)%
Shares created		10,400,000			7,700,000
Shares redeemed		8,900,000			20,200,000
Per share NAV beginning of period	$	32.09		$	29.39
Per share NAV end of period	$	30.12		$	34.71
Percentage change in per share NAV		(6.1	)%		18.1	%
Percentage change in benchmark		(1.8	)%		10.6	%
Benchmark annualized volatility		16.0	%		18.6	%

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 4,449,170 outstanding Shares at December 31, 2013 to 5,949,170 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 16,449,170 outstanding Shares at December 31, 2012 to 3,949,170 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg WTI Crude Oil Subindex^SM.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.1% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 18.1% for the nine months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on June 20, 2014 at $40.14 per Share and reached its low for the period on January 9, 2014 at $27.85 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 6, 2013 at $39.87 per Share and reached its low for the period on April 17, 2013 at $25.06 per Share.

199

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(887,576	)	$	(1,830,880	)
Management fee		908,339			1,902,343
Brokerage commission		24,160			44,268
Net realized gain (loss)		14,607,512			140,898,148
Change in net unrealized appreciation/depreciation		(9,838,947	)		(69,016,005	)
Net income (loss)	$	3,880,989		$	70,051,263

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a decrease in the price of WTI Crude Oil during the nine months ended September 30, 2014.

ProShares Ultra Bloomberg Natural Gas

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	62,915,779		$	73,019,370
NAV end of period	$	69,524,710		$	94,189,168
Percentage change in NAV		10.5	%		29.0	%
Shares outstanding beginning of period		1,619,941			1,869,941
Shares outstanding end of period		1,919,941			2,919,941
Percentage change in shares outstanding		18.5	%		56.2	%
Shares created		2,050,000			3,750,000
Shares redeemed		1,750,000			2,700,000
Per share NAV beginning of period	$	38.84		$	39.05
Per share NAV end of period	$	36.21		$	32.26
Percentage change in per share NAV		(6.8	)%		(17.4	)%
Percentage change in benchmark		2.6	%		(5.4	)%
Benchmark annualized volatility		39.3	%		30.8	%

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 1,619,941 outstanding Shares at December 31, 2013 to 1,919,941 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,869,941 outstanding Shares at December 31, 2012 to 2,919,941 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Bloomberg Natural Gas Subindex^SM.

200

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 6.8% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 17.4% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on January 29, 2014 at $63.78 per Share and reached its low for the period on September 5, 2014 at $31.77 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on April 19, 2013 at $59.32 per Share and reached its low for the period on August 9, 2013 at $29.45 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(297,487	)	$	(523,698	)
Management fee		264,587			458,553
Brokerage commission		44,280			87,565
Net realized gain (loss)		9,882,248			415,531
Change in net unrealized appreciation/depreciation		8,010,121			7,251,831
Net income (loss)	$	17,594,882		$	7,143,664

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to an increase in the price of Henry Hub Natural Gas during the nine months ended September 30, 2014.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	132,017,405		$	335,054,752
NAV end of period	$	113,006,432		$	172,546,283
Percentage change in NAV		(14.4	)%		(48.5	)%
Shares outstanding beginning of period		3,200,014			4,000,014
Shares outstanding end of period		2,750,014			3,400,014
Percentage change in shares outstanding		(14.1	)%		(15.0	)%
Shares created		250,000			550,000
Shares redeemed		700,000			1,150,000
Per share NAV beginning of period	$	41.26		$	83.76
Per share NAV end of period	$	41.09		$	50.75
Percentage change in per share NAV		(0.4	)%		(39.4	)%
Percentage change in benchmark		1.0	%		(20.0	)%
Benchmark annualized volatility		12.4	%		22.5	%

201

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from a decrease from 3,200,014 outstanding Shares at December 31, 2013 to 2,750,014 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,000,014 outstanding Shares at December 31, 2012 to 3,400,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. dollar p.m. fixing price for delivery in London.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.4% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 39.4% for the nine months ended September 30, 2013, was primarily due to the lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on March 14, 2014 at $54.16 per Share and reached its low for the period on September 22, 2014 at $40.91 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 2, 2013 at $87.40 per Share and reached its low for the period on June 28, 2013 at $41.68 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(908,315	)	$	(1,573,347	)
Management fee		953,309			1,692,282
Brokerage commission		32			32
Net realized gain (loss)		3,321,383			(124,323,199	)
Change in net unrealized appreciation/depreciation		(1,312,308	)		(1,525,551	)
Net income (loss)	$	1,100,760		$	(127,422,097	)

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to an increase in the price of spot gold in U.S. dollar terms during the nine months ended September 30, 2014.

ProShares Ultra Silver*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014		Nine Months Ended September 30, 2013
NAV beginning of period	$	465,479,519	$	747,725,400
NAV end of period	$	357,175,403	$	553,925,429

202


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Percentage change in NAV		(23.3	)%		(25.9	)%
Shares outstanding beginning of period		7,350,007			4,350,007
Shares outstanding end of period		7,696,533			6,900,007
Percentage change in shares outstanding		4.7	%		58.6	%
Shares created		2,087,500			3,387,500
Shares redeemed		1,740,974			837,500
Per share NAV beginning of period	$	63.33		$	171.89
Per share NAV end of period	$	46.41		$	80.28
Percentage change in per share NAV		(26.7	)%		(53.3	)%
Percentage change in benchmark		(12.3	)%		(27.6	)%
Benchmark annualized volatility		19.5	%		33.1	%

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the London Silver Price^†. The decrease in the Fund’s NAV was offset by an increase from 7,350,007 outstanding Shares at December 31, 2013 to 7,696,533 outstanding Shares at September 30, 2014. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. dollar fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase from 4,350,007 outstanding Shares at December 31, 2012 to 6,900,007 outstanding Shares at September 30, 2013.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 26.7% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 53.3% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 24, 2014 at $80.11 per Share and reached its low for the period on September 30, 2014 at $46.41 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 23, 2013 at $197.58 per Share and reached its low for the period on June 27, 2013 at $61.33 per Share.

^†	On August 14, 2014, the company that ran the London U.S. dollar silver fixing ceased calculating the price of silver for the LBMA. The LBMA selected the CME Group and Thomson Reuters to calculate the price, which was renamed the London Silver Price, beginning August 15, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(3,195,942	)	$	(4,096,782	)
Management fee		3,351,080			4,410,160
Brokerage commission		35			28
Net realized gain (loss)		(22,790,907	)		(509,870,331	)
Change in net unrealized appreciation/depreciation		(89,127,152	)		65,645,670
Net income (loss)	$	(115,114,001	)	$	(448,321,443	)

203

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decrease in the price of spot silver in U.S. dollar terms during the nine months ended September 30, 2014.

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

ProShares Ultra Australian Dollar

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	3,168,165		$	4,150,068
NAV end of period	$	3,118,670		$	3,429,398
Percentage change in NAV		(1.6	)%		(17.4	)%
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	$	31.19		$	34.29
Percentage change in per share NAV		(1.5	)%		(17.4	)%
Percentage change in benchmark		(2.0	)%		(10.3	)%
Benchmark annualized volatility		7.7	%		10.6	%

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2013 to September 30, 2014. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian dollar versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2012 to September 30, 2013.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.5% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 17.4% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 1, 2014 at $36.44 per Share and reached its low for the period on January 24, 2014 at $30.12 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on April 11, 2013 at $43.27 per Share and reached its low for the period on August 2, 2013 at $31.10 per Share.

204

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(23,842	)	$	(26,628	)
Management fee		24,141			6,535
Brokerage commission		1,134			1,171
Offering costs		—			47,870
Limitation by Sponsor		—			(27,636	)
Net realized gain (loss)		177,542			(863,011	)
Change in net unrealized appreciation/depreciation		(203,195	)		168,969
Net income (loss)	$	(49,495	)	$	(720,670	)

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the value of the Australian dollar versus the U.S. dollar during the nine months ended September 30, 2014.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	2,603,827		$	4,870,316
NAV end of period	$	2,176,269		$	2,525,460
Percentage change in NAV		(16.4	)%		(48.1	)%
Shares outstanding beginning of period		100,014			200,014
Shares outstanding end of period		100,014			100,014
Percentage change in shares outstanding		0.0	%		(50.0	)%
Shares created		—			—
Shares redeemed		—			100,000
Per share NAV beginning of period	$	26.03		$	24.35
Per share NAV end of period	$	21.76		$	25.25
Percentage change in per share NAV		(16.4	)%		3.7	%
Percentage change in benchmark		(8.2	)%		2.5	%
Benchmark annualized volatility		5.0	%		8.0	%

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar. There was no net change in outstanding Shares from December 31, 2013 to September 30, 2014. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from a decrease from 200,014 outstanding Shares at December 31, 2012 to 100,014 outstanding Shares at September 30, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the euro versus the U.S. dollar.

205

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 16.4% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 3.7% for the nine months ended September 30, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on March 18, 2014 at $26.63 per Share and reached its low for the period on September 30, 2014 at $21.76 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on February 1, 2013 at $26.03 per Share and reached its low for the period on July 9, 2013 at $22.64 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(16,972	)	$	(26,990	)
Management fee		17,908			28,458
Net realized gain (loss)		(127,660	)		12,752
Change in net unrealized appreciation/depreciation		(282,926	)		103,308
Net income (loss)	$	(427,558	)	$	89,070

The Fund’s net income decreased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a decline in the value of the euro versus the U.S. dollar during the nine months ended September 30, 2014.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	2,795,026		$	4,227,995
NAV end of period	$	1,697,164		$	3,221,062
Percentage change in NAV		(39.3	)%		(23.8	)%
Shares outstanding beginning of period		150,014			150,014
Shares outstanding end of period		100,014			150,014
Percentage change in shares outstanding		(33.3	)%		0.0	%
Shares created		—			50,000
Shares redeemed		50,000			50,000
Per share NAV beginning of period	$	18.63		$	28.18
Per share NAV end of period	$	16.97		$	21.47
Percentage change in per share NAV		(8.9	)%		(23.8	)%
Percentage change in benchmark		(4.0	)%		(11.8	)%
Benchmark annualized volatility		6.3	%		13.4	%

206

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 150,014 outstanding Shares at December 31, 2013 to 100,014 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. By comparison, during the nine months ended September 30, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese yen versus the U.S. dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to September 30, 2013.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 8.9% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 23.8% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 3, 2014 at $20.21 per Share and reached its low for the period on September 30, 2014 at $16.97 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 8, 2013 at $27.97 per Share and reached its low for the period on May 17, 2013 at $19.65 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(16,867	)	$	(24,644	)
Management fee		17,855			26,182
Net realized gain (loss)		(107,963	)		(1,694,755	)
Change in net unrealized appreciation/depreciation		2,618			569,644
Net income (loss)	$	(122,212	)	$	(1,149,755	)

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the value of the Japanese yen versus the U.S. dollar during the nine months ended September 30, 2014.

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	270,398,554		$	137,657,464
NAV end of period	$	140,018,132		$	167,085,628
Percentage change in NAV		(48.2	)%		21.4	%
Shares outstanding beginning of period		9,474,812			1,640,001
Shares outstanding end of period		6,724,812			4,224,812

207


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Percentage change in shares outstanding		(29.0	)%		157.6	%
Shares created		7,350,000			8,170,000
Shares redeemed		10,100,000			5,585,189
Per share NAV beginning of period	$	28.54		$	83.94
Per share NAV end of period	$	20.82		$	39.55
Percentage change in per share NAV		(27.0	)%		(52.9	)%
Percentage change in benchmark		(26.2	)%		(52.8	)%
Benchmark annualized volatility		50.6	%		60.3	%

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,474,812 outstanding Shares at December 31, 2013 to 6,724,812 outstanding Shares at September 30, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 1,640,001 outstanding Shares at December 31, 2012 to 4,224,812 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 27.0% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 52.9% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $36.25 per Share and reached its low for the period on September 18, 2014 at $18.06 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $76.11 per Share and reached its low for the period on September 18, 2013 at $36.35 per Share.

The benchmark’s decline of 26.2% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 52.8% for the nine months ended September 30, 2013, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(833,205	)	$	(1,117,258	)
Management fee		849,283			1,171,508
Brokerage commission		24,499			—
Net realized gain (loss)		(28,423,976	)		(102,871,341	)
Change in net unrealized appreciation/depreciation		29,074,883			3,439,893
Net income (loss)	$	(182,298	)	$	(100,548,706	)

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures contracts on the VIX future curve during the nine months ended September 30, 2014.

208

ProShares VIX Mid-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	51,134,323		$	37,302,992
NAV end of period	$	45,613,786		$	96,765,151
Percentage change in NAV		(10.8	)%		159.4	%
Shares outstanding beginning of period		662,501			268,751
Shares outstanding end of period		712,501			1,043,751
Percentage change in shares outstanding		7.5	%		288.4	%
Shares created		581,250			1,300,000
Shares redeemed		531,250			525,000
Per share NAV beginning of period	$	77.18		$	138.80
Per share NAV end of period	$	64.02		$	92.71
Percentage change in per share NAV		(17.1	)%		(33.2	)%
Percentage change in benchmark		(16.3	)%		(32.8	)%
Benchmark annualized volatility		22.8	%		25.8	%

During the nine months ended September 30, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 662,501 outstanding Shares at December 31, 2013 to 712,501 outstanding Shares at September 30, 2014. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 268,751 outstanding Shares at December 31, 2012 to 1,043,751 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 17.1% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 33.2% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $85.56 per Share and reached its low for the period on August 19, 2014 at $58.76 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $129.47 per Share and reached its low for the period on September 18, 2013 at $88.44 per Share.

The benchmark’s decline of 16.3% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 32.8% for the nine months ended September 30, 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 nine months ended September 30, 2014.

209

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(299,431	)	$	(389,961	)
Management fee		310,124			410,433
Brokerage commission		2,966			—
Net realized gain (loss)		(16,098,628	)		(19,673,532	)
Change in net unrealized appreciation/depreciation		7,398,323			738,490
Net income (loss)	$	(8,999,736	)	$	(19,325,003	)

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the nine months ended September 30, 2014.

*	See Note 9 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 Mid-Term Futures ETF.

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	226,233,584		$	84,716,132
NAV end of period	$	258,077,177		$	286,200,633
Percentage change in NAV		14.1	%		237.8	%
Shares outstanding beginning of period		3,372,389			105,202
Shares outstanding end of period		8,670,099			2,072,389
Percentage change in shares outstanding		157.1	%		1,869.9	%
Shares created		26,025,000			6,100,000
Shares redeemed		20,727,290			4,132,813
Per share NAV beginning of period	$	67.08		$	805.27
Per share NAV end of period	$	29.77		$	138.10
Percentage change in per share NAV		(55.6	)%		(82.9	)%
Percentage change in benchmark		(26.2	)%		(52.8	)%
Benchmark annualized volatility		50.6	%		60.3	%

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted from an increase from 3,372,389 outstanding Shares at December 31, 2013 to 8,670,099 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from an increase from 105,202 outstanding Shares at December 31, 2012 to 2,072,389 outstanding Shares at September 30, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 55.6% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV decrease of 82.9% for the nine months ended September 30, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the nine months ended September 30, 2014.

210

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $104.52 per Share and reached its low for the period on September 18, 2014 at $22.73 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $652.25 per Share and reached its low for the period on September 18, 2013 at $117.13 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(3,811,314	)	$	(3,722,756	)
Management fee		2,064,694			1,944,995
Brokerage commission		1,802,162			1,824,624
Net realized gain (loss)		(255,418,727	)		(302,267,308	)
Change in net unrealized appreciation/depreciation		72,652,146			10,639,956
Net income (loss)	$	(186,577,895	)	$	(295,350,108	)

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a lesser decline in the prices of the near-term futures contracts on the VIX futures curve in conjunction with a significant increase in shares outstanding during the nine months ended September 30, 2014.

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

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

The following table provides summary performance information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
NAV beginning of period	$	141,751,202		$	82,663,633
NAV end of period	$	310,478,773		$	94,516,078
Percentage change in NAV		119.0	%		14.3	%
Shares outstanding beginning of period		2,100,040			2,500,040
Shares outstanding end of period		4,150,040			1,800,040
Percentage change in shares outstanding		97.6	%		(28.0	)%
Shares created		8,400,000			9,200,000
Shares redeemed		6,350,000			9,900,000
Per share NAV beginning of period	$	67.50		$	33.06
Per share NAV end of period	$	74.81		$	52.51
Percentage change in per share NAV		10.8	%		58.8	%
Percentage change in benchmark		(26.2	)%		(52.8	)%
Benchmark annualized volatility		50.6	%		60.3	%

211

During the nine months ended September 30, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 2,100,040 outstanding Shares at December 31, 2013 to 4,150,040 outstanding Shares at September 30, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the nine months ended September 30, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. The increase in the Fund’s NAV was offset by a decrease from 2,500,040 outstanding Shares at December 31, 2012 to 1,800,040 outstanding Shares at September 30, 2013.

For the nine months ended September 30, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV increase of 10.8% for the nine months ended September 30, 2014, as compared to the Fund’s per Share NAV increase of 58.8% for the nine months ended September 30, 2013, was primarily due to a lesser appreciation in the value of the assets of the fund during the nine months ended September 30, 2014.

During the nine months ended September 30, 2014, the Fund’s per Share NAV reached its high for the period on July 3, 2014 at $92.60 per Share and reached its low for the period on February 5, 2014 at $50.78 per Share. By comparison, during the nine months ended September 30, 2013, the Fund’s per Share NAV reached its high for the period on September 18, 2013 at $57.44 per Share and reached its low for the period on June 24, 2013 at $35.51 per Share.

The benchmark’s decline of 26.2% for the nine months ended September 30, 2014, as compared to the benchmark’s decline of 52.8% for the nine months ended September 30, 2013, can be attributed to a lesser decline in the prices of the near-term futures contracts on the VIX Futures curve during the nine months ended September 30, 2014.

Net Income/Loss

The following table provides summary income information for the Fund for the nine months ended September 30, 2014 and 2013:


	Nine Months Ended September 30, 2014			Nine Months Ended September 30, 2013
Net investment income (loss)	$	(2,500,310	)	$	(848,890	)
Management fee		1,610,858			535,989
Brokerage commission		949,948			335,552
Net realized gain (loss)		94,432,504			58,712,909
Change in net unrealized appreciation/depreciation		(33,171,890	)		(2,063,561	)
Net income (loss)	$	58,760,304		$	55,800,458

The Fund’s net income increased for the nine months ended September 30, 2014, as compared to the nine months ended September 30, 2013, primarily due to a decline in the prices of the near-term futures contracts on the VIX Futures curve in conjunction with a significant increase in shares outstanding during the nine months ended September 30, 2014.

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

212

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 September 30, 2014 and 2013, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort Bloomberg Commodity:

As of September 30, 2014 and 2013, the ProShares UltraShort Bloomberg Commodity Fund was exposed to inverse commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s short swap positions as of September 30, 2014 and 2013, which were sensitive to commodity price risk.

Swap Agreements as of September 30, 2014


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Index	Deutsche Bank AG	Short	$	118.6922	$	(3,142,104	)
Bloomberg Commodity Index	Goldman Sachs International	Short		118 .6922		(3,692,948	)
Bloomberg Commodity Index	UBS AG	Short		118 .6922		(1,467,635	)

Swap Agreements as of September 30, 2013


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg Commodity Index	Deutsche Bank AG	Short	$	127.1103	$	(2,645,772	)
Bloomberg Commodity Index	Goldman Sachs International	Short		127.1103		(3,749,305	)
Bloomberg Commodity Index	UBS AG	Short		127.1103		(1,095,198	)

The September 30, 2014 and 2013 short swap notional values are calculated by multiplying units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2013 filed with the U.S. Securities and Exchange Commission (the “SEC”) on March 3, 2014 (the “Form 10-K”), for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

213

ProShares UltraShort Bloomberg Crude Oil:

As of September 30, 2014 and 2013, the ProShares UltraShort Bloomberg Crude Oil Fund was exposed to inverse commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)		Short		November 2014		1,835	$	91.16		1,000	$	(167,278,600	)

Swap Agreements as of September 30, 2014


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Short	$	240.0850	$	(62,351,907	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		240.0850		(69,441,497	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Short		240.0850		(23,563,233	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		240.0850		(69,653,790	)

Futures Positions as of September 30, 2013


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
WTI Crude Oil (NYMEX)		Short		November 2013		3,779	$	102.33		1,000	$	(386,705,070	)

Swap Agreements as of September 30, 2013


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Bloomberg WTI Crude Oil Subindex	Deutsche Bank AG	Short	$	253.0597	$	(138,285,284	)
Bloomberg WTI Crude Oil Subindex	Goldman Sachs International	Short		235.0597		(141,900,040	)
Bloomberg WTI Crude Oil Subindex	Societe Generale S.A.	Short		235.0597		(85,110,010	)
Bloomberg WTI Crude Oil Subindex	UBS AG	Short		235.0597		(132,930,537	)

The September 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2014 and 2013 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

214

ProShares UltraShort Bloomberg Natural Gas:

As of September 30, 2014 and 2013, the ProShares UltraShort Bloomberg Natural Gas Fund was exposed to inverse commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)		Short		November 2014		955	$	4.12		10,000	$	(39,355,550	)

Futures Positions as of September 30, 2013


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)		Short		November 2013		901	$	3.56		10,000	$	(32,075,600	)

The September 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Gold:

As of September 30, 2014 and 2013, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)		Short		December 2014		2	$	1,211.60		100	$	(242,320	)

Forward Agreements as of September 30, 2014


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short	$	1,216.53	$	(82,724,040	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,216.53		(32,843,877	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,216.53		(16,666,461	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,216.53		(31,690,607	)

215

Futures Positions as of September 30, 2013


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)		Short		December 2013		2	$	1,327.00		100	$	(265,400	)

Forward Agreements as of September 30, 2013


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Deutsche Bank AG	Short	$	1,326.53	$	(161,438,701	)
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short		1,326.53		(78,262,617	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,326.53		(39,795,900	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,326.53		(10,413,261	)

The September 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2014 and 2013 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Silver:

As of September 30, 2014 and 2013, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)		Short		December 2014		1	$	17.057		5,000	$	(85,285	)

Forward Agreements as of September 30, 2014


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short	$	17.1113	$	(58,914,206	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		17.1110		(20,644,422	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		17.1110		(11,755,257	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		17.1111		(28,233,315	)

216

Futures Positions as of September 30, 2013


Contract	Long or Short		Expiration		Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)		Short		December 2013		2	$	21.708		5,000	$	(217,080	)

Forward Agreements as of September 30, 2013


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Deutsche Bank AG	Short	$	21.6828	$	(118,539,868	)
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short		21.6828		(65,406,166	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		21.6828		(37,923,217	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		21.6828		(8,911,631	)

The September 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2014 and 2013 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with (decreases) increases in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Commodity:

As of September 30, 2014 and 2013, the ProShares Ultra Bloomberg Commodity Fund was exposed to commodity price risk through its holding of swap agreements linked to the Bloomberg Commodity Index. The following tables provide information about the Fund’s swap positions as of September 30, 2014 and 2013, which were sensitive to commodity price risk.

Swap Agreements as of September 30, 2014

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount at
Value

Bloomberg Commodity Index

Deutsche Bank AG

Long

118.6922

2,826,697

Bloomberg Commodity Index

Goldman Sachs
International

Long

118.6922

3,040,456

Bloomberg Commodity Index

UBS AG

Long

118.6922

938,766

Swap Agreements as of September 30, 2013

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Bloomberg Commodity Index

Deutsche Bank AG

Long

127.1103

2,467,834

Bloomberg Commodity Index

Goldman Sachs
International

Long

127.1103

3,803,041

Bloomberg Commodity Index

UBS AG

Long

127.1103

1,697,422

217

The September 30, 2014 and 2013 swap notional values are calculated by multiplying units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Bloomberg Crude Oil:

As of September 30, 2014 and 2013, the ProShares Ultra Bloomberg Crude Oil Fund was exposed to commodity price risk through its holding of Crude Oil futures contracts and its holding of swap agreements linked to the Bloomberg WTI Crude Oil Subindex^SM. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Crude Oil (NYMEX)

Long

November 2014

1,693

91.16

1,000

154,333,880

Swap Agreements as of September 30, 2014

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

Bloomberg WTI Crude Oil Subindex

Deutsche Bank AG

Long

240.0850

66,036,469

Bloomberg WTI Crude Oil Subindex

Goldman Sachs
International

Long

240.0850

52,389,330

Bloomberg WTI Crude Oil Subindex

Societe Generale S.A.

Long

240.0850

24,059,224

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

240.0850

61,519,125

Futures Positions as of September 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional
Amount at
Value

WTI Crude Oil (NYMEX)

Long

November 2013

1,093

102.33

1,000

111,846,690

Swap Agreements as of September 30, 2013

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Bloomberg WTI Crude Oil Subindex

Deutsche Bank AG

Long

253.0597

46,973,928

Bloomberg WTI Crude Oil Subindex

Goldman Sachs
International

Long

253.0597

45,742,000

Bloomberg WTI Crude Oil Subindex

Societe Generale S.A.

Long

253.0597

25,106,915

Bloomberg WTI Crude Oil Subindex

UBS AG

Long

253.0597

44,514,417

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2014 and 2013 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these

218

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

ProShares Ultra Bloomberg Natural Gas:

As of September 30, 2014 and 2013, the ProShares Ultra Bloomberg Natural Gas Fund was exposed to commodity price risk through its holding of Natural Gas futures contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

November 2014

3,374

4.12

10,000

139,042,540

Futures Positions as of September 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

November 2013

5,291

3.56

10,000

188,359,600

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

As of September 30, 2014 and 2013, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

December 2014

1,211.60

100

242,320

219

Forward Agreements as of September 30, 2014

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Deutsche Bank AG

Long

1,216.53

117,395,145

0.995 Fine Troy Ounce Gold

Goldman Sachs
International

Long

1,216.53

47,833,960

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,216.53

18,491,256

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,216.53

42,091,938

Futures Positions as of September 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

December 2013

1,327.00

100

265,400

Forward Agreements as of September 30, 2013

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Deutsche Bank AG

Long

1,326.53

188,632,566

0.995 Fine Troy Ounce Gold

Goldman Sachs
International

Long

1,326.53

88,373,429

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,326.53

46,295,897

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,326.53

21,489,786

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2014 and 2013 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of September 30, 2014 and 2013, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of September 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

December 2014

17.057

5,000

170,570

220

Forward Agreements as of September 30, 2014

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Deutsche Bank AG

Long

17.1113

369,963,417

0.999 Fine Troy Ounce Silver

Goldman Sachs
International

Long

17.1110

140,358,111

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

17.1110

79,189,708

0.999 Fine Troy Ounce Silver

UBS AG

Long

17.1111

124,654,364

Futures Positions as of September 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional
Amount at
Value

Silver Futures (COMEX)

Long

December 2013

21.708

5,000

217,080

Forward Agreements as of September 30, 2013

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional
Amount at
Value

0.999 Fine Troy Ounce Silver

Deutsche Bank AG

Long

21.6828

600,570,194

0.999 Fine Troy Ounce Silver

Goldman Sachs
International

Long

21.6828

266,325,496

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

21.6828

177,105,110

0.999 Fine Troy Ounce Silver

UBS AG

Long

21.6828

63,639,018

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2014 and 2013 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2014 and 2013, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of September 30, 2014 and 2013, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to exchange rate price risk.

221

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short	December 2014		110	$	1.2635		125,000	$	(17,373,125	)

Futures Positions as of September 30, 2013


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short	December 2013		43	$	1.3527		125,000	$	(7,270,763	)

The September 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Australian Dollar:

As of September 30, 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 September 30, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	December 2014		473	$	86.97		1,000	$	(41,136,810	)

Futures Positions as of September 30, 2013


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Australian Dollar Fx Currency Futures (CME)	Short	December 2013		519	$	92.79		1,000	$	(48,158,010	)

The September 30, 2014 and 2013 short futures notional value is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional value will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

222

ProShares UltraShort Euro:

As of September 30, 2014 and 2013, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2014


Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		10/03/14		50,953,400			1.2630	$	64,354,521
Euro	UBS AG	Long		10/03/14		16,358,400			1.2630		20,660,780
Euro	Goldman Sachs International	Short		10/03/14		(407,363,625	)		1.2630		(514,503,272	)
Euro	UBS AG	Short		10/03/14		(408,335,300	)		1.2630		(515,730,505	)

Foreign Currency Forward Contracts as of September 30, 2013


Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		10/04/13		59,619,300			1.3528	$	80,653,379
Euro	UBS AG	Long		10/04/13		44,376,200			1.3528		60,032,413
Euro	Goldman Sachs International	Short		10/04/13		(395,033,825	)		1.3528		(534,404,339	)
Euro	UBS AG	Short		10/04/13		(385,179,200	)		1.3528		(521,072,938	)

The September 30, 2014 and 2013 USD market values equal the number of euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

As of September 30, 2014 and 2013, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2014


Reference Currency	Counterparty	Long or Short	Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/03/14		2,823,176,700			0.009118	$	25,741,849
Yen	UBS AG	Long		10/03/14		2,754,478,000			0.009118		25,115,452
Yen	Goldman Sachs International	Short		10/03/14		(51,996,123,300	)		0.009118		(474,102,939	)
Yen	UBS AG	Short		10/03/14		(49,151,071,100	)		0.009118		(448,161,628	)

223

Foreign Currency Forward Contracts as of September 30, 2013


Reference Currency	Counterparty	Long or Short	Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/04/13		10,842,832,400			0.010173	$	110,305,446
Yen	UBS AG	Long		10/04/13		4,202,410,900			0.010173		42,751,635
Yen	Goldman Sachs International	Short		10/04/13		(56,007,835,200	)		0.010173		(569,774,484	)
Yen	UBS AG	Short		10/04/13		(50,043,376,200	)		0.010173		(509,097,321	)

The September 30, 2014 and 2013 USD market values equal the number of yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Australian Dollar:

As of September 30, 2014 and 2013, the ProShares Ultra Australian Dollar Fund was exposed to exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of September 30, 2014

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional
Amount at
Value

Australian Dollar Fx Currency Futures (CME)

Long

December 2014

86.97

1,000

6,261,840

Futures Positions as of September 30, 2013

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional
Amount at
Value

Australian Dollar Fx Currency Futures (CME)

Long

December 2013

92.79

1,000

6,866,460

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Australian dollar for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Australian dollar and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

224

ProShares Ultra Euro:

As of September 30, 2014 and 2013, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of September 30, 2014


Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		10/03/14		621,725			1.2630	$	785,243
Euro	UBS AG	Long		10/03/14		2,994,100			1.2630		3,781,570
Euro	Goldman Sachs International	Short		10/03/14		(72,700	)		1.2630		(91,821	)
Euro	UBS AG	Short		10/03/14		(97,300	)		1.2630		(122,891	)

Foreign Currency Forward Contracts as of September 30, 2013
Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		10/04/13		1,573,025			1.3528	$	2,127,999
Euro	UBS AG	Long		10/04/13		4,058,700			1.3528		5,490,636
Euro	Goldman Sachs International	Short		10/04/13		(1,867,300	)		1.3528		(2,526,096	)
Euro	UBS AG	Short		10/04/13		(38,400	)		1.3528		(51,948	)

The September 30, 2014 and 2013 USD market value equals the number of euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Yen:

As of September 30, 2014 and 2013, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2014 and 2013, which were sensitive to exchange rate price risk.

225

Foreign Currency Forward Contracts as of September 30, 2014


Reference Currency	Counterparty	Long or Short	Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/03/14		79,232,400			0.009118	$	722,445
Yen	UBS AG	Long		10/03/14		312,531,500			0.009118		2,849,676
Yen	Goldman Sachs International	Short		10/03/14		(12,190,700	)		0.009118		(111,155	)
Yen	UBS AG	Short		10/03/14		(7,374,200	)		0.009118		(67,238	)

Foreign Currency Forward Contracts as of September 30, 2013


Reference Currency	Counterparty	Long or Short	Settlement Date		Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long		10/04/13		317,266,000			0.010173	$	3,227,585
Yen	UBS AG	Long		10/04/13		339,056,000			0.010173		3,449,258
Yen	Goldman Sachs International	Short		10/04/13		(18,973,500	)		0.010173		(193,020	)
Yen	UBS AG	Short		10/04/13		(3,870,100	)		0.010173		(39,371	)

The September 30, 2014 and 2013 USD market values equal the number of yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the yen for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the yen and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Equity Market Volatility Sensitivity

Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. The following tables provide information about each of the VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes. As of September 30, 2014 and 2013, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of September 30, 2014 and 2013, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2014


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2014		5,102	$	16.30		1,000	$	83,162,600
VIX Futures (CBOE)	Long	November 2014		3,402		16.65		1,000		56,643,300

226

Futures Positions as of September 30, 2013


Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long	October 2013		5,549	$	16.20		1,000	$	89,893,800
VIX Futures (CBOE)		Long	November 2013		4,540		16.90		1,000		76,726,000

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares VIX Mid-Term Futures ETF

As of September 30, 2014 and 2013, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2014


Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long	January 2015		506	$	17.45		1,000	$	8,829,700
VIX Futures (CBOE)		Long	February 2015		844		17.90		1,000		15,107,600
VIX Futures (CBOE)		Long	March 2015		844		18.25		1,000		15,403,000
VIX Futures (CBOE)		Long	April 2015		338		18.60		1,000		6,286,800

Futures Positions as of September 30, 2013


Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long	January 2014		943	$	18.05		1,000	$	17,021,150
VIX Futures (CBOE)		Long	February 2014		1,715		18.65		1,000		31,984,750
VIX Futures (CBOE)		Long	March 2014		1,716		19.10		1,000		32,775,600
VIX Futures (CBOE)		Long	April 2014		772		19.40		1,000		14,976,800

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to match the performance of the Index. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra VIX Short-Term Futures ETF

As of September 30, 2014 and 2013, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these VIX futures contracts as of September 30, 2014 and 2013, which were sensitive to equity market volatility risk.

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Futures Positions as of September 30, 2014


Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long	October 2014		18,828	$	16.30		1,000	$	306,896,400
VIX Futures (CBOE)		Long	November 2014		12,550		16.65		1,000		208,957,500

Futures Positions as of September 30, 2013


Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Long	October 2013		19,039	$	16.20		1,000	$	308,431,800
VIX Futures (CBOE)		Long	November 2013		15,586		16.90		1,000		263,403,400

The September 30, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Short VIX Short-Term Futures ETF

As of September 30, 2014 and 2013, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of September 30, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of September 30, 2014


Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Short	October 2014		11,352	$	16.30		1,000	$	(185,037,600	)
VIX Futures (CBOE)		Short	November 2014		7,575		16.65		1,000		(126,123,750	)

Futures Positions as of September 30, 2013


Contract	Long or Short		Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)		Short	October 2013		3,153	$	16.20		1,000	$	(51,078,600	)
VIX Futures (CBOE)		Short	November 2013		2,585		16.90		1,000		(43,686,500	)

The September 30, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current equity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

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Qualitative Disclosure

As described above in Item 2 of this Quarterly Report on Form 10-Q, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. Each Short Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. Future period returns, before fees and expenses, cannot be estimated simply by estimating the percent change in the corresponding benchmark and multiplying by two or negative two. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time.

Primary Market Risk Exposure

The primary market risks that the Funds are exposed to depend on each Fund’s investment objective and corresponding benchmark. For example, the primary market risk that the ProShares UltraShort Bloomberg Crude Oil and the ProShares Ultra Bloomberg Crude Oil Funds are exposed to are inverse and direct exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Bloomberg Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 of this Quarterly Report on Form 10-Q, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index (comprised of commodity futures contracts) will affect investors differently depending upon the Fund in which investors invest. Daily increases in the price of an underlying commodity or commodity index will negatively impact the daily

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performance of Shares of an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund.

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

Exchange Rate Sensitivity

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

Equity Market Volatility Sensitivity

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

Managing Market Risks

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

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

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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 September 30, 2014, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended September 30, 2014, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

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Part II. OTHER INFORMATION

Item 1. Legal Proceedings.

None.

Item 1A. Risk Factors.

Except as noted below, there has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2013, filed on March 3, 2014, as amended.

The following risk factors either: 1) apply specifically to the Managed Futures Fund, a new series of the Trust that launched on October 2, 2014; or 2) describe a potential delisting notice received by ProShares Ultra Australian Dollar.

Risks Specific to the Managed Futures Fund

The level of the S&P Strategic Futures Index (the “SFI”) and the returns attributable to the underlying SFI index components (the “SFI Futures Contracts”) depend on whether a particular SFI Futures Contract is positioned long or short.

The impact of changes in the prices of the SFI Futures Contracts will affect the Managed Futures Fund differently depending upon whether such SFI Futures Contract is positioned long or short. Increases in the price of an underlying SFI Futures Contract will negatively impact the Managed Futures Fund’s performance when the SFI Futures Contract is positioned short and decreases in the price of an underlying SFI Futures Contract will negatively impact the Managed Futures Fund’s performance when the SFI Futures Contract is positioned long.

Short positions should be considered to be speculative and could result in the total loss of an investor’s investment.

The Managed Futures Fund may take short positions in the SFI Futures Contracts. Because the holder of a short position is exposed to losses upon any increase in price, and a price increase is potentially unlimited, short positions will expose the Managed Futures Fund to potentially unlimited losses, which could result in a total loss of investment.

Monthly repositioning may expose the Managed Futures Fund to increased losses in volatile markets.

The SFI is designed to potentially capture the economic benefit derived from both rising and declining trends in futures prices. In order to accomplish this, the SFI positions are rebalanced and repositioned, either long or short, on a monthly basis. Long positions or short positions in each SFI Futures Contract are determined based on price movements over the past seven months. In volatile markets, this may result in the SFI Futures Contracts frequently being repositioned from long to short and vice versa. If the price movements that caused a particular SFI Futures Contract to be repositioned subsequently reverse themselves, the Managed Futures Fund’s index will be negatively impacted. For example, if Gold is positioned long for the month of March, and the underlying SFI Futures Contracts decline in price, the SFI will experience losses. Depending on the magnitude of the price decline, Gold may reposition itself to short at month end. If, in April, the market reverses and appreciates in price, Gold will again experience losses, even if the price of Gold futures contracts measured across both months is flat from a performance perspective. Such activity can cause the Managed Futures Fund to lose more, and possibly significantly more, than an investment focused only on long or short positions in the same futures contracts.

The Managed Futures Fund has a limited operating history, and, as a result, investors have a limited performance history to serve as a factor for evaluating an investment in the Managed Futures Fund.

The Managed Futures Fund has a limited performance history upon which to evaluate an investor’s investment in the Managed Futures Fund. Although past performance is not necessarily indicative of future results, if the Managed Futures Fund had a longer performance history, such performance history might (or might not) provide investors with more information on which to evaluate an investment in the Managed Futures Fund. Likewise, the SFI has a limited history which might (or might not) provide investors with more information on which to evaluate an investment in the Managed Futures Fund.

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Risks Specific to the Managed Futures Fund, the Commodity Index Funds, the Commodity Funds, the Currency Funds and the VIX Funds.

With regard to the Managed Futures Fund, the Commodity Index Funds and the Commodity Fund, several factors may affect the price of commodities and, in turn, the Financial Instruments and other assets, if any, owned by such a Fund, including, but not limited to:

•

Significant increases or decreases in the available supply of a physical commodity due to natural or technological factors. Natural factors would include depletion of known cost-effective sources for a commodity or the impact of severe weather on the ability to produce or distribute the commodity. Technological factors, such as increases in availability created by new or improved extraction, refining and processing equipment and methods or decreases caused by failure or unavailability of major refining and processing equipment (for example, shutting down or constructing oil refineries), also materially influence the supply of commodities.

•

Significant increases or decreases in the demand for a physical commodity due to natural or technological factors. Natural factors would include such events as unusual climatological conditions impacting the demand for commodities. Technological factors may include such developments as substitutes for particular commodities.

•

A significant change in the attitude of speculators and investors towards a commodity. Should the speculative community take a negative or positive view towards any given commodity, it could cause a change in world prices of any given commodity and the price of Shares based upon a benchmark related to that commodity will be affected.

•

Large purchases or sales of physical commodities by the official sector. Governments and large institutions have large commodities holdings or may establish major commodities positions. For example, a significant portion of the aggregate world gold holdings is owned by governments, central banks and related institutions. Similarly, nations with centralized or nationalized oil production and organizations such as the Organization of Petroleum Exporting Countries control large physical quantities of crude oil. If one or more of these institutions decides to buy or sell any commodity in amounts large enough to cause a change in world prices, the price of Shares based upon a benchmark related to that commodity will be affected.

•

Other political factors. In addition to the organized political and institutional trading-related activities described above, peaceful political activity such as imposition of regulations or entry into trade treaties, as well as political disruptions caused by societal breakdown, insurrection and/or war may greatly influence commodities prices.

•

A significant increase or decrease in commodity hedging activity by commodity producers. Should there be an increase or decrease in the level of hedge activity of commodity producing companies, countries and/or organizations, it could cause a change in world prices of any given commodity, causing the price of Shares based upon a benchmark related to that commodity to be affected.

•

The recent proliferation of commodity-linked products and their unknown effect on the commodity markets.

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With regard to the Managed Futures Fund and the Currency Funds, several factors may affect the value of foreign currencies or the U.S. dollar and, in turn, Financial Instruments and other assets, if any, owned by a Fund, including, but not limited to:

•

Debt level and trade deficit of the relevant foreign countries;

•

Inflation rates of the United States and the relevant foreign countries and investors’ expectations concerning inflation rates;

•

Interest rates of the United States and the relevant foreign countries and investors’ expectations concerning interest rates;

•

Investment and trading activities of mutual funds, hedge funds and currency funds;

•

Global or regional political, economic or financial events and situations;

•

Sovereign action to set or restrict currency conversion; and

•

Monetary policies and other related activities of central banks within the U.S. and other relevant foreign markets.

With regard to the Managed Futures Fund, several factors may affect the value of U.S. Treasury securities and, in turn, certain Financial Instruments and related assets, if any, owned by the Managed Futures Fund, including, but not limited to:

•

Perception of risk, or the lack thereof, in assets other than U.S. Treasury securities;

•

Debt level and trade deficit of the United States;

•

Inflation rates of the United States and the relevant foreign countries and investors’ expectations concerning inflation rates;

•

Interest rates of the United States and the relevant foreign countries and investors’ expectations concerning interest rates;

•

Fluctuations in the value of the U.S. dollar relative to other currencies; and

•

Fluctuations in the supply of, and demand for, the underlying U.S. Treasury securities.

With regard to the VIX Funds, several factors may affect the price and/or liquidity of VIX futures contracts and other assets, if any, owned by a VIX Fund, including, but not limited to:

•

Prevailing market prices and forward volatility levels of the U.S. stock markets, the S&P 500, the equity securities included in the S&P 500 and prevailing market prices of options on the S&P 500, the VIX, options on the VIX, the relevant VIX futures contracts, or any other financial instruments related to the S&P 500 and the VIX or VIX futures contracts;

•

Interest rates;

•

Economic, financial, political, regulatory, geographical, biological or judicial events that affect the level of the Index or the market price or forward volatility of the U.S. stock markets, the equity securities included in the S&P 500, the S&P 500, the VIX or the relevant futures or option contracts on the VIX;

•

Supply and demand as well as hedging activities in the listed and over-the-counter (“OTC”) equity derivatives markets;

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•

Disruptions in trading of the S&P 500, futures contracts on the S&P 500 or options on the S&P 500; and

•

The level of contango or backwardation in the VIX futures contracts market.

These factors interrelate in complex ways, and the effect of one factor on the market value of a Fund may offset or enhance the effect of another factor. In addition, the impact of changes in the level of a commodity index or the value of a commodity or currency will affect investors differently depending upon the Managed Futures Fund, the Commodity Index Fund, the Commodity Fund, Currency Fund or VIX Fund in which an investor invests. Daily increases in the level of a commodity index or a VIX futures index or the value of a commodity or currency will negatively impact the daily performance of Shares of the Short and UltraShort Commodity Index, Commodity, Currency or VIX Funds.

The Managed Futures Fund and the Commodity Index Funds are linked to indexes comprised of commodity futures contracts and/or financial futures contracts, and are not directly linked to the “spot” prices of the underlying physical commodities or financial assets. Futures contracts may perform very differently from the spot price of the underlying physical commodities or financial assets.

The Managed Futures Fund and each Commodity Index Fund are designed to correspond (before fees and expenses) to the performance of, or a multiple or an inverse multiple of, the daily performance of its applicable benchmark, which is intended to reflect the performance of the prices of futures contracts on certain physical commodities and/or financial assets. The Managed Futures Fund and the Commodity Index Funds are not directly linked to the “spot” price of the physical commodities. While prices of swaps, futures contracts and other derivatives contracts are, as a rule, related to the prices of an underlying cash market, they are not perfectly correlated and often can perform very differently. It is possible that during certain time periods, the performance of different derivatives contracts may be substantially lower or higher than cash market prices for the underlying commodity or financial asset due to differences in derivatives contract terms or as supply, demand or other economic or regulatory factors become more pronounced in either the cash or derivatives markets. Depending upon the direction and level of the benchmark changes, the Funds may underperform or outperform a portfolio of cash market commodities or financial assets.

ProShares Ultra Australian Dollar has received a potential delisting letter from NYSE Regulation, Inc. If the Fund is delisted, investors may not have an active trading market for the Fund’s Shares, and the Fund would likely be forced to liquidate.

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Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

(a)

None.

(b)

The Trust initially registered Shares on its Registration Statement on Form S-1 (File No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (File No. 333- 156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all registered Shares and re-allocated the remaining amount of the registered Shares among the Funds listed on its Registration Statement on Form S-3 (File No. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on Form S-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on Form S-1 (File No. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on Form S-3 (File No. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on Form S-1 (File No. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on Form S-1 (File No. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (File No. 333-183672) was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-176878). On September 27, 2012, a Registration Statement on Form S-3 (File No. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro. This registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on Form S-1 (File No. 333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on Form S-1 (File No. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statements (File Nos. 333-183672 and 333-178707). Also, on January 30, 2013, a Registration Statement on Form S-3 (File No. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statement (File No. 333-193672) and Form S-3 Registration Statement (File No. 333-183674). On April 24, 2013, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on Form S-3 (File No. 333-187820) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-185289). On May 21, 2013, a Registration Statement on Form S-1 (File 333-188215) was declared effective, which registered additional Shares for ProShares Ultra Bloomberg Natural Gas, ProShares UltraShort Bloomberg Natural Gas, ProShares Short VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-1 (File No. 333-185288). On July 30, 2013, a Registration Statement on Form S-3 (File No. 333-189967) was declared effective, which registered additional Shares for ProShares Bloomberg Crude Oil and ProShares UltraShort Yen and partially terminated registered and unissued Shares of ProShares Ultra Bloomberg Crude Oil, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares UltraShort Euro and ProShares VIX Short-Term Futures ETF. That registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-187820). On May 6, 2014, a post-effective amendment to the Form S-1 Registration Statement (File No. 333-188215) was declared effective, updating the Form S-1 Registration Statement by, among other things, incorporating by reference the audited financial statements for the fiscal year ended December 31, 2013. The post-effective amendment did not register any additional shares. On July 30, 2014, a Registration Statement on Form S-1 (File No. 333-196884) was declared effective, which partially terminated registered and unissued Shares of ProShares VIX Mid-Term Futures ETF, ProShares Ultra Bloomberg Commodity, ProShares Ultra Euro, ProShares Ultra Yen and ProShares UltraShort Bloomberg Commodity. That registration statement was a combined prospectus and acted as a post-effective amendment to two Form S-1 registration statements (File Nos. 333-188215 and 333-185288). On July 30, 2014, a Registration Statement on Form S-3 (File No. 333-196885) was also declared effective, which registered additional Shares for ProShares Ultra Bloomberg Crude Oil, ProShares UltraShort Bloomberg Crude Oil and ProShares UltraShort Euro and partially terminated registered and unissued Shares of ProShares Ultra Gold, ProShares Ultra Silver and ProShares UltraShort Silver. That Registration Statement also was a combined prospectus and acted as a post-effective amendment to the Form S-3 (File No. 333-189967). Through the July 30, 2014 filings, ProShares Short VIX Short-Term Futures ETF was transferred from the Form S-1 to the Form S-3. On September 29, 2014, a Registration Statement on Form S-1 (File No. 333-198189) was declared effective, which registered a new offering of the Managed Futures Fund and acted as a post-effective amendment to the Form S-1 Registration Statement (File No. 333-196884). Thus, as of September 30, 2014, the Trust continued to have two effective registration statements outstanding: 1) a Form S-1 Registration Statement (No. 333-198189); and 2) a Form S-3 Registration Statement (No. 333-196885).

236

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 and the Managed Futures Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.


Title of Securities Registered	Amount Registered As of September 30, 2014		Shares Sold For the Three Months Ended September 30, 2014		Sale Price of Shares Sold For the Three Months Ended September 30, 2014
ProShares UltraShort Bloomberg Commodity Common Units of Beneficial Interest	$	300,000,000		—	$	—
ProShares UltraShort Bloomberg Crude Oil Common Units of Beneficial Interest	$	4,275,000,000		250,000	$	6,324,297
ProShares UltraShort Bloomberg Natural Gas Common Units of Beneficial Interest*	$	570,000,000		—	$	—
ProShares UltraShort Gold Common Units of Beneficial Interest*	$	1,000,000,000		50,000	$	4,823,848
ProShares UltraShort Silver Common Units of Beneficial Interest*	$	2,600,000,000		100,000	$	7,242,734
ProShares Short Euro Common Units of Beneficial Interest	$	200,000,000		50,000	$	1,819,803
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest	$	200,000,000		—	$	—
ProShares UltraShort Euro Common Units of Beneficial Interest*	$	2,953,506,872		300,000	$	5,399,540
ProShares UltraShort Yen Common Units of Beneficial Interest*	$	1,800,000,000		900,000	$	63,621,323
ProShares Ultra Bloomberg Commodity Common Units of Beneficial Interest	$	200,000,000		—	$	—
ProShares Ultra Bloomberg Crude Oil Common Units of Beneficial Interest*	$	4,608,246,073		5,200,000	$	167,655,013

237


ProShares Ultra Bloomberg Natural Gas Common Units of Beneficial Interest*	$	680,000,000	1,650,000	$	57,076,442
ProShares Ultra Gold Common Units of Beneficial Interest*	$	700,000,000	100,000	$	4,534,428
ProShares Ultra Silver Common Units of Beneficial Interest*	$	3,100,000,000	900,000	$	50,808,318
ProShares Ultra Australian Dollar Common Units of Beneficial Interest	$	200,000,000	—	$	—
ProShares Ultra Euro Common Units of Beneficial Interest	$	300,000,000	—	$	—
ProShares Ultra Yen Common Units of Beneficial Interest	$	300,000,000	—	$	—
ProShares Managed Futures Strategy Common Units of Beneficial Interest	$	200,000,000	10	$	200
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest*	$	3,250,000,000	3,475,000	$	66,062,556
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	1,100,000,000	118,750	$	7,132,205
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest*	$	8,000,000,000	11,700,000	$	288,044,131
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest*	$	2,750,000,000	4,450,000	$	348,502,796
Total:	$	39,286,752,945	29,243,760	$	1,079,047,634

On October 28, 2014, a Registration Statement on Form S-1 (File No. 333-199642) and a Registration Statement on Form S-3 (File No. 333-199641) were filed, which (when declared effective) will register additional Shares for: ProShares UltraShort Bloomberg Natural Gas (increasing its total amount registered to $670,000,000); ProShares UltraShort Gold (increasing its total amount registered to $1,100,000,000); ProShares UltraShort Silver (increasing its total amount registered to $3,300,000,000); ProShares UltraShort Euro (increasing its total amount registered to $3,053,506,872); ProShares UltraShort Yen (increasing its total amount registered to $1,900,000,000); ProShares Ultra Bloomberg Crude Oil (increasing its total amount registered to $6,008,246,073); ProShares Ultra Bloomberg Natural Gas (increasing its total amount registered to $880,000,000); ProShares Ultra Gold (increasing its total amount registered to $850,000,000); ProShares Ultra Silver (increasing its total amount registered to $3,800,000,000); ProShares VIX Short-Term Futures ETF (increasing its total amount registered to $3,950,000,000); ProShares Ultra VIX Short-Term Futures ETF (increasing its total amount registered to $9,000,000,000); and ProShares Short VIX Short-Term Futures ETF (increasing its total amount registered to $5,750,000,000).

(c)

From July 1, 2014 to September 30, 2014, the number of Shares redeemed and average price per Share for each Fund were as follows:


Fund	Total Number of Shares Redeemed		Average Price Per Share
ProShares UltraShort Bloomberg Commodity
07/01/14 to 07/31/14		—	$	—
08/01/14 to 08/31/14		—	$	—
09/01/14 to 09/30/14		—	$	—
ProShares UltraShort Bloomberg Crude Oil
07/01/14 to 07/31/14		3,250,000	$	26.74
08/01/14 to 08/31/14		4,050,000	$	28.86
09/01/14 to 09/30/14		1,300,000	$	30.76
ProShares UltraShort Bloomberg Natural Gas
07/01/14 to 07/31/14		550,000	$	47.97
08/01/14 to 08/31/14		200,000	$	52.17
09/01/14 to 09/30/14		50,000	$	53.56
ProShares UltraShort Gold
07/01/14 to 07/31/14		50,000	$	82.38
08/01/14 to 08/31/14		50,000	$	87.05
09/01/14 to 09/30/14		100,000	$	96.47
ProShares UltraShort Silver

238


07/01/14 to 07/31/14	50,000	$	75.68
08/01/14 to 08/31/14	100,000	$	84.19
09/01/14 to 09/30/14	100,000	$	91.04
ProShares Short Euro
07/01/14 to 07/31/14	—	$	—
08/01/14 to 08/31/14	—	$	—
09/01/14 to 09/30/14	—	$	—
ProShares UltraShort Australian Dollar
07/01/14 to 07/31/14	—	$	—
08/01/14 to 08/31/14	—	$	—
09/01/14 to 09/30/14	50,000	$	44.60
ProShares UltraShort Euro
07/01/14 to 07/31/14	—	$	—
08/01/14 to 08/31/14	350,000	$	18.49
09/01/14 to 09/30/14	2,100,000	$	19.31
ProShares UltraShort Yen
07/01/14 to 07/31/14	150,000	$	65.11
08/01/14 to 08/31/14	250,000	$	66.93
09/01/14 to 09/30/14	200,000	$	74.74
ProShares Ultra Bloomberg Commodity
07/01/14 to 07/31/14	—	$	—
08/01/14 to 08/31/14	—	$	—
09/01/14 to 09/30/14	—	$	—
ProShares Ultra Bloomberg Crude Oil
07/01/14 to 07/31/14	350,000	$	37.42
08/01/14 to 08/31/14	200,000	$	31.63
09/01/14 to 09/30/14	1,200,000	$	31.49
ProShares Ultra Bloomberg Natural Gas
07/01/14 to 07/31/14	—	$	—
08/01/14 to 08/31/14	—	$	—
09/01/14 to 09/30/14	200,000	$	36.34
ProShares Ultra Gold
07/01/14 to 07/31/14	50,000	$	46.78
08/01/14 to 08/31/14	—	$	—
09/01/14 to 09/30/14	100,000	$	43.51
ProShares Ultra Silver
07/01/14 to 07/31/14	350,000	$	70.21
08/01/14 to 08/31/14	—	$	—
09/01/14 to 09/30/14	—	$	—
ProShares Ultra Australian Dollar
07/01/14 to 07/31/14	—	$	—
08/01/14 to 08/31/14	—	$	—
09/01/14 to 09/30/14	—	$	—
ProShares Ultra Euro
07/01/14 to 07/31/14	—	$	—
08/01/14 to 08/31/14	—	$	—
09/01/14 to 09/30/14	—	$	—
ProShares Ultra Yen
07/01/14 to 07/31/14	—	$	—
08/01/14 to 08/31/14	—	$	—
09/01/14 to 09/30/14	—	$	—
ProShares VIX Short-Term Futures ETF
07/01/14 to 07/31/14	750,000	$	19.25
08/01/14 to 08/31/14	1,175,000	$	21.94
09/01/14 to 09/30/14	—	$	—
ProShares VIX Mid-Term Futures ETF
07/01/14 to 07/31/14	—	$	—
08/01/14 to 08/31/14	62,500	$	62.78
09/01/14 to 09/30/14	—	$	—

239


ProShares Ultra VIX Short-Term Futures ETF
07/01/14 to 07/31/14	3,850,000	$	28.83
08/01/14 to 08/31/14	2,600,000	$	34.72
09/01/14 to 09/30/14	7,700,000	$	26.90
ProShares Short VIX Short-Term Futures ETF
07/01/14 to 07/31/14	100,000	$	91.70
08/01/14 to 08/31/14	1,350,000	$	85.50
09/01/14 to 09/30/14	900,000	$	86.51
Total:	33,887,500	$	34.35

Item 3.

Defaults Upon Senior Securities.

None.

Item 4.

Mine Safety Disclosures.

Not applicable.

Item 5.

Other Information.

None.

Item 6.

Exhibits.


Exhibit No.		Description of Document

31.1		Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)

31.2		Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)

32.1		Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)

32.2		Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(1)

101.INS		XBRL Instance Document

101.SCH		XBRL Taxonomy Extension Schema

101.CAL		XBRL Taxonomy Extension Calculation Linkbase

101.DEF		XBRL Taxonomy Extension Definition Linkbase

101.LAB		XBRL Taxonomy Extension Label Linkbase

101.PRE		XBRL Taxonomy Extension Presentation Linkbase

(1)	Filed herewith.

240

SIGNATURES

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

PROSHARES TRUST II



/s/ Todd Johnson
By:		Todd Johnson


Principal Executive Officer



Date:		November 7, 2014



/s/ Edward Karpowicz
By:		Edward Karpowicz


Principal Financial Officer



Date:		November 7, 2014

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