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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

OR

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

Commission file number: 001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

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

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip code)

(240) 497-6400

(Registrant’s telephone number, including area code)

N/A

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

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

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

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

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

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

##### Table of Contents

PROSHARES TRUST II

Table of Contents

|  | Page |
Part I. FINANCIAL INFORMATION |  |  |  |
Item 1. Condensed Financial Statements. |  |  | 1 |
Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations. |  |  | 144 |
Item 3. Quantitative and Qualitative Disclosures About Market Risk. |  |  | 176 |
Item 4. Controls and Procedures. |  |  | 194 |
Part II. OTHER INFORMATION |  |  |  |
Item 1. Legal Proceedings. |  |  | 195 |
Item 1A. Risk Factors. |  |  | 195 |
Item 2. Unregistered Sales of Equity Securities and Use of Proceeds. |  |  | 195 |
Item 3. Defaults Upon Senior Securities. |  |  | 199 |
Item 4. Mine Safety Disclosures. |  |  | 199 |
Item 5. Other Information. |  |  | 199 |
Item 6. Exhibits. |  |  | 199 |

##### Table of Contents

Part I. FINANCIAL INFORMATION

Item 1. | Condensed Financial Statements.

Index

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

1

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PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

2

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PROSHARES ULTRASHORT DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Swap Agreements^

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

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

^ | The positions and counterparties herein are as of March 31, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

3

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PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

4

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PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

5

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PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

|  | Three months ended March 31, 2014 |  |  | Three months ended March 31, 2013 |
Cash flow from operating activities |  |  |  |  |  |  |  |
Net income (loss) |  | $ | (513,697 | ) |  | $ | 60,032 |
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |  |  |  |  |  |  |  |
Net sale (purchase) of short-term U.S. government and agency obligations |  |  | 967,212 |  |  |  | (259,095 | )
Change in unrealized appreciation/depreciation on investments |  |  | (129,989 | ) |  |  | 241,608 |
Increase (Decrease) in management fee payable |  |  | (394 | ) |  |  | 2,437 |
Net cash provided by (used in) operating activities |  |  | 323,132 |  |  |  | 44,982 |
Net increase (decrease) in cash |  |  | 323,132 |  |  |  | 44,982 |
Cash, beginning of period |  |  | 374,245 |  |  |  | 296,119 |
Cash, end of period |  | $ | 697,377 |  |  | $ | 341,101 |

See accompanying notes to financial statements.

6

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PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Sold††

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

Swap Agreements^

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

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

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

^ | The positions and counterparties herein are as of March 31, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

8

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PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

9

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PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

10

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PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Sold††

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

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

See accompanying notes to financial statements.

13

##### Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

14

##### Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

15

##### Table of Contents

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

16

##### Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

17

##### Table of Contents

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Sold††

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

Forward Agreements^

|  | Rate Paid (Received) |  |  | Settlement Date |  | Commitment to (Deliver)/Receive |  |  | Notional Amount at Value* |  |  | Unrealized Appreciation (Depreciation) |
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold |  |  | 0.30 | % |  | 04/07/14 |  | $ | (94,700 | ) |  | $ | (122,330,619 | ) |  | $ | 4,557,728 |
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold |  |  | 0.40 |  |  | 04/07/14 |  |  | (32,598 | ) |  |  | (42,109,118 | ) |  |  | 1,618,593 |
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold |  |  | 0.50 |  |  | 04/07/14 |  |  | (15,600 | ) |  |  | (20,151,612 | ) |  |  | 827,157 |
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold |  |  | 0.40 |  |  | 04/07/14 |  |  | (34,150 | ) |  |  | (44,113,946 | ) |  |  | 1,528,284 |
|  |  |  |  |  |  |  |  |  | $ | 8,531,762 |

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

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

^ | The positions and counterparties herein are as of March 31, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

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##### Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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##### Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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##### Table of Contents

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

21

##### Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

22

##### Table of Contents

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Sold††

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

Forward Agreements^

|  | Rate Paid (Received) |  |  | Settlement Date |  | Commitment to (Deliver)/Receive |  |  | Notional Amount at Value* |  |  | Unrealized Appreciation (Depreciation) |
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver |  |  | 0.30 | % |  | 04/07/14 |  | $ | (3,343,000 | ) |  | $ | (66,767,733 | ) |  | $ | 3,858,673 |
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver |  |  | 0.40 |  |  | 04/07/14 |  |  | (1,352,500 | ) |  |  | (27,012,671 | ) |  |  | 1,401,484 |
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver |  |  | 0.50 |  |  | 04/07/14 |  |  | (820,000 | ) |  |  | (16,377,368 | ) |  |  | 920,983 |
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver |  |  | 0.45 |  |  | 04/07/14 |  |  | (1,586,000 | ) |  |  | (31,676,226 | ) |  |  | 1,561,440 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 7,742,580 |

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

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

^ | The positions and counterparties herein are as of March 31, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

See accompanying notes to financial statements.

23

##### Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

24

##### Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

25

##### Table of Contents

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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##### Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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##### Table of Contents

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Sold††

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

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

See accompanying notes to financial statements.

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##### Table of Contents

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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##### Table of Contents

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES SHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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##### Table of Contents

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Sold††

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

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

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

37

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PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Foreign Currency Forward Contracts^

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

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

^ | The positions and counterparties herein are as of March 31, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

38

##### Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

39

##### Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

40

##### Table of Contents

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

41

##### Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

42

##### Table of Contents

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Foreign Currency Forward Contracts^

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

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

^ | The positions and counterparties herein are as of March 31, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

43

##### Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

44

##### Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

45

##### Table of Contents

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

46

##### Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

47

##### Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Swap Agreements^

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

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

^ | The positions and counterparties herein are as of March 31, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

48

##### Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

49

##### Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

50

##### Table of Contents

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

51

##### Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

52

##### Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Purchased††

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

Swap Agreements^

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

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

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

^ | The positions and counterparties herein are as of March 31, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

See accompanying notes to financial statements.

53

##### Table of Contents

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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PROSHARES ULTRA DJ-UBS NATURAL GAS

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Purchased††

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

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

See accompanying notes to financial statements.

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PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Purchased††

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

Forward Agreements^

|  | Rate Paid (Received) |  |  | Settlement Date |  | Commitment to (Deliver)/Receive |  |  | Notional Amount at Value* |  |  | Unrealized Appreciation (Depreciation) |
Forward agreements with Deutsche Bank AG based on 0.995 Fine Troy Ounce Gold |  |  | 0.30 | % |  | 04/07/14 |  | $ | 109,900 |  |  | $ | 141,965,523 |  |  | $ | (6,314,073 | )
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold |  |  | 0.45 |  |  | 04/07/14 |  |  | 41,220 |  |  |  | 53,246,759 |  |  |  | (2,340,133 | )
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold |  |  | 0.50 |  |  | 04/07/14 |  |  | 21,000 |  |  |  | 27,127,170 |  |  |  | (1,128,141 | )
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold |  |  | 0.40 |  |  | 04/07/14 |  |  | 38,800 |  |  |  | 50,120,676 |  |  |  | (2,227,725 | )
|  |  |  |  |  |  |  |  |  | $ | (12,010,072 | )

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

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

^ | The positions and counterparties herein are as of March 31, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

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PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

67

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PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Purchased††

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

Forward Agreements^

|  | Rate Paid (Received) |  |  | Settlement Date |  | Commitment to (Deliver)/Receive |  |  | Notional Amount at Value* |  |  | Unrealized Appreciation (Depreciation) |
Forward agreements with Deutsche Bank AG based on 0.999 Fine Troy Ounce Silver |  |  | 0.30 | % |  | 04/07/14 |  | $ | 25,173,000 |  |  | $ | 502,765,225 |  |  | $ | (30,257,024 | )
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver |  |  | 0.45 |  |  | 04/07/14 |  |  | 9,451,800 |  |  |  | 188,775,130 |  |  |  | (11,457,887 | )
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver |  |  | 0.50 |  |  | 04/07/14 |  |  | 4,307,000 |  |  |  | 86,021,127 |  |  |  | (5,025,453 | )
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver |  |  | 0.45 |  |  | 04/07/14 |  |  | 9,372,000 |  |  |  | 187,181,333 |  |  |  | (11,397,997 | )
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (58,138,361 | )

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

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

^ | The positions and counterparties herein are as of March 31, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

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

See accompanying notes to financial statements.

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PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Purchased††

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

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

See accompanying notes to financial statements.

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PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA AUSTRALIAN DOLLAR

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Foreign Currency Forward Contracts^

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

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

^ | The positions and counterparties herein are as of March 31, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

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PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

|  | Three months ended March 31, 2014 |  |  | Three months ended March 31, 2013 |
Cash flow from operating activities |  |  |  |  |  |  |  |
Net income (loss) |  | $ | (545 | ) |  | $ | (297,249 | )
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities: |  |  |  |  |  |  |  |
Net sale (purchase) of short-term U.S. government and agency obligations |  |  | 148,087 |  |  |  | 68,002 |
Change in unrealized appreciation/depreciation on investments |  |  | 80,017 |  |  |  | 221,177 |
Increase (Decrease) in management fee payable |  |  | (604 | ) |  |  | 3,545 |
Net cash provided by (used in) operating activities |  |  | 226,955 |  |  |  | (4,525 | )
Net increase (decrease) in cash |  |  | 226,955 |  |  |  | (4,525 | )
Cash, beginning of period |  |  | 49,723 |  |  |  | 240,086 |
Cash, end of period |  | $ | 276,678 |  |  | $ | 235,561 |

See accompanying notes to financial statements.

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STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Foreign Currency Forward Contracts^

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

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

^ | The positions and counterparties herein are as of March 31, 2014. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

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PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Purchased††

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

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

See accompanying notes to financial statements.

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Purchased††

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

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

See accompanying notes to financial statements.

93

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PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

95

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PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

96

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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Purchased††

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

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

See accompanying notes to financial statements.

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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

MARCH 31, 2014

(unaudited)

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

Futures Contracts Sold††

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

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

See accompanying notes to financial statements.

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION

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

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE THREE MONTHS ENDED MARCH 31, 2014

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE THREE MONTHS ENDED MARCH 31, 2014 AND 2013

(unaudited)

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

See accompanying notes to financial statements.

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

March 31, 2014

(unaudited)

NOTE 1 – ORGANIZATION

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2014, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares Ultra DJ-UBS Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Australian Dollar, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); (ii) ProShares Short Euro (the “Short Euro Fund”); (iii) ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iv) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Leveraged Fund, Short Euro Fund, Geared VIX Fund or Matching VIX Fund. The Shares of each Leveraged Fund, the Short Euro Fund, each Geared VIX Fund and each Matching VIX Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in these Notes to Financial Statements. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements.

The Trust registered shares for thirty-two additional series: (i) ProShares Short DJ-UBS Natural Gas and ProShares Short Gold (collectively, the “Short Funds”); (ii) ProShares UltraShort VIX Short-Term Futures ETF, ProShares Ultra VIX Mid-Term Futures ETF, ProShares Short VIX Mid-Term Futures ETF and ProShares UltraShort VIX Mid-Term Futures ETF (collectively, the “New Geared VIX Funds”); (iii) ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy (each, a “Managed Futures Fund” and collectively, the “Managed Futures Funds”); (iv) ProShares Financial Managed Futures Strategy; (v) ProShares UltraPro Australian Dollar, ProShares Short Australian Dollar, ProShares UltraPro Short Australian Dollar, ProShares UltraPro Canadian Dollar, ProShares Ultra Canadian Dollar, ProShares Short Canadian Dollar, ProShares UltraShort Canadian Dollar, ProShares UltraPro Short Canadian Dollar, ProShares UltraPro Euro, ProShares UltraPro Short Euro, ProShares UltraPro Swiss Franc, ProShares Ultra Swiss Franc, ProShares Short Swiss Franc, ProShares UltraShort Swiss Franc, ProShares UltraPro Short Swiss Franc, ProShares UltraPro Yen, ProShares Short Yen and ProShares UltraPro Short Yen; and (vi) ProShares UltraPro U.S. Dollar, ProShares Ultra U.S. Dollar, ProShares Short U.S. Dollar, ProShares UltraShort U.S. Dollar and ProShares UltraPro Short U.S. Dollar (collectively, the “Currency Index Funds”). The thirty-two additional series were never publicly offered and their registration has subsequently been terminated. Thus, as of March 31, 2014, the only Funds that have registered amounts are the twenty-one series of the Trust that have commenced investment operations.

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

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

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

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

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

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

Share Splits and Reverse Share Splits

The table below includes Share splits and reverse Share splits for the Funds during the three months ended March 31, 2014 and year ended December 31, 2013. The ticker symbols for these Funds did not change and each Fund continues to trade on the NYSE Arca.

Fund |  | Execution Date (Prior to Opening of Trading) |  | Type of Split |  | Date Trading Resumed at Post- Split Price
ProShares UltraShort DJ-UBS Natural Gas |  | June 10, 2013 |  | 1-for-4 reverse Share split |  | June 10, 2013
ProShares Ultra Silver |  | January 21, 2014 |  | 1-for-4 reverse Share split |  | January 24, 2014
ProShares VIX Short-Term Futures ETF |  | June 10, 2013 |  | 1-for-5 reverse Share split |  | June 10, 2013
ProShares Ultra VIX Short-Term Futures ETF |  | June 10, 2013 |  | 1-for-10 reverse Share split |  | June 10, 2013
ProShares Ultra VIX Short-Term Futures ETF |  | January 21, 2014 |  | 1-for-4 reverse Share split |  | January 24, 2014
ProShares Short VIX Short-Term Futures ETF |  | January 21, 2014 |  | 2-for-1 Share split |  | January 24, 2014

The reverse splits were applied retroactively for all periods presented, reducing the number of Shares outstanding for each of ProShares UltraShort DJ-UBS Natural Gas, ProShares Ultra Silver, ProShares VIX Short-Term Futures ETF and ProShares Ultra VIX Short-Term Futures ETF, and resulted in a proportionate increase in the price per Share and per Share information of each such Fund. Therefore, the reverse splits did not change the aggregate net asset value of a shareholder’s investment at the time of the reverse split.

The split was applied retroactively for all periods presented, increasing the number of Shares outstanding for ProShares Short VIX Short-Term Futures ETF, and resulted in a proportionate decrease in the price per Share and per Share information of such Fund. Therefore, the split did not change the aggregate net asset value of a shareholder’s investment at the time of the split.

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by each Fund, as applicable, in preparation of its financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Trust’s and the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2013, as filed with the SEC on March 3, 2014.

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Use of Estimates & Indemnifications

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

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

Basis of Presentation

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

In June 2013, the FASB issued Accounting Standard Update No. 2013-08, “Financial Services – Investment Companies (Topic 946): Amendments to the Scope, Measurement and Disclosure Requirements” (“ASU 2013-08”). ASU 2013-08 clarifies the characteristics of an investment company and provides comprehensive guidance for assessing whether an entity is an investment company and for the measurement of non-controlling ownership interests in other investment companies. The Trust and each Fund meet the requirements to be classified as an investment company and follows the accounting and reporting guidance in FASB Topic 946.

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated March 31, 2014, and represents non-segregated cash with the custodian and does not include short-term investments.

Final Net Asset Value for Fiscal Period

The times of the calculation of the Leveraged Funds’, the Short Euro Fund’s, the Geared VIX Funds’ and the Matching VIX Funds’ final net asset value for creation and redemption of fund Shares for the three months ended March 31, 2014 were as follows. All times are Eastern Standard Time:

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

Although the Leveraged Funds’, the Short Euro Fund’s, the Geared VIX Funds’ and the Matching VIX Funds’ Shares may continue to trade on secondary markets subsequent to the calculation of the final NAV, these times represent the final opportunity to transact in creation or redemption units for the three months ended March 31, 2014.

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

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For financial reporting purposes, the Leveraged Funds, the Short Euro Fund, and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three months ended March 31, 2014.

Investment Valuation

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

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

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

Fair Value of Financial Instruments

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

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

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

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

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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 March 31, 2014 using the fair value hierarchy:

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

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

At March 31, 2014, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

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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 DJ-UBS Commodity |  | $ | 3,453,890 |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (27,665 | ) |  | $ | 3,426,225 |
UltraShort DJ-UBS Crude Oil |  |  | 247,584,623 |  |  |  | (1,232,773 | ) |  |  | — |  |  |  | — |  |  |  | (2,332,900 | ) |  |  | 244,018,950 |
UltraShort DJ-UBS Natural Gas |  |  | 18,274,713 |  |  |  | 1,042,300 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 19,317,013 |
UltraShort Gold |  |  | 148,988,329 |  |  |  | 14,520 |  |  |  | 5,633,053 |  |  |  | — |  |  |  | — |  |  |  | 154,635,902 |
UltraShort Silver |  |  | 114,826,066 |  |  |  | 14,200 |  |  |  | (2,227,857 | ) |  |  | — |  |  |  | — |  |  |  | 112,612,409 |
Short Euro |  |  | 7,902,056 |  |  |  | (33,231 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 7,868,825 |
UltraShort Australian Dollar |  |  | 24,198,507 |  |  |  | 917,605 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 25,116,112 |
UltraShort Euro |  |  | 437,847,159 |  |  |  | — |  |  |  | — |  |  |  | (13,748,507 | ) |  |  | — |  |  |  | 424,098,652 |
UltraShort Yen |  |  | 558,597,264 |  |  |  | — |  |  |  | — |  |  |  | 29,386,684 |  |  |  | — |  |  |  | 587,983,948 |
Ultra DJ-UBS Commodity |  |  | 2,816,688 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 15,078 |  |  |  | 2,831,766 |
Ultra DJ-UBS Crude Oil |  |  | 137,435,610 |  |  |  | 626,661 |  |  |  | — |  |  |  | — |  |  |  | 1,957,893 |  |  |  | 140,020,164 |
Ultra DJ-UBS Natural Gas |  |  | 58,921,011 |  |  |  | (3,656,539 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 55,264,472 |
Ultra Gold |  |  | 140,880,950 |  |  |  | (14,560 | ) |  |  | (6,812,974 | ) |  |  | — |  |  |  | — |  |  |  | 134,053,416 |
Ultra Silver |  |  | 467,868,976 |  |  |  | (14,200 | ) |  |  | (2,492,880 | ) |  |  | — |  |  |  | — |  |  |  | 465,361,896 |
Ultra Australian Dollar |  |  | 2,716,439 |  |  |  | (118,220 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,598,219 |
Ultra Euro |  |  | 2,455,863 |  |  |  | — |  |  |  | — |  |  |  | 100,962 |  |  |  | — |  |  |  | 2,556,825 |
Ultra Yen |  |  | 2,928,556 |  |  |  | — |  |  |  | — |  |  |  | (159,309 | ) |  |  | — |  |  |  | 2,769,247 |
VIX Short-Term Futures ETF |  |  | 207,636,383 |  |  |  | (16,652,686 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 190,983,697 |
VIX Mid-Term Futures ETF |  |  | 46,040,233 |  |  |  | (4,896,689 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 41,143,544 |
Ultra VIX Short-Term Futures ETF |  |  | 109,533,487 |  |  |  | (24,009,911 | ) |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 85,523,576 |
Short VIX Short-Term Futures ETF |  |  | 105,559,022 |  |  |  | 8,116,955 |  |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 113,675,977 |
Total Trust |  | $ | 2,846,465,825 |  |  | $ | (39,896,568 | ) |  | $ | (5,900,658 | ) |  | $ | 15,579,830 |  |  | $ | (387,594 | ) |  | $ | 2,815,860,835 |

* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments as presented in the Form 10-K for the year ended December 31, 2013. Only current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2013 in receivable/payable on open futures.

At December 31, 2013, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

Investment Transactions and Related Income

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

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Brokerage Commissions and Fees

Each Fund pays its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission (“CFTC”) regulated investments. The effects of trading spreads, financing costs/fees associated with Financial Instruments, and costs relating to the purchase of U.S. Treasury securities or similar high credit quality short-term fixed-income or similar securities would also be borne by the Funds. Brokerage commissions on futures contracts are recognized on a half-turn basis (e.g., the first half is recognized when the contract is purchased (opened) and the second half is recognized when the transaction is closed). For the three months ended March 31, 2014 and 2013, the Sponsor paid, and is currently paying, brokerage commissions on VIX futures contracts for the Matching VIX Funds.

Federal Income Tax

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

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

NOTE 3 – INVESTMENTS

Short-Term Investments

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

Accounting for Derivative Instruments

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

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

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

Futures Contracts

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

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

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

Swap Agreements

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

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

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

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

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

Swap agreements involve, to varying degrees, elements of market risk (commodity price risk) and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at March 31, 2014 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with uncleared swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2014, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

Forward Contracts

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

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

Forward contracts have traditionally not been cleared or guaranteed by a third party. However, the Dodd-Frank Act provides for significant reforms of the OTC derivatives markets, including a requirement to execute most forward contracts on a CFTC-regulated market and/or to clear such transactions through a CFTC-regulated central clearing organization. The Funds may collateralize uncleared forward commodity contracts by segregating or designating cash and/or certain securities as indicated on their Statements of Financial Condition or Schedules of Investments. Such collateral is held for the benefit of the counterparty in a segregated tri-party account at the Custodian to protect the counterparty against non-payment by the Funds. In the event of a default by the counterparty, the Funds will seek withdrawal of this collateral from the segregated account and may incur certain costs in exercising its right with respect to the collateral. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, the Funds may experience significant delays in obtaining any recovery in a bankruptcy or other reorganizational proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of March 31, 2014, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

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

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

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Fair Value of Derivative Instruments

as of March 31, 2014

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

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

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Fair Value of Derivative Instruments

as of December 31, 2013

Asset Derivatives |  |  | Liability Derivatives |
Derivatives not accounted for as hedging instruments |  | Statements of Financial Condition Location |  | Fund |  | Unrealized Appreciation |  |  | Statements of Financial Condition Location |  | Fund |  | Unrealized Depreciation |
Commodities Contracts |  | Receivables on open futures contracts, unrealized appreciation on swap and/or forward agreements |  | ProShares UltraShort DJ-UBS Natural Gas |  | $ | 1,042,300 | * |  | Payable on open futures contracts, unrealized depreciation on swap and/or forward agreements |  | ProShares UltraShort DJ-UBS Commodity |  | $ | 27,665 |
|  | ProShares UltraShort Gold |  |  | 5,647,573 | * |  |  | ProShares UltraShort DJ-UBS Crude Oil |  |  | 3,565,673 | *
|  | ProShares UltraShort Silver |  |  | 14,200 | * |  |  | ProShares UltraShort Silver |  |  | 2,227,857 | *
|  | ProShares Ultra DJ-UBS Commodity |  |  | 15,078 |  |  |  | ProShares Ultra DJ-UBS Natural Gas |  |  | 3,656,539 | *
|  | ProShares Ultra DJ-UBS Crude Oil |  |  | 2,584,554 | * |  |  | ProShares Ultra Gold |  |  | 6,827,534 | *
|  |  |  |  | ProShares Ultra Silver |  |  | 2,507,080 | *
Foreign Exchange Contracts |  | Unrealized appreciation on foreign currency forward contracts and receivables on open futures contracts |  | ProShares UltraShort Australian Dollar |  |  | 917,605 | * |  | Unrealized depreciation on foreign currency forward contracts and payable on open futures contracts |  | ProShares Short Euro |  |  | 33,231 | *
|  | ProShares UltraShort Euro |  |  | 151,351 |  |  |  | ProShares UltraShort Euro |  |  | 13,899,858 |
|  | ProShares UltraShort Yen |  |  | 31,317,568 |  |  |  | ProShares UltraShort Yen |  |  | 1,930,884 |
|  | ProShares Ultra Euro |  |  | 120,908 |  |  |  | ProShares Ultra Australian Dollar |  |  | 118,220 | *
|  | ProShares Ultra Yen |  |  | 4,052 |  |  |  | ProShares Ultra Euro |  |  | 19,946 |
|  |  |  |  |  |  |  |  | ProShares Ultra Yen |  |  | 163,361 |
VIX Futures Contracts |  | Receivables on open futures contracts |  | ProShares Short VIX Short-Term Futures ETF |  |  | 8,116,955 | * |  | Payable on open futures contracts |  | ProShares VIX Short-Term Futures ETF |  |  | 16,652,686 | *
|  |  |  |  |  |  |  |  | ProShares VIX Mid-Term Futures ETF |  |  | 4,896,689 | *
|  |  |  |  |  |  |  |  | ProShares Ultra VIX Short-Term Futures ETF |  |  | 24,009,911 | *
|  |  |  | Total Trust |  | $ | 49,932,144 | * |  |  |  | Total Trust |  | $ | 80,537,134 | *

* | Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments as presented in the Form 10-K for the year ended December 31, 2013. Only current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2013 in receivable/payable on open futures contracts.

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended March 31, 2014

Derivatives not accounted for as hedging instruments |  | Location of Gain or (Loss) on Derivatives Recognized in Income |  | Fund |  | Realized Gain or (Loss) on Derivatives Recognized in Income |  |  | Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income |
Commodity Contracts |  | Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements |  | ProShares UltraShort DJ-UBS Commodity |  | $ | (635,695 | ) |  | $ | 129,934 |
|  | ProShares UltraShort DJ-UBS Crude Oil |  |  | (12,278,001 | ) |  |  | (3,391,572 | )
|  | ProShares UltraShort DJ-UBS Natural Gas |  |  | (9,215,034 | ) |  |  | 3,437,020 |
|  | ProShares UltraShort Gold |  |  | (22,149,687 | ) |  |  | 2,901,049 |
|  | ProShares UltraShort Silver |  |  | (12,614,405 | ) |  |  | 9,961,567 |
|  | ProShares Ultra DJ-UBS Commodity |  |  | 537,342 |  |  |  | (129,206 | )
|  | ProShares Ultra DJ-UBS Crude Oil |  |  | 21,193,668 |  |  |  | 484,711 |
|  | ProShares Ultra DJ-UBS Natural Gas |  |  | 16,803,375 |  |  |  | 1,805,128 |
|  | ProShares Ultra Gold |  |  | 23,433,620 |  |  |  | (5,199,398 | )
|  | ProShares Ultra Silver |  |  | 73,955,572 |  |  |  | (55,636,611 | )
Foreign Exchange Contracts |  | Net realized gain (loss) on futures and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures and/or foreign currency forward contracts |  | ProShares Short Euro |  |  | (66,588 | ) |  |  | 81,131 |
|  | ProShares UltraShort Australian Dollar |  |  | (78,609 | ) |  |  | (2,139,484 | )
|  | ProShares UltraShort Euro |  |  | (12,182,041 | ) |  |  | 10,024,197 |
|  | ProShares UltraShort Yen |  |  | (102,730 | ) |  |  | (24,540,300 | )
|  | ProShares Ultra Australian Dollar |  |  | (27,427 | ) |  |  | 311,205 |
|  | ProShares Ultra Euro |  |  | 85,136 |  |  |  | (79,978 | )
|  | ProShares Ultra Yen |  |  | (10,517 | ) |  |  | 118,080 |
VIX Futures Contracts |  | Net realized gain (loss) on futures contracts and swap agreements/changes in unrealized appreciation/depreciation on futures contracts and swap agreements |  | ProShares VIX Short-Term Futures ETF |  |  | 15,779,707 |  |  |  | 11,625,721 |
|  | ProShares VIX Mid-Term Futures ETF |  |  | (5,397,902 | ) |  |  | 2,889,479 |
|  | ProShares Ultra VIX Short-Term Futures ETF |  |  | (3,546,304 | ) |  |  | (5,691,916 | )
|  | ProShares Short VIX Short-Term Futures ETF |  |  | 2,731,436 |  |  |  | (33,756 | )
|  |  |  | Total Trust |  | $ | 76,214,916 |  |  | $ | (53,072,999 | )

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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended March 31, 2013

Derivatives not accounted for as hedging instruments |  | Location of Gain or (Loss) on Derivatives Recognized in Income |  | Fund |  | Realized Gain or (Loss) on Derivatives Recognized in Income |  |  | Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income |
Commodity Contracts |  | Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements |  | ProShares UltraShort DJ-UBS Commodity |  | $ | 308,498 |  |  | $ | (241,421 | )
|  | ProShares UltraShort DJ-UBS Crude Oil |  |  | (6,125,158 | ) |  |  | (1,500,109 | )
|  | ProShares UltraShort DJ-UBS Natural Gas |  |  | (1,773,421 | ) |  |  | (3,905,888 | )
|  | ProShares UltraShort Gold |  |  | 12,883,467 |  |  |  | (6,992,788 | )
|  | ProShares UltraShort Silver |  |  | 29,204,512 |  |  |  | (19,064,897 | )
|  | ProShares Ultra DJ-UBS Commodity |  |  | (508,897 | ) |  |  | 421,315 |
|  | ProShares Ultra DJ-UBS Crude Oil |  |  | 66,564,325 |  |  |  | (28,737,943 | )
|  | ProShares Ultra DJ-UBS Natural Gas |  |  | 5,748,194 |  |  |  | 17,861,568 |
|  | ProShares Ultra Gold |  |  | (50,415,205 | ) |  |  | 24,891,118 |
|  | ProShares Ultra Silver |  |  | (215,688,548 | ) |  |  | 137,646,238 |
Foreign Exchange Contracts |  | Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements |  | ProShares Short Euro |  |  | (8,000 | ) |  |  | 116,769 |
|  | ProShares UltraShort Australian Dollar |  |  | 112,030 |  |  |  | (195,160 | )
|  | ProShares UltraShort Euro |  |  | (2,949,680 | ) |  |  | 26,813,021 |
|  | ProShares UltraShort Yen |  |  | 96,886,297 |  |  |  | (35,381,549 | )
|  | ProShares Ultra Australian Dollar |  |  | (149,275 | ) |  |  | 223,960 |
|  | ProShares Ultra Euro |  |  | (65,362 | ) |  |  | (221,155 | )
|  | ProShares Ultra Yen |  |  | (1,217,971 | ) |  |  | 423,734 |
VIX Futures Contracts |  | Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements |  | ProShares VIX Short-Term Futures ETF |  |  | (55,408,949 | ) |  |  | (8,124,641 | )
|  | ProShares VIX Mid-Term Futures ETF |  |  | (10,260,171 | ) |  |  | (406,019 | )
|  | ProShares Ultra VIX Short-Term Futures ETF |  |  | (122,690,073 | ) |  |  | (21,095,534 | )
|  | ProShares Short VIX Short-Term Futures ETF |  |  | 25,204,111 |  |  |  | 3,775,891 |
|  |  |  | Total Trust |  | $ | (230,349,276 | ) |  | $ | 86,306,510 |

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##### Table of Contents

Offsetting Assets and Liabilities

The Funds are subject to master netting agreements or similar arrangements that allow for amounts owed between the Funds and the counterparty to be netted upon an early termination. The party that has the larger payable pays the excess of the larger amount over the smaller amount to the other party. The master netting agreements or similar arrangements do not apply to amounts owed to/from different counterparties. As described above, the Funds utilize derivative instruments to achieve their investment objective during the year. The amounts shown in the Statement of Financial Condition do not take into consideration the effects of legally enforceable master netting agreements or similar arrangements.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of March 31, 2014 and December 31, 2013:

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

* | Current day’s variation margin is reported within the Statements of Financial Condition in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments.

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##### Table of Contents

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the deriviative-related investments at March 31, 2014. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the un-collateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Account for Derivative Instruments”.

Gross Amounts Not Offset in the Statement of Financial Condition |
|  | Amounts of Recognized Assets / (Liabilities) presented in the Statement of Financial Condition |  |  | Financial Instruments for the Benefit of (the Funds) / the Counterparties |  |  | Cash Collateral for the Benefit of (the Funds) / the Counterparties |  |  | Net Amount |
ProShares UltraShort DJ-UBS Commodity |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  | $ | 39,020 |  |  | $ | — |  |  | $ | — |  |  | $ | 39,020 |
Goldman Sachs International |  |  | 50,319 |  |  |  | — |  |  |  | — |  |  |  | 50,319 |
UBS AG |  |  | 12,930 |  |  |  | — |  |  |  | — |  |  |  | 12,930 |
ProShares UltraShort DJ-UBS Crude Oil |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  |  | (72,184 | ) |  |  | 72,184 |  |  |  | — |  |  |  | — |
Goldman Sachs & Co. |  |  | 345,825 |  |  |  | — |  |  |  | — |  |  |  | 345,825 |
Goldman Sachs International |  |  | (543,435 | ) |  |  | 543,435 |  |  |  | — |  |  |  | — |
Societe Generale S.A. |  |  | 71,219 |  |  |  | (71,219 | ) |  |  | — |  |  |  | — |
UBS AG |  |  | (148,531 | ) |  |  | 148,531 |  |  |  | — |  |  |  | — |
ProShares UltraShort DJ-UBS Natural Gas |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs & Co. |  |  | 2,752,495 |  |  |  | — |  |  |  | — |  |  |  | 2,752,495 |
ProShares UltraShort Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  |  | 4,557,728 |  |  |  | — |  |  |  | (4,200,000 | ) |  |  | 357,728 |
Goldman Sachs & Co. |  |  | 2,100 |  |  |  | — |  |  |  | — |  |  |  | 2,100 |
Goldman Sachs International |  |  | 1,618,593 |  |  |  | (1,508,282 | ) |  |  | — |  |  |  | 110,311 |
Societe Generale S.A. |  |  | 827,157 |  |  |  | (827,157 | ) |  |  | — |  |  |  | — |
UBS AG |  |  | 1,528,284 |  |  |  | (1,442,325 | ) |  |  | — |  |  |  | 85,959 |
ProShares UltraShort Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  |  | 3,858,673 |  |  |  | — |  |  |  | (3,858,673 | ) |  |  | — |
Goldman Sachs & Co. |  |  | (440 | ) |  |  | — |  |  |  | 440 |  |  |  | — |
Goldman Sachs International |  |  | 1,401,484 |  |  |  | (1,401,484 | ) |  |  | — |  |  |  | — |
Societe Generale S.A. |  |  | 920,983 |  |  |  | (920,983 | ) |  |  | — |  |  |  | — |

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

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Fair Values of Derivative Instruments as of December 31, 2013 |
|  | Assets |  |  | Liabilities |
|  | Gross Amounts of Recognized Assets presented in the Statement of Financial Conditions |  |  | Gross Amounts Offset in the Statement of Financial Conditions |  |  | Net Amounts of Assets presented in the Statement of Financial Conditions |  |  | Gross Amounts of Recognized Liabilities presented in the Statement of Financial Conditions |  |  | Gross Amounts Offset in the Statement of Financial Conditions |  |  | Net Amounts of Liabilities presented in the Statement of Financial Conditions |
ProShares UltraShort DJ-UBS Commodity |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 27,665 |  |  |  | — |  |  | $ | 27,665 |
ProShares UltraShort DJ-UBS Crude Oil |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts* |  |  | 1,503,943 |  |  |  | — |  |  |  | 1,503,943 |  |  |  | — |  |  |  | — |  |  |  | — |
Swap agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,332,900 |  |  |  | — |  |  |  | 2,332,900 |
ProShares UltraShort DJ-UBS Natural Gas |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts* |  |  | 1,520,548 |  |  |  | — |  |  |  | 1,520,548 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares UltraShort Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward agreements |  |  | 5,633,053 |  |  |  | — |  |  |  | 5,633,053 |  |  |  | — |  |  |  | — |  |  |  | — |
Futures contracts* |  |  | 300 |  |  |  | — |  |  |  | 300 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares UltraShort Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,227,857 |  |  |  | — |  |  |  | 2,227,857 |
Futures contracts* |  |  | 2,450 |  |  |  | — |  |  |  | 2,450 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares Short Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts* |  |  | 9,100 |  |  |  | — |  |  |  | 9,100 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares UltraShort Australian Dollar |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts* |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 86,166 |  |  |  | — |  |  |  | 86,166 |
ProShares UltraShort Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  | 151,351 |  |  |  | — |  |  |  | 151,351 |  |  |  | 13,899,858 |  |  |  | — |  |  |  | 13,899,858 |
ProShares UltraShort Yen |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  | 31,317,568 |  |  |  | — |  |  |  | 31,317,568 |  |  |  | 1,930,884 |  |  |  | — |  |  |  | 1,930,884 |
ProShares Ultra DJ-UBS Commodity |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Swap agreements |  |  | 15,078 |  |  |  | — |  |  |  | 15,078 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares Ultra DJ-UBS Crude Oil |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts* |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 997,210 |  |  |  | — |  |  |  | 997,210 |
Swap agreements |  |  | 1,957,893 |  |  |  | — |  |  |  | 1,957,893 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares Ultra DJ-UBS Natural Gas |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts* |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 5,628,532 |  |  |  | — |  |  |  | 5,628,532 |
ProShares Ultra Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 6,812,974 |  |  |  | — |  |  |  | 6,812,974 |
Futures contracts* |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 300 |  |  |  | — |  |  |  | 300 |
ProShares Ultra Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward agreements |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,492,880 |  |  |  | — |  |  |  | 2,492,880 |
Futures contracts* |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 2,450 |  |  |  | — |  |  |  | 2,450 |
ProShares Ultra Australian Dollar |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts* |  |  | 10,650 |  |  |  | — |  |  |  | 10,650 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares Ultra Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  | 120,908 |  |  |  | — |  |  |  | 120,908 |  |  |  | 19,946 |  |  |  | — |  |  |  | 19,946 |
ProShares Ultra Yen |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  | 4,052 |  |  |  | — |  |  |  | 4,052 |  |  |  | 163,361 |  |  |  | — |  |  |  | 163,361 |
ProShares VIX Short-Term Futures ETF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts* |  |  | 3,179,017 |  |  |  | — |  |  |  | 3,179,017 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares VIX Mid-Term Futures ETF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts* |  |  | 100,734 |  |  |  | — |  |  |  | 100,734 |  |  |  | — |  |  |  | — |  |  |  | — |
ProShares Ultra VIX Short-Term Futures ETF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts* |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 3,356,803 |  |  |  | — |  |  |  | 3,356,803 |
ProShares Short VIX Short-Term Futures ETF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Futures contracts* |  |  | 603,833 |  |  |  | — |  |  |  | 603,833 |  |  |  | — |  |  |  | — |  |  |  | — |

* | Current day’s variation margin is reported within the Statements of Financial Condition as presented in the Form 10-K for the year ended December 31, 2013 in receivable/payable on open futures contracts; Cumulative appreciation/depreciation is reported in the Schedule of Investments as presented in the Form 10-K for the year ended December 31, 2013.

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Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the deriviative-related investments at December 31, 2013. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the uncollateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Account for Derivative Instruments”.

Gross Amounts Not Offset in the Statement of Financial Condition |
|  | Amounts of Recognized Assets / (Liabilities) presented in the Statement of Financial Condition |  |  | Financial Instruments for the Benefit of (the Funds) / the Counterparties |  |  | Cash Collateral for the Benefit of (the Funds) / the Counterparties |  |  | Net Amount |
ProShares UltraShort DJ-UBS Commodity |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  | $ | (11,710 | ) |  | $ | 11,710 |  |  | $ | — |  |  | $ | — |
Goldman Sachs International |  |  | (12,945 | ) |  |  | 12,945 |  |  |  | — |  |  |  | — |
UBS AG |  |  | (3,010 | ) |  |  | 3,010 |  |  |  | — |  |  |  | — |
ProShares UltraShort DJ-UBS Crude Oil |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  |  | (570,114 | ) |  |  | 570,114 |  |  |  | — |  |  |  | — |
Goldman Sachs & Co. |  |  | 1,503,943 |  |  |  | — |  |  |  | — |  |  |  | 1,503,943 |
Goldman Sachs International |  |  | (632,990 | ) |  |  | 632,990 |  |  |  | — |  |  |  | — |
Societe Generale S.A. |  |  | (402,586 | ) |  |  | 402,586 |  |  |  | — |  |  |  | — |
UBS AG |  |  | (727,210 | ) |  |  | 727,210 |  |  |  | — |  |  |  | — |
ProShares UltraShort DJ-UBS Natural Gas |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs & Co. |  |  | 1,520,548 |  |  |  | — |  |  |  | — |  |  |  | 1,520,548 |
ProShares UltraShort Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  |  | 2,258,281 |  |  |  | — |  |  |  | (2,258,281 | ) |  |  | — |
Goldman Sachs & Co. |  |  | 300 |  |  |  | — |  |  |  | — |  |  |  | 300 |
Goldman Sachs International |  |  | 1,411,290 |  |  |  | (1,411,290 | ) |  |  | — |  |  |  | — |
Societe Generale S.A. |  |  | 665,044 |  |  |  | (665,044 | ) |  |  | — |  |  |  | — |
UBS AG |  |  | 1,298,438 |  |  |  | (1,298,438 | ) |  |  | — |  |  |  | — |
ProShares UltraShort Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  |  | (445,752 | ) |  |  | 445,752 |  |  |  | — |  |  |  | — |
Goldman Sachs & Co. |  |  | 2,450 |  |  |  | — |  |  |  | — |  |  |  | 2,450 |
Goldman Sachs International |  |  | (1,257,636 | ) |  |  | 1,257,636 |  |  |  | — |  |  |  | — |
Societe Generale S.A. |  |  | (7,359 | ) |  |  | 7,359 |  |  |  | — |  |  |  | — |
UBS AG |  |  | (517,110 | ) |  |  | 517,110 |  |  |  | — |  |  |  | — |
ProShares Short Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RBC Capital Markets |  |  | 9,100 |  |  |  | — |  |  |  | — |  |  |  | 9,100 |

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ProShares UltraShort Australian Dollar |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RBC Capital Markets |  |  | (86,166 | ) |  |  | — |  |  |  | 86,166 |  |  |  | — |
ProShares UltraShort Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  |  | 64,104 |  |  |  | — |  |  |  | — |  |  |  | 64,104 |
Goldman Sachs International |  |  | (6,820,802 | ) |  |  | 6,820,802 |  |  |  |  |  |  |  | — |
UBS AG |  |  | 87,247 |  |  |  | — |  |  |  | — |  |  |  | 87,247 |
UBS AG |  |  | (7,079,056 | ) |  |  | 7,079,056 |  |  |  | — |  |  |  | — |
ProShares UltraShort Yen |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  |  | 15,716,318 |  |  |  | (13,635,426 | ) |  |  | — |  |  |  | 2,080,892 |
Goldman Sachs International |  |  | (884,849 | ) |  |  | 884,849 |  |  |  | — |  |  |  | — |
UBS AG |  |  | 15,601,250 |  |  |  | (14,004,926 | ) |  |  | — |  |  |  | 1,596,324 |
UBS AG |  |  | (1,046,035 | ) |  |  | 1,046,035 |  |  |  | — |  |  |  | — |
ProShares Ultra DJ-UBS Commodity |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  |  | 6,454 |  |  |  | — |  |  |  | — |  |  |  | 6,454 |
Goldman Sachs International |  |  | 4,974 |  |  |  | — |  |  |  | — |  |  |  | 4,974 |
UBS AG |  |  | 3,650 |  |  |  | — |  |  |  | — |  |  |  | 3,650 |
ProShares Ultra DJ-UBS Crude Oil |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  |  | 622,117 |  |  |  | — |  |  |  | (622,117 | ) |  |  | — |
Goldman Sachs & Co. |  |  | (997,210 | ) |  |  | — |  |  |  | 997,210 |  |  |  | — |
Goldman Sachs International |  |  | 576,723 |  |  |  | (576,723 | ) |  |  | — |  |  |  | — |
Societe Generale S.A. |  |  | 275,816 |  |  |  | (275,816 | ) |  |  | — |  |  |  | — |
UBS AG |  |  | 483,237 |  |  |  | (483,237 | ) |  |  | — |  |  |  | — |
ProShares Ultra DJ-UBS Natural Gas |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs & Co. |  |  | (5,628,532 | ) |  |  | — |  |  |  | 4,630,277 |  |  |  | (998,255 | )
ProShares Ultra Gold |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  |  | (3,543,937 | ) |  |  | 3,543,937 |  |  |  | — |  |  |  | — |
Goldman Sachs & Co. |  |  | (300 | ) |  |  | — |  |  |  | 300 |  |  |  | — |
Goldman Sachs International |  |  | (1,327,335 | ) |  |  | 1,327,335 |  |  |  | — |  |  |  | — |
Societe Generale S.A. |  |  | (785,038 | ) |  |  | 785,038 |  |  |  | — |  |  |  | — |
UBS AG |  |  | (1,156,664 | ) |  |  | 1,156,664 |  |  |  | — |  |  |  | — |
ProShares Ultra Silver |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Deutsche Bank AG |  |  | (350,663 | ) |  |  | 350,663 |  |  |  | — |  |  |  | — |
Goldman Sachs & Co. |  |  | (2,450 | ) |  |  | — |  |  |  | 2,450 |  |  |  | — |
Goldman Sachs International |  |  | (1,345,433 | ) |  |  | 1,345,433 |  |  |  | — |  |  |  | — |
Societe Generale S.A. |  |  | (28,581 | ) |  |  | 28,581 |  |  |  | — |  |  |  | — |
UBS AG |  |  | (768,203 | ) |  |  | 768,203 |  |  |  | — |  |  |  | — |
ProShares Ultra Australian Dollar |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RBC Capital Markets |  |  | 10,650 |  |  |  | — |  |  |  | — |  |  |  | 10,650 |
ProShares Ultra Euro |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  |  | 56,991 |  |  |  | — |  |  |  | — |  |  |  | 56,991 |
Goldman Sachs International |  |  | (19,770 | ) |  |  | 19,770 |  |  |  | — |  |  |  | — |
UBS AG |  |  | 63,917 |  |  |  | — |  |  |  | — |  |  |  | 63,917 |
UBS AG |  |  | (176 | ) |  |  | 176 |  |  |  | — |  |  |  | — |
ProShares Ultra Yen |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Goldman Sachs International |  |  | 2,462 |  |  |  | — |  |  |  | — |  |  |  | 2,462 |
Goldman Sachs International |  |  | (78,309 | ) |  |  | 78,309 |  |  |  | — |  |  |  | — |
UBS AG |  |  | 1,590 |  |  |  | — |  |  |  | — |  |  |  | 1,590 |
UBS AG |  |  | (85,052 | ) |  |  | 85,052 |  |  |  | — |  |  |  | — |
ProShares VIX Short-Term Futures ETF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RBC Capital Markets |  |  | 3,179,017 |  |  |  | — |  |  |  | — |  |  |  | 3,179,017 |
ProShares VIX Mid-Term Futures ETF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RBC Capital Markets |  |  | 100,734 |  |  |  | — |  |  |  | — |  |  |  | 100,734 |
ProShares Ultra VIX Short-Term Futures ETF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RBC Capital Markets |  |  | (3,356,803 | ) |  |  | — |  |  |  | 3,356,803 |  |  |  | — |
ProShares Short VIX Short-Term Futures ETF |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
RBC Capital Markets |  |  | 603,833 |  |  |  | — |  |  |  | — |  |  |  | 603,833 |

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NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund and each Geared VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of its average daily NAV of such Fund. Each Matching VIX Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.85% per annum of its average daily NAV of such Fund. The Sponsor did not and will not charge its fee in the first year of operation of each Fund in an amount equal to the offering costs. The Sponsor reimbursed each Fund to the extent that its offering costs exceed the Management Fee for the first year of operations. The Management Fee is paid in consideration of the Sponsor’s services as commodity pool operator, and for managing the business and affairs of the Funds. From the Management Fee, the Sponsor pays the fees and expenses of the Administrator, Custodian, Distributor, ProFunds Distributors, Inc. (“PDI”), an affiliated broker-dealer of the Sponsor, Transfer Agent and any index licensors for the Funds, the routine operational, administrative and other ordinary expenses of each Fund, and the normal and expected expenses incurred in connection with the continuous offering of Shares of each Fund after the commencement of its trading operations, including, but not limited to, expenses such as tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees, individual K-1 preparation and mailing fees not exceeding 0.10% per annum of the net assets of a Fund, and report preparation and mailing expenses. For the three months ended March 31, 2014 and 2013, the Sponsor paid and is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds. Each Fund incurs and pays its non-recurring and unusual fees and expenses.

The Administrator

The Sponsor and the Trust, for itself and on behalf of each Fund, has appointed Brown Brothers Harriman & Co. (“BBH&Co.”) as the Administrator of the Funds, and the Sponsor, and the Trust, on its own behalf and on behalf of each Fund, and BBH&Co. have entered into an Administrative Agency Agreement (the “Administration Agreement”) in connection therewith. Pursuant to the terms of the Administration Agreement and under the supervision and direction of the Sponsor and the Trust, BBH&Co. prepares and files certain regulatory filings on behalf of the Funds. BBH&Co. may also perform other services for the Funds pursuant to the Administration Agreement as mutually agreed upon by the Sponsor, the Trust and BBH&Co. from time to time. Pursuant to the terms of the Administration Agreement, BBH&Co. also serves as the Transfer Agent of the Funds. The Administrator’s fees are paid on behalf of the Funds by the Sponsor.

The Custodian

BBH&Co. serves as the Custodian of the Funds, and the Trust, on its own behalf and on behalf of each Fund, and BBH&Co. have entered into a Custodian Agreement in connection therewith. Pursuant to the terms of the Custodian Agreement, BBH&Co. is responsible for the holding and safekeeping of assets delivered to it by the Funds, and performing various administrative duties in accordance with instructions delivered to BBH&Co. by the Funds. The Custodian’s fees are paid on behalf of the Funds by the Sponsor.

The Distributor

SEI Investments Distribution Co. (“SEI”), serves as Distributor of the Funds and assists the Sponsor and the Administrator with certain functions and duties relating to distribution and marketing, including taking creation and redemption orders, consulting with the marketing staff of the Sponsor and its affiliates with respect to compliance with the requirements of FINRA and/or the NFA in connection with marketing efforts, and reviewing and filing of marketing materials with FINRA and/or the NFA. SEI retains all marketing materials separately for each Fund, at c/o SEI, One Freedom Valley Drive, Oaks, PA 19456. The Sponsor, on behalf of each Fund, has entered into a Distribution Services Agreement with SEI.

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Routine Operational, Administrative and Other Ordinary Expenses

The Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund generally, as determined by the Sponsor including, but not limited to, fees and expenses of the Administrator, Custodian, Distributor, PDI, Transfer Agent, accounting and auditing fees and expenses, tax preparation expenses, legal fees not in excess of $100,000 per annum, ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund, FINRA filing fees, individual Schedule K-1 preparation and mailing fees not exceeding 0.10% per annum of the NAV of a Fund, and report preparation and mailing expenses.

Non-Recurring Fees and Expenses

Each Fund pays all its non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring and unusual fees and expenses are fees and expenses which are unexpected or unusual in nature, such as legal claims and liabilities, litigation costs or indemnification or other material expenses which are not currently anticipated obligations of the Funds. Such fees and expenses are those that are non-recurring, unexpected or unusual in nature.

NOTE 5 – OFFERING COSTS

Offering costs will be amortized by the Funds over a twelve month period on a straight-line basis beginning once the fund commences operations. The Sponsor did not charge its Management Fee in the first year of operations of the UltraShort DJ-UBS Natural Gas Fund, Ultra DJ-UBS Natural Gas Fund, Ultra Australian Dollar Fund, UltraShort Australian Dollar Fund, Short Euro Fund, each Geared VIX Fund and each Matching VIX Fund in an amount equal to the offering costs. The Sponsor reimbursed each Fund, with the exception of each Matching VIX Fund, to the extent that its offering costs exceeded 0.95% of its average daily NAV for the first year of operations. The Sponsor reimbursed each Matching VIX Fund to the extent its offering costs exceeded 0.85% of its average daily NAV for the first year of operations.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Geared Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the Share splits and reverse Share splits as described in Note 1, certain redemptions as disclosed in the Statements of Changes in Shareholders’ Equity reflect payment of fractional share balances on beneficial shareholder accounts.

Except when aggregated in Creation Units, the Shares are not redeemable securities. Retail investors, therefore, generally will not be able to purchase or redeem Shares directly from or with a Fund. Rather, most retail investors will purchase or sell Shares in the secondary market with the assistance of a broker. Thus, some of the information contained in these Notes to Financial Statements, such as references to the Transaction Fees imposed on purchases and redemptions, is not relevant to retail investors.

Transaction Fees on Creation and Redemption Transactions

The manner by which Creation Units are purchased or redeemed is dictated by the terms of the Authorized Participant Agreement and Authorized Participant Handbook. By placing a purchase order, an Authorized Participant agrees to: (1) deposit cash with the Custodian; and (2) if permitted by the Sponsor in its sole discretion, enter into or arrange for an exchange of futures contract for related position or block trade whereby the Authorized Participant would also transfer to such Fund a number and type of exchange-traded futures contracts at or near the closing settlement price for such contracts on the purchase order date.

Authorized Participants may pay a fixed transaction fee of up to $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co., as the Administrator, the Custodian and the Transfer Agent of each Fund and its Shares, for services in processing the creation and redemption of Creation Units and to offset the costs of increasing or decreasing derivative positions. Authorized Participants also may pay a variable transaction fee to the Fund of up to 0.10% of the value of the Creation Unit that is purchased or redeemed unless the transaction fee is waived or otherwise adjusted by the Sponsor. The Sponsor provides such Authorized Participant with prompt notice in advance of any such waiver or adjustment of the transaction fee. Authorized Participants may sell the Shares included in the Creation Units they purchase from the Funds to other investors in the secondary market.

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Transaction fees for the three months ended March 31, 2014, which are included in the Sale and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:

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

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NOTE 7 – FINANCIAL HIGHLIGHTS

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

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

Per Share Operating Performance |  | UltraShort DJ-UBS Commodity |  |  | UltraShort DJ-UBS Crude Oil |  |  | UltraShort DJ-UBS Natural Gas |  |  | UltraShort Gold |  |  | UltraShort Silver |  |  | Short Euro |  |  | UltraShort Australian Dollar |
Net asset value, at December 31, 2013 |  | $ | 63.2936 |  |  | $ | 31.7301 |  |  | $ | 69.9635 |  |  | $ | 103.5180 |  |  | $ | 89.7820 |  |  | $ | 35.5867 |  |  | $ | 46.6384 |
Net investment income (loss) |  |  | (0.1332 | ) |  |  | (0.0690 | ) |  |  | (0.1225 | ) |  |  | (0.1979 | ) |  |  | (0.1773 | ) |  |  | (0.0799 | ) |  |  | (0.1073 | )
Net realized and unrealized gain (loss) |  |  | (8.4288 | ) |  |  | (3.1766 | ) |  |  | (25.9326 | ) |  |  | (15.0246 | ) |  |  | (6.8730 | ) |  |  | 0.0037 |  |  |  | (4.2001 | )
Change in net asset value from operations |  |  | (8.5620 | ) |  |  | (3.2456 | ) |  |  | (26.0551 | ) |  |  | (15.2225 | ) |  |  | (7.0503 | ) |  |  | (0.0762 | ) |  |  | (4.3074 | )
Net asset value, at March 31, 2014 |  | $ | 54.7316 |  |  | $ | 28.4845 |  |  | $ | 43.9084 |  |  | $ | 88.2955 |  |  | $ | 82.7317 |  |  | $ | 35.5105 |  |  | $ | 42.3310 |
Market value per share, at December 31, 2013† |  | $ | 58.41 |  |  | $ | 31.58 |  |  | $ | 69.36 |  |  | $ | 103.53 |  |  | $ | 90.19 |  |  | $ | 35.66 |  |  | $ | 46.66 |
Market value per share, at March 31, 2014† |  | $ | 55.25 |  |  | $ | 28.54 |  |  | $ | 43.71 |  |  | $ | 89.45 |  |  | $ | 84.24 |  |  | $ | 35.58 |  |  | $ | 42.27 |
Total Return, at net asset value^ |  |  | (13.5 | )% |  |  | (10.2 | )% |  |  | (37.2 | )% |  |  | (14.7 | )% |  |  | (7.9 | )% |  |  | (0.2 | )% |  |  | (9.2 | )%
Total Return, at market value^ |  |  | (5.4 | )% |  |  | (9.6 | )% |  |  | (37.0 | )% |  |  | (13.6 | )% |  |  | (6.6 | )% |  |  | (0.2 | )% |  |  | (9.4 | )%
Ratios to Average Net Assets** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Expense ratio |  |  | (0.95 | )% |  |  | (0.97 | )% |  |  | (1.17 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.96 | )% |  |  | (1.01 | )%
Expense ratio, excluding brokerage commissions |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )%
Net investment income (loss) |  |  | (0.91 | )% |  |  | (0.91 | )% |  |  | (1.12 | )% |  |  | (0.89 | )% |  |  | (0.89 | )% |  |  | (0.91 | )% |  |  | (0.95 | )%

† | Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^ | Percentages are not annualized for the period ended March 31, 2014.

** | Percentages are annualized.

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

Per Share Operating Performance |  | UltraShort Euro |  |  | UltraShort Yen |  |  | Ultra DJ-UBS Commodity |  |  | Ultra DJ-UBS Crude Oil |  |  | Ultra DJ-UBS Natural Gas |  |  | Ultra Gold |  |  | Ultra Silver |
Net asset value, at December 31, 2013 |  | $ | 17.0613 |  |  | $ | 70.8640 |  |  | $ | 19.4317 |  |  | $ | 32.0899 |  |  | $ | 38.8383 |  |  | $ | 41.2553 |  |  | $ | 63.3305 |
Net investment income (loss) |  |  | (0.0373 | ) |  |  | (0.1459 | ) |  |  | (0.0464 | ) |  |  | (0.0712 | ) |  |  | (0.1183 | ) |  |  | (0.1060 | ) |  |  | (0.1535 | )
Net realized and unrealized gain (loss) |  |  | (0.0976 | ) |  |  | (3.1017 | ) |  |  | 2.7213 |  |  |  | 2.6074 |  |  |  | 6.4173 |  |  |  | 5.8746 |  |  |  | 2.0543 |
Change in net asset value from operations |  |  | (0.1349 | ) |  |  | (3.2476 | ) |  |  | 2.6749 |  |  |  | 2.5362 |  |  |  | 6.2990 |  |  |  | 5.7686 |  |  |  | 1.9008 |
Net asset value, at March 31, 2014 |  | $ | 16.9264 |  |  | $ | 67.6164 |  |  | $ | 22.1066 |  |  | $ | 34.6261 |  |  | $ | 45.1373 |  |  | $ | 47.0239 |  |  | $ | 65.2313 |
Market value per share, at December 31, 2013† |  | $ | 17.06 |  |  | $ | 70.91 |  |  | $ | 19.13 |  |  | $ | 32.22 |  |  | $ | 39.28 |  |  | $ | 41.26 |  |  | $ | 63.04 |
Market value per share, at March 31, 2014† |  | $ | 16.93 |  |  | $ | 67.62 |  |  | $ | 21.51 |  |  | $ | 34.56 |  |  | $ | 45.32 |  |  | $ | 46.34 |  |  | $ | 64.12 |
Total Return, at net asset value^ |  |  | (0.8 | )% |  |  | (4.6 | )% |  |  | 13.8 | % |  |  | 7.9 | % |  |  | 16.2 | % |  |  | 14.0 | % |  |  | 3.0 | %
Total Return, at market value^ |  |  | (0.8 | )% |  |  | (4.6 | )% |  |  | 12.4 | % |  |  | 7.3 | % |  |  | 15.4 | % |  |  | 12.3 | % |  |  | 1.7 | %
Ratios to Average Net Assets** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Expense ratio |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.98 | )% |  |  | (1.11 | )% |  |  | (0.95 | )% |  |  | (0.95 | )%
Expense ratio, excluding brokerage commissions |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )%
Net investment income (loss) |  |  | (0.88 | )% |  |  | (0.88 | )% |  |  | (0.91 | )% |  |  | (0.92 | )% |  |  | (1.06 | )% |  |  | (0.91 | )% |  |  | (0.90 | )%

† | Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^ | Percentages are not annualized for the period ended March 31, 2014.

** | Percentages are annualized.

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

Per Share Operating Performance |  | Ultra Australian Dollar |  |  | Ultra Euro |  |  | Ultra Yen |  |  | VIX Short- Term Futures ETF |  |  | VIX Mid- Term Futures ETF |  |  | Ultra VIX Short-Term Futures ETF |  |  | Short VIX Short-Term Futures ETF |
Net asset value, at December 31, 2013 |  | $ | 31.6801 |  |  | $ | 26.0346 |  |  | $ | 18.6318 |  |  | $ | 28.5387 |  |  | $ | 19.2959 |  |  | $ | 67.0841 |  |  | $ | 67.4993 |
Net investment income (loss) |  |  | (0.0733 | ) |  |  | (0.0566 | ) |  |  | (0.0428 | ) |  |  | (0.0577 | ) |  |  | (0.0383 | ) |  |  | (0.2919 | ) |  |  | (0.2209 | )
Net realized and unrealized gain (loss)# |  |  | 2.8368 |  |  |  | 0.0512 |  |  |  | 0.7168 |  |  |  | (0.2803 | ) |  |  | (0.7639 | ) |  |  | (6.4957 | ) |  |  | (5.4192 | )
Change in net asset value from operations |  |  | 2.7635 |  |  |  | (0.0054 | ) |  |  | 0.6740 |  |  |  | (0.3380 | ) |  |  | (0.8022 | ) |  |  | (6.7876 | ) |  |  | (5.6401 | )
Net asset value, at March 31, 2014 |  | $ | 34.4436 |  |  | $ | 26.0292 |  |  | $ | 19.3058 |  |  | $ | 28.2007 |  |  | $ | 18.4937 |  |  | $ | 60.2965 |  |  | $ | 61.8592 |
Market value per share, at December 31, 2013† |  | $ | 31.61 |  |  | $ | 25.98 |  |  | $ | 18.61 |  |  | $ | 28.53 |  |  | $ | 19.29 |  |  | $ | 67.12 |  |  | $ | 67.47 |
Market value per share, at March 31, 2014† |  | $ | 34.46 |  |  | $ | 25.98 |  |  | $ | 19.29 |  |  | $ | 28.10 |  |  | $ | 18.50 |  |  | $ | 59.91 |  |  | $ | 61.97 |
Total Return, at net asset value^ |  |  | 8.7 | % |  |  | 0.0 | %*** |  |  | 3.6 | % |  |  | (1.2 | )% |  |  | (4.2 | )% |  |  | (10.1 | )% |  |  | (8.4 | )%
Total Return, at market value^ |  |  | 9.0 | % |  |  | 0.0 | %*** |  |  | 3.7 | % |  |  | (1.5 | )% |  |  | (4.1 | )% |  |  | (10.7 | )% |  |  | (8.2 | )%
Ratios to Average Net Assets** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Expense ratio |  |  | (1.00 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.85 | )% |  |  | (0.85 | )% |  |  | (1.79 | )% |  |  | (1.50 | )%
Expense ratio, excluding brokerage commissions |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.85 | )% |  |  | (0.85 | )% |  |  | (0.95 | )% |  |  | (0.95 | )%
Net investment income (loss) |  |  | (0.93 | )% |  |  | (0.89 | )% |  |  | (0.89 | )% |  |  | (0.80 | )% |  |  | (0.81 | )% |  |  | (1.76 | )% |  |  | (1.45 | )%

# | The amount shown for a share outstanding throughout the period may not accord with the change in aggregate gains and losses during the period because of timing of creation and redemption units in relation to fluctuating net asset value during the period.

† | Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^ | Percentages are not annualized for the period ended March 31, 2014.

** | Percentages are annualized.

*** | Amount represents less than 0.01%.

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

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

Per Share Operating Performance |  | UltraShort DJ-UBS Commodity |  |  | UltraShort DJ-UBS Crude Oil |  |  | UltraShort DJ- UBS Natural Gas* |  |  | UltraShort Gold |  |  | UltraShort Silver |  |  | Short Euro |  |  | UltraShort Australian Dollar |
Net asset value, at December 31, 2012 |  | $ | 54.1021 |  |  | $ | 40.3079 |  |  | $ | 102.1402 |  |  | $ | 63.8688 |  |  | $ | 51.3951 |  |  | $ | 37.6285 |  |  | $ | 37.8081 |
Net investment income (loss) |  |  | (0.1143 | ) |  |  | (0.0850 | ) |  |  | (0.2565 | ) |  |  | (0.1428 | ) |  |  | (0.1068 | ) |  |  | (0.0840 | ) |  |  | (0.0867 | )
Net realized and unrealized gain (loss) |  |  | 1.1149 |  |  |  | (3.7437 | ) |  |  | (30.0196 | ) |  |  | 4.1421 |  |  |  | 2.7733 |  |  |  | 1.0874 |  |  |  | (0.8315 | )
Change in net asset value from operations |  |  | 1.0006 |  |  |  | (3.8287 | ) |  |  | (30.2761 | ) |  |  | 3.9993 |  |  |  | 2.6665 |  |  |  | 1.0034 |  |  |  | (0.9182 | )
Net asset value, at March 31, 2013 |  | $ | 55.1027 |  |  | $ | 36.4792 |  |  | $ | 71.8641 |  |  | $ | 67.8681 |  |  | $ | 54.0616 |  |  | $ | 38.6319 |  |  | $ | 36.8899 |
Market value per share, at December 31, 2012† |  | $ | 51.64 |  |  | $ | 40.44 |  |  | $ | 101.64 |  |  | $ | 62.60 |  |  | $ | 50.07 |  |  | $ | 37.64 |  |  | $ | 37.74 |
Market value per share, at March 31, 2013† |  | $ | 51.14 |  |  | $ | 36.62 |  |  | $ | 72.24 |  |  | $ | 68.01 |  |  | $ | 55.02 |  |  | $ | 38.65 |  |  | $ | 36.41 |
Total Return, at net asset value^ |  |  | 1 .8 | % |  |  | (9.5 | )% |  |  | (29.6 | )% |  |  | 6.3 | % |  |  | 5.2 | % |  |  | 2.7 | % |  |  | (2.4 | )%
Total Return, at market value^ |  |  | (1.0 | )% |  |  | (9.4 | )% |  |  | (28.9 | )% |  |  | 8.6 | % |  |  | 9.9 | % |  |  | 2.7 | % |  |  | (3.5 | )%
Ratios to Average Net Assets** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Expense ratio |  |  | (0.95 | )% |  |  | (0.97 | )% |  |  | (1.21 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.96 | )% |  |  | (0.99 | )%
Expense ratio, excluding brokerage commissions |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )%
Net investment income (loss) |  |  | (0.86 | )% |  |  | (0.90 | )% |  |  | (1.15 | )% |  |  | (0.88 | )% |  |  | (0.87 | )% |  |  | (0.91 | )% |  |  | (0.94 | )%

* | See Note 1 of these Notes to Financial Statements.

† | Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^ | Percentages are not annualized for the period ended March 31, 2013.

** | Percentages are annualized.

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

Per Share Operating Performance |  | UltraShort Euro |  |  | UltraShort Yen |  |  | Ultra DJ-UBS Commodity |  |  | Ultra DJ-UBS Crude Oil |  |  | Ultra DJ-UBS Natural Gas |  |  | Ultra Gold |  |  | Ultra Silver* |
Net asset value, at December 31, 2012 |  | $ | 19.0172 |  |  | $ | 50.7577 |  |  | $ | 24.3875 |  |  | $ | 29.3941 |  |  | $ | 39.0490 |  |  | $ | 83.7634 |  |  | $ | 171.8906 |
Net investment income (loss) |  |  | (0.0411 | ) |  |  | (0.1244 | ) |  |  | (0.0535 | ) |  |  | (0.0674 | ) |  |  | (0.1040 | ) |  |  | (0.1744 | ) |  |  | (0.3644 | )
Net realized and unrealized gain (loss) |  |  | 1.0374 |  |  |  | 8.3770 |  |  |  | (0.7240 | ) |  |  | 2.3426 |  |  |  | 11.3070 |  |  |  | (6.4032 | ) |  |  | (17.6120 | )
Change in net asset value from operations |  |  | 0.9963 |  |  |  | 8.2526 |  |  |  | (0.7775 | ) |  |  | 2.2752 |  |  |  | 11.2030 |  |  |  | (6.5776 | ) |  |  | (17.9764 | )
Net asset value, at March 31, 2013 |  | $ | 20.0135 |  |  | $ | 59.0103 |  |  | $ | 23.6100 |  |  | $ | 31.6693 |  |  | $ | 50.2520 |  |  | $ | 77.1858 |  |  | $ | 153.9142 |
Market value per share, at December 31, 2012† |  | $ | 19.01 |  |  | $ | 50.77 |  |  | $ | 23.93 |  |  | $ | 29.32 |  |  | $ | 39.24 |  |  | $ | 85.34 |  |  | $ | 176.40 |
Market value per share, at March 31, 2013† |  | $ | 20.00 |  |  | $ | 59.00 |  |  | $ | 23.92 |  |  | $ | 31.56 |  |  | $ | 49.95 |  |  | $ | 77.01 |  |  | $ | 151.00 |
Total Return, at net asset value^ |  |  | 5.2 | % |  |  | 16.3 | % |  |  | (3.2 | )% |  |  | 7.7 | % |  |  | 28.7 | % |  |  | (7.9 | )% |  |  | (10.5 | )%
Total Return, at market value^ |  |  | 5.2 | % |  |  | 16.2 | % |  |  | 0.0 | %*** |  |  | 7.6 | % |  |  | 27.3 | % |  |  | (9.8 | )% |  |  | (14.4 | )%
Ratios to Average Net Assets** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Expense ratio |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.97 | )% |  |  | (1.13 | )% |  |  | (0.95 | )% |  |  | (0.95 | )%
Expense ratio, excluding brokerage commissions |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )%
Net investment income (loss) |  |  | (0.88 | )% |  |  | (0.88 | )% |  |  | (0.89 | )% |  |  | (0.90 | )% |  |  | (1.06 | )% |  |  | (0.88 | )% |  |  | (0.87 | )%

* | See Note 1 of these Notes to Financial Statements.

† | Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^ | Percentages are not annualized for the period ended March 31, 2013.

** | Percentages are annualized.

*** | Amount represents less than 0.01%.

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

Per Share Operating Performance |  | Ultra Australian Dollar |  |  | Ultra Euro |  |  | Ultra Yen |  |  | VIX Short- Term Futures ETF* |  |  | VIX Mid- Term Futures ETF |  |  | Ultra VIX Short-Term Futures ETF* |  |  | Short VIX Short-Term Futures ETF* |
Net asset value, at December 31, 2012 |  | $ | 41.4986 |  |  | $ | 24.3499 |  |  | $ | 28.1840 |  |  | $ | 83.9374 |  |  | $ | 34.7003 |  |  | $ | 805.2711 |  |  | $ | 33.0649 |
Net investment income (loss) |  |  | (0.0949 | ) |  |  | (0.0536 | ) |  |  | (0.0537 | ) |  |  | (0.1201 | ) |  |  | (0.0539 | ) |  |  | (1.8551 | ) |  |  | (0.1506 | )
Net realized and unrealized gain (loss) |  |  | 0.7443 |  |  |  | (1.4326 | ) |  |  | (4.3565 | ) |  |  | (29.6940 | ) |  |  | (8.2105 | ) |  |  | (500.3708 | ) |  |  | 13.1843 |
Change in net asset value from operations |  |  | 0.6494 |  |  |  | (1.4862 | ) |  |  | (4.4102 | ) |  |  | (29.8141 | ) |  |  | (8.2644 | ) |  |  | (502.2259 | ) |  |  | 13.0337 |
Net asset value, at March 31, 2013 |  | $ | 42.1480 |  |  | $ | 22.8637 |  |  | $ | 23.7738 |  |  | $ | 54.1233 |  |  | $ | 26.4359 |  |  | $ | 303.0453 |  |  | $ | 46.0986 |
Market value per share, at December 31, 2012† |  | $ | 41.45 |  |  | $ | 24.32 |  |  | $ | 28.28 |  |  | $ | 85.05 |  |  | $ | 34.22 |  |  | $ | 836.00 |  |  | $ | 32.73 |
Market value per share, at March 31, 2013† |  | $ | 42.55 |  |  | $ | 22.92 |  |  | $ | 23.69 |  |  | $ | 54.50 |  |  | $ | 26.43 |  |  | $ | 307.60 |  |  | $ | 45.54 |
Total Return, at net asset value^ |  |  | 1.6 | % |  |  | (6.1 | )% |  |  | (15.6 | )% |  |  | (35.5 | )% |  |  | (23.8 | )% |  |  | (62.4 | )% |  |  | 39.4 | %
Total Return, at market value^ |  |  | 2.7 | % |  |  | (5.8 | )% |  |  | (16.2 | )% |  |  | (35.9 | )% |  |  | (22.8 | )% |  |  | (63.2 | )% |  |  | 39.2 | %
Ratios to Average Net Assets** |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Expense ratio |  |  | (0.99 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.85 | )% |  |  | (0.85 | )% |  |  | (1.94 | )% |  |  | (1.54 | )%
Expense ratio, excluding brokerage commissions |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.95 | )% |  |  | (0.85 | )% |  |  | (0.85 | )% |  |  | (0.95 | )% |  |  | (0.95 | )%
Net investment income (loss) |  |  | (0.92 | )% |  |  | (0.89 | )% |  |  | (0.88 | )% |  |  | (0.79 | )% |  |  | (0.79 | )% |  |  | (1.91 | )% |  |  | (1.47 | )%

* | See Note 1 of these Notes to Financial Statements.

† | Market values are determined at the close of the New York Stock Exchange, which may be later than when the Funds’ net asset value is calculated.

^ | Percentages are not annualized for the period ended March 31, 2013.

** | Percentages are annualized.

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NOTE 8 – RISK

Correlation and Compounding Risk

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than a single day (as measured from NAV calculation time to NAV calculation time). The return of a Geared Fund for a period longer than a single day is the result of its return for each day compounded over the period and usually will differ from the inverse (-1x), two times the inverse (-2x), or two times (2x) of the return of the Geared Fund’s benchmark for the period. A Fund will lose money if its benchmark performance is flat over time, and it is possible for a Geared Fund to lose money over time even if the performance of its benchmark increases (or decreases in the case of Short and UltraShort Funds), as a result of daily rebalancing, the benchmark’s volatility and compounding. Longer holding periods, higher benchmark volatility, inverse exposure and greater leverage each affect the impact of compounding on a Fund’s returns. Daily compounding of a Geared Fund’s investment returns can dramatically and adversely affect its longer-term performance during periods of high volatility. Volatility may be at least as important to a Geared Fund’s return for a period as the return of the Fund’s underlying benchmark. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time.

Each Ultra and UltraShort Fund uses leverage and should produce daily returns that are more volatile than that of its benchmark. For example, the daily return of an Ultra Fund with a 2x multiple should be approximately two times as volatile on a daily basis as is the return of a fund with an objective of matching the same benchmark. The daily return of a Short or UltraShort Fund is designed to return the inverse (-1x) or two times the inverse (-2x) of the return that would be expected of a fund with an objective of matching the same benchmark. The Geared Funds are not appropriate for all investors and present different risks than other funds. The Leveraged Funds use leverage and are riskier than similarly benchmarked exchange-traded funds that do not use leverage. An investor should only consider an investment in a Geared Fund if he or she understands the consequences of seeking daily leveraged, daily inverse or daily inverse leveraged investment results. Daily objective geared funds, if used properly and in conjunction with the investor’s view on the future direction and volatility of the markets, can be useful tools for investors who want to manage their exposure to various markets and market segments and who are willing to monitor and/or periodically rebalance their portfolios. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily.

While the Funds expect to meet their investment objectives, several factors may affect their ability to do so. Among these factors are: (1) the Sponsor’s ability to purchase and sell Financial Instruments in a manner that correlates to a Fund’s objective; (2) an imperfect correlation between the performance of Financial Instruments held by a Fund and the performance of the applicable benchmarks; (3) bid-ask spreads on such Financial Instruments; (4) fees, expenses, transaction costs, financing costs associated with the use of Financial Instruments and commission costs; (5) holding instruments traded in a market that has become illiquid or disrupted; (6) a Fund’s Share prices being rounded to the nearest cent and/or valuation methodology; (7) changes to a benchmark index that are not disseminated in advance; (8) the need to conform a Fund’s portfolio holdings to comply with investment restrictions or policies or regulatory or tax law requirements; (9) early and unanticipated closings of the markets on which the holdings of a Fund trade, resulting in the inability of the Fund to execute intended portfolio transactions; and (10) accounting standards.

A number of factors may affect a Geared Fund’s ability to achieve a high degree of correlation with its benchmark, and there can be no guarantee that a Fund will achieve a high degree of correlation. Failure to achieve a high degree of correlation may prevent a Geared Fund from achieving its investment objective. In order to achieve a high degree of correlation with their underlying benchmarks, the Geared Funds seek to rebalance their portfolios daily to keep exposure consistent with their investment objectives. Being materially under- or over-exposed to the benchmark may prevent such Geared Funds from achieving a high degree of correlation with such benchmark. Market disruptions or closure, large amounts of assets into or out of the Geared Funds, regulatory restrictions or extreme market volatility will adversely affect such Funds’ ability to adjust exposure to requisite levels. The target amount of portfolio exposure is impacted dynamically by the benchmarks’ movements during each day. Because of this, it is unlikely that the Geared Funds will be perfectly exposed (i.e., -1x, -2x or 2x, as applicable) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the

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benchmark levels are volatile near the close of the trading day. In addition, unlike other funds that do not rebalance their portfolios as frequently, each Geared Fund may be subject to increased trading costs associated with daily portfolio rebalancing in order to maintain appropriate exposure to the underlying benchmarks.

Counterparty Risk

Certain of the Funds will use swap agreements and/or forward contracts as a means to achieve their respective investment objectives. Such Funds will use either swap agreements and/or forward contracts referencing their respective benchmarks. These Funds may also invest in other swap agreements or forward contracts if such instruments tend to exhibit trading prices or returns that correlate with the benchmark or a component of the benchmark and will further the investment objective of the Fund. Certain Funds may invest in swap agreements or forward contracts if position accountability rules or position limits are reached with respect to specific futures contracts or the market for a specific futures contract experiences emergencies (e.g., natural disaster, terrorist attack or an act of God) or disruptions (e.g., a trading halt or a flash crash) that prevent the Funds from obtaining the appropriate amount of investment exposure to the affected futures contract or certain other futures contracts. Although unlikely, those Funds, under these circumstances, could have 100% exposure to swap agreements or forward contracts.

Swap agreements and forward contracts are generally traded in OTC markets and have only recently become subject to regulation by the CFTC. CFTC rules, however, do not cover all types of swap agreements and forward contracts. Investors, therefore, may not receive the protection of CFTC regulation or the statutory scheme of the Commodity Exchange Act (the “CEA”) in connection with each Fund’s swap agreements or forward contracts. The lack of regulation in these markets could expose investors to significant losses under certain circumstances, including in the event of trading abuses or financial failure by participants.

The Funds will be subject to credit risk with respect to the counterparties to the derivatives contracts (whether a clearing corporation in the case of cleared instruments or another third party in the case of OTC uncleared instruments). Unlike in futures contracts, the counterparty to uncleared swap agreements or forward contracts is generally a single bank or other financial institution, rather than a clearing organization backed by a group of financial institutions. As a result, a Fund is subject to credit risk with respect to the amount it expects to receive from counterparties to uncleared swaps and forward contracts entered into as part of that Fund’s principal investment strategy. If a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties, a Fund could suffer significant losses on these contracts and the value of an investor’s investment in a Fund may decline.

The Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, subject to certain minimum thresholds; however there are no limitations on the percentage of its assets each Fund may invest in swap agreements or forward contracts with a particular counterparty. To the extent any such collateral is insufficient or there are delays in accessing the collateral, the Funds will be exposed to counterparty risk as described above, including possible delays in recovering amounts as a result of bankruptcy proceedings. The Funds typically enter into transactions only with major global financial institutions.

OTC swaps or forward contracts are less liquid than futures contracts because they are not traded on an exchange, do not have uniform terms and conditions, and are generally entered into based upon the creditworthiness of the parties and the availability of credit support, such as collateral, and in general, are not transferable without the consent of the counterparty. If the level of the Fund’s benchmark has a dramatic intraday move that would cause a material decline in the Fund’s NAV, the terms of the swap may permit the counterparty to immediately close out the transaction with the Fund. In that event, it may not be possible for the Fund to enter into another swap agreement or to invest in other Financial Instruments necessary to achieve the desired exposure consistent with the Fund’s objective. This, in turn, may prevent the Fund from achieving its investment objective, particularly if the level of the Fund’s benchmark reverses all or part of its intraday move by the end of the day. In addition, cleared derivative transactions benefit from daily marking-to-market and settlement, and segregation and minimum capital requirements applicable to intermediaries. Transactions entered into directly between two counterparties generally do not benefit from such protections. This exposes the Funds to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Funds to suffer a loss.

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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 August 2013 may specify an October 2013 expiration. For an Ultra Fund and a Matching VIX Fund, as that contract nears expiration, it may be replaced by selling the October 2013 contract and purchasing the contract expiring in December 2013. This process is referred to as “rolling.” Rolling may have a positive or negative impact on performance. For example, historically, the prices of certain types of futures contracts have frequently been higher for contracts with shorter-term expirations than for contracts with longer-term expirations, which is referred to as “backwardation.” In these circumstances, absent other factors, the sale of the October 2013 contract would take place at a price that is higher than the price at which the December 2013 contract is purchased, thereby creating a gain in connection with rolling. While certain types of futures contracts have historically exhibited consistent periods of backwardation, backwardation will likely not exist in these markets at all times. The presence of contango (where prices of contracts are higher in the distant delivery months than in the nearer delivery months due to the costs of long-term storage of a physical commodity prior to delivery or other factors) in certain futures contracts at the time of rolling would be expected to adversely affect an Ultra Fund or a Matching VIX Fund that invests in such futures, and positively affect a Short Fund or an UltraShort Fund that invests in such futures. Similarly, the presence of backwardation in certain futures contracts at the time of rolling such contracts would be expected to adversely affect the Short Funds and UltraShort Funds, and positively affect the Ultra Funds and Matching VIX Funds.

Since the introduction of VIX futures contracts, there have frequently been periods where VIX futures prices reflect higher expected volatility levels further out in time. This can result in a loss from “rolling” the VIX futures to

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maintain the constant weighted average maturity of the S&P 500 VIX Short-Term Futures Index or the S&P 500 VIX Mid-Term Futures Index (each a “VIX Futures Index”). Losses from exchanging a lower priced VIX future for a higher priced longer-term future in the rolling process would adversely affect the value of each VIX Futures Index and, accordingly, decrease the return of the Ultra VIX Short-Term Futures ETF and the Matching VIX Funds.

Gold and silver historically exhibit persistent “contango” markets rather than backwardation. Natural gas, like crude oil, moves in and out of backwardation and contango but historically has been in contango most commonly. It is generally believed this is because the market needs to build inventories for most of the year in order to have enough storage to make it through a normal winter. Periods of backwardation are typically thought to be caused by demand shocks or supply shortages such as an unusually cold winter or a hurricane.

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. Management has determined that there are no material events that would require disclosure in the Trust’s or the Funds’ financial statements through this date.

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

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

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and is currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of March 31, 2014, the following twenty-one series of the Trust have commenced investment operations: (i) ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Natural Gas, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares UltraShort Australian Dollar, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares Ultra DJ-UBS Natural Gas, ProShares Ultra Gold, ProShares Ultra Silver, ProShares Ultra Australian Dollar, ProShares Ultra Euro and ProShares Ultra Yen (each, a “Leveraged Fund” and collectively, the “Leveraged Funds”); (ii) ProShares Short Euro (the “Short Euro Fund”); (iii) ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF (each, a “Geared VIX Fund” and collectively, the “Geared VIX Funds”); and (iv) ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF (each, a “Matching VIX Fund” and collectively, the “Matching VIX Funds”). Each of the Funds listed above issues common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Leveraged Fund, Short Euro Fund, Geared VIX Fund or Matching VIX Fund. The Shares of each Leveraged Fund, the Short Euro Fund, each Geared VIX Fund and each Matching VIX Fund are listed on the New York Stock Exchange Archipelago (“NYSE Arca”). The Leveraged Funds, the Short Euro Fund and the Geared VIX Funds, are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in this Quarterly Report on Form 10-Q.

The Trust registered shares for thirty-two additional series: (i) ProShares Short DJ-UBS Natural Gas and ProShares Short Gold (collectively, the “Short Funds”); (ii) ProShares UltraShort VIX Short-Term Futures ETF, ProShares Ultra VIX Mid-Term Futures ETF, ProShares Short VIX Mid-Term Futures ETF and ProShares UltraShort VIX Mid-Term Futures ETF (collectively, the “New Geared VIX Funds”); (iii) ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy (each, a “Managed Futures Fund” and collectively, the “Managed Futures Funds”); (iv) ProShares Financial Managed Futures Strategy; (v) ProShares UltraPro Australian Dollar, ProShares Short Australian Dollar, ProShares UltraPro Short Australian Dollar, ProShares UltraPro Canadian Dollar, ProShares Ultra Canadian Dollar, ProShares Short Canadian Dollar, ProShares UltraShort Canadian Dollar, ProShares UltraPro Short Canadian Dollar, ProShares UltraPro Euro, ProShares UltraPro Short Euro, ProShares UltraPro Swiss Franc, ProShares Ultra Swiss Franc, ProShares Short Swiss Franc, ProShares UltraShort Swiss Franc, ProShares UltraPro Short Swiss Franc, ProShares UltraPro Yen, ProShares Short Yen and ProShares UltraPro Short Yen; and (vi) ProShares UltraPro U.S. Dollar, ProShares Ultra U.S. Dollar, ProShares Short U.S. Dollar, ProShares UltraShort U.S. Dollar and ProShares UltraPro Short U.S. Dollar (collectively, the “Currency Index Funds”). The thirty-two additional series were never publicly offered and their registration has subsequently been terminated. Thus, as of March 31, 2014, the only Funds that have registered amounts are the twenty-one series of the Trust that have commenced investment operations.

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

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

Eight of the Funds, ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort Euro, ProShares UltraShort Yen, ProShares Ultra DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares Ultra Euro and ProShares Ultra Yen commenced trading on the NYSE Arca on November 25, 2008. Four of the Funds, ProShares UltraShort Gold, ProShares UltraShort Silver, ProShares Ultra Gold and ProShares Ultra Silver, commenced trading on the NYSE Arca on December 3, 2008. Two of the Funds, ProShares VIX Short-Term Futures ETF and ProShares VIX Mid-Term Futures ETF, commenced trading on the NYSE Arca on January 3, 2011. Two of the Funds, ProShares Ultra VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF commenced trading on the NYSE Arca on October 3, 2011. Two of the Funds, ProShares UltraShort DJ-UBS Natural Gas and ProShares Ultra DJ-UBS Natural Gas, commenced trading on the NYSE Arca on October 4, 2011. One of the Funds, ProShares Short Euro, commenced trading on the NYSE Arca on June 26, 2012. Two of the Funds, ProShares UltraShort Australian Dollar and ProShares Ultra Australian Dollar, commenced trading on the NYSE Arca on July 17, 2012.

ProShare Capital Management LLC serves as the Trust’s Sponsor (the “Sponsor”) and commodity pool operator. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the CEA and the applicable regulations of the Commodity Futures Trading Commission (the “CFTC”) and are operated by the Sponsor, a commodity pool operator registered with the CFTC. The Trust is not an investment company registered under the Investment Company Act of 1940, as amended.

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

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

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

Each Geared Fund seeks investment results for a single day only, not for longer periods. A “single day” is measured from the time a Fund calculates its respective net asset value per Share (“NAV”) to the time of the Fund’s next NAV calculation. This is different from most exchange-traded funds and means that the return of such Fund for a period longer than a single trading day will be the result of each day’s returns compounded over the period, which will very likely differ from -1x, -2x or 2x of the return of the index to which such Fund is benchmarked for that period. In periods of higher market volatility, the volatility of the benchmark may be at least as important to a Geared Fund’s return for the period as the return of the benchmark. Geared Funds are riskier than similarly benchmarked exchange-traded funds that are not geared. Accordingly, these Funds may not be suitable for all investors and should be used only by knowledgeable investors who understand the potential consequences of seeking daily leveraged, inverse or inverse leveraged investment results. Shareholders who invest in the Funds should actively manage and monitor their investments, as frequently as daily. The Geared VIX Funds do not seek to achieve their stated objective over a

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period greater than a single day. Each Matching VIX Fund seeks results (before fees and expenses), both over a single day and over time, that match the performance of the S&P 500 VIX Short-Term Futures Index (the “Short-Term VIX Index”) or the S&P 500 VIX Mid-Term Futures Index (the “Mid-Term VIX Index”) (each a “VIX Futures Index”). Each Geared VIX Fund seeks daily investment results (before fees and expenses) that correspond to a multiple or the inverse of the daily performance of the Short-Term VIX Index. Each VIX Fund intends to obtain exposure to its benchmark by investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”).

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

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

Liquidity and Capital Resources

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

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

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

Each Fund’s underlying swaps, futures and forward contracts, as applicable, may be subject to periods of illiquidity because of market conditions, regulatory considerations and other reasons. For example, swaps and forward contracts are not traded on an exchange, do not have uniform terms and conditions, and in general are not transferable without the consent of the counterparty. In the case of futures contracts, commodity exchanges may limit fluctuations in certain futures contract prices during a single day by regulations referred to as “daily limits.” During a single day, no futures trades may be executed at prices beyond the daily limit. Once the price of a futures contract has increased or decreased by an amount equal to the daily limit, positions in such futures contracts can neither be taken nor liquidated unless the traders are willing to effect trades at or within the limit. Futures contract prices have occasionally moved to the daily limit for several consecutive days with little or no trading. Such market conditions could prevent a Fund from promptly liquidating its futures positions.

Entry into swap agreements or forward contracts may further impact liquidity because these contractual agreements are executed “off-exchange” between private parties and, therefore, the time required to offset or “unwind” these positions may be greater than that for exchange-traded instruments. This potential delay could be exacerbated to the extent a counterparty is not a United States person.

The large size of the positions in which a Fund may acquire increases the risk of illiquidity by both making their positions more difficult to liquidate and increasing the losses incurred while trying to do so. Any type of disruption or illiquidity will potentially be exacerbated due to the fact that the Funds will typically invest in Financial Investments related to one benchmark, which in many cases is highly concentrated.

Because each Fund may enter into swaps and may trade futures and forward contracts, its capital is at risk due to changes in the value of these contracts (market risk) or the inability of counterparties to perform under the terms of the contracts (credit risk).

Market Risk

Trading in derivatives contracts involves each Fund entering into contractual commitments to purchase or sell a commodity, currency or spot volatility product underlying the Fund’s benchmark at a specified date and price, should it hold such derivatives contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, currency or spot volatility product, it would be required to make delivery of that commodity, currency or spot volatility product at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity, currency or spot volatility product can rise is unlimited, entering into commitments to sell commodities, currencies or spot volatility products would expose a Fund to theoretically unlimited risk.

For more information, see “Item 3. Quantitative and Qualitative Disclosures About Market Risk” in this Quarterly Report on Form 10-Q.

Credit Risk

When a Fund enters into swap agreements, futures contracts or forward contracts, the Fund is exposed to credit risk that the counterparty to the contract will not meet its obligations.

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The counterparty for futures contracts traded on United States and most foreign futures exchanges as well as certain swaps is the clearing house associated with the particular exchange. In general, clearing houses are backed by their corporate members who may be required to share in the financial burden resulting from the nonperformance by one of their members and, as such, should significantly reduce this credit risk. In cases where the clearing house is not backed by the clearing members (i.e., some foreign exchanges, which may become applicable in the future), it may be backed by a consortium of banks or other financial institutions.

Certain swap and forward agreements are contracted for directly with counterparties. There can be no assurance that any counterparty, clearing member or clearing house will meet its obligations to a Fund.

Swap agreements do not generally involve the delivery of underlying assets either at the outset of a transaction or upon settlement. Accordingly, if the counterparty to an uncleared swap agreement defaults, the Fund’s risk of loss typically consists of the net amount of payments that the Fund is contractually entitled to receive, if any. Swap counterparty risk is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovery collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Forward agreements do not involve the delivery of assets at the onset of a transaction, but may be settled physically in the underlying asset if such contracts are held to expiration, particularly in the case of currency forwards. Thus, prior to settlement, if the counterparty to a forward contract defaults, a Fund’s risk of loss will generally consist of the net amount of payments that the Fund is contractually entitled to receive, if any. However, if physically settled forwards are held until expiration (presently, there is no plan to do this), at the time of settlement, a Fund may be at risk for the full notional value of the forward contracts depending on the type of settlement procedures used.

The Sponsor attempts to minimize certain of these market and credit risks by normally:

| • |  | executing and clearing trades with creditworthy counterparties, as determined by the Sponsor;

| • |  | limiting the outstanding amounts due from counterparties to the Funds;

| • |  | not posting margin directly with a counterparty;

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

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

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

Off-Balance Sheet Arrangements and Contractual Obligations

As of May 8, 2014, the Funds have not used, nor do they expect to use in the future, special purpose entities to facilitate off-balance sheet financing arrangements and have no loan guarantee arrangements or off-balance sheet arrangements of any kind other than agreements entered into in the normal course of business, which may include indemnification provisions related to certain risks service providers undertake in performing services which are in the best interests of the Funds. While each Fund’s exposure under such indemnification provisions cannot be estimated, these general business indemnifications are not expected to have a material impact on a Fund’s financial position.

Management fee payments made to the Sponsor are calculated as a fixed percentage of each Fund’s NAV. As such, the Sponsor cannot anticipate the amount of payments that will be required under these arrangements for future periods as NAVs are not known until a future date. The agreement with the Sponsor may be terminated by either party upon 30 days written notice to the other party. One officer of the Trust also serves as an officer and owner of the Sponsor.

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Critical Accounting Policies

The Trust’s and the Funds’ critical accounting policies are as follows:

Preparation of the financial statements and related disclosures in compliance with accounting principles generally accepted in the United States of America requires the application of appropriate accounting rules and guidance, as well as the use of estimates. The Trust’s and the Funds’ application of these policies involves judgments and actual results may differ from the estimates used.

Each Fund has significant exposure to Financial Instruments. The Funds hold a significant portion of their assets in swaps, futures or forward contracts, all of which are recorded on a trade date basis and at fair value in the financial statements, with changes in fair value reported in the Statements of Operations.

The use of fair value to measure Financial Instruments, with related unrealized gains or losses recognized in earnings in each period, is fundamental to the Trust’s and the Funds’ financial statements. The fair value of a Financial Instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (the exit price).

For financial reporting purposes, the Leveraged Funds, the Short Euro Fund and the VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements may differ from those used in the calculation of certain Leveraged Funds’, the Short Euro Fund’s and VIX Funds’ final creation/redemption NAV for the three months ended March 31, 2014.

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

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

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

The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. See Note 2 in Item 1 of this Quarterly Report on Form 10-Q for further information.

Discounts on short-term securities purchased are amortized and reflected as Interest Income in the Statements of Operations.

Realized gains (losses) and changes in unrealized gain (loss) on open positions are determined on a specific identification basis and recognized in the Statements of Operations in the period in which the contract is closed or the changes occur, respectively.

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

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

ProShares UltraShort DJ-UBS Commodity

Fund Performance

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

|  | Three Months Ended March 31, 2014 |  |  | Three Months Ended March 31, 2013 |
NAV beginning of period |  | $ | 3,797,427 |  |  | $ | 3,245,965 |
NAV end of period |  | $ | 3,283,730 |  |  | $ | 3,305,997 |
Percentage change in NAV |  |  | (13.5 | )% |  |  | 1.8 | %
Shares outstanding beginning of period |  |  | 59,997 |  |  |  | 59,997 |
Shares outstanding end of period |  |  | 59,997 |  |  |  | 59,997 |
Percentage change in shares outstanding |  |  | 0.0 | % |  |  | 0.0 | %
Shares created |  |  | — |  |  |  | — |
Shares redeemed |  |  | — |  |  |  | — |
Per share NAV beginning of period |  | $ | 63.29 |  |  | $ | 54.10 |
Per share NAV end of period |  | $ | 54.73 |  |  | $ | 55.10 |
Percentage change in per share NAV |  |  | (13.5 | )% |  |  | 1.8 | %
Percentage change in benchmark |  |  | 7.0 | % |  |  | (1.1 | )%
Benchmark annualized volatility |  |  | 9.8 | % |  |  | 8.2 | %

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Dow Jones-UBS Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to March 31, 2014. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Dow Jones-UBS Commodity Index during the three months ended March 31, 2013. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to March 31, 2013.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 13.5% for the three months ended March 31, 2014, as compared to the per Share NAV increase of 1.8% for the three months ended March 31, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $66.81 per Share and reached its low for the period on March 6, 2014 at $53.06 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 6, 2013 at $56.68 per Share and reached its low for the period on January 30, 2013 at $51.04 per Share.

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

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Net Income/Loss

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

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

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

ProShares UltraShort DJ-UBS Crude Oil

Fund Performance

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

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

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 8,069,944 outstanding Shares at December 31, 2013 to 11,169,944 outstanding Shares at March 31, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted from an increase from 2,219,944 outstanding Shares at December 31, 2012 to 3,869,944 outstanding Shares at March 31, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.2% for the three months ended March 31, 2014, as compared to the decrease of 9.5% for the three months ended March 31, 2013, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

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During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $36.34 per Share and reached its low for the period on March 3, 2014 at $27.23 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 4, 2013 at $42.25 per Share and reached its low for the period on January 30, 2013 at $35.62 per Share.

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

Net Income/Loss

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

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

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

ProShares UltraShort DJ-UBS Natural Gas*

Fund Performance

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

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

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 324,952 outstanding Shares at December 31, 2013 to 1,674,952 outstanding Shares at March 31, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted from an increase from 125,008 outstanding Shares at December 31, 2012 to 350,008 outstanding Shares at

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March 31, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 37.2% for the three months ended March 31, 2014, as compared to the decrease of 29.6% for the three months ended March 31, 2013, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 9, 2014 at $76.82 per Share and reached its low for the period on February 4, 2014 at $36.07 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 9, 2013 at $116.80 per Share and reached its low for the period on March 27, 2013 at $70.36 per Share.

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

Net Income/Loss

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

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

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

* | See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares UltraShort DJ-UBS Natural Gas Fund.

ProShares UltraShort Gold

Fund Performance

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

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

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

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,346,978 outstanding Shares at December 31, 2013 to 1,296,978 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted primarily from an increase from 1,446,978 outstanding Shares at December 31, 2012 to 1,546,978 outstanding Shares at March 31, 2013. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 14.7% for the three months ended March 31, 2014, as compared to the increase of 6.3% for the three months ended March 31, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 8, 2014 at $100.49 per Share and reached its low for the period on March 14, 2014 at $77.10 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on February 22, 2013 at $69.97 per Share and reached its low for the period on January 2, 2013 at $61.07 per Share.

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

Net Income/Loss

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

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

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

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ProShares UltraShort Silver

Fund Performance

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

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

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,258,489 outstanding Shares at December 31, 2013 to 858,489 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to March 31, 2013.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 7.9% for the three months ended March 31, 2014, as compared to the increase of 5.2% for the three months ended March 31, 2013, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

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

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

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Net Income/Loss

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

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

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

ProShares Short Euro

Fund Performance

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

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

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,005 outstanding Shares at December 31, 2013 to 200,005 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the three months ended ended March 31, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to March 31, 2013.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.2% for the three months ended March 31, 2014, as compared to the increase of 2.7% for the period ended March 31, 2013, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 31, 2014 at $36.34 per Share and reached its low for the period on March 18, 2014 at $35.13 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 27, 2013 at $38.76 per Share and reached its low for the period on February 1, 2013 at $36.34 per Share.

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

Net Income/Loss

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

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

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

ProShares UltraShort Australian Dollar

Fund Performance

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

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

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 600,005 outstanding Shares at December 31, 2013 to 500,005 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar. By comparison, during the three months ended March 31, 2013, the

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decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar. There was no net change in outstanding Shares from December 31, 2012 to March 31, 2013.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 9.2% for the three months ended March 31, 2014, as compared to the decrease of 2.4% for the period ended March 31, 2013, was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 24, 2014 at $48.83 per Share and reached its low for the period on March 31, 2014 at $42.33 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 4, 2013 at $38.76 per Share and reached its low for the period on January 10, 2013 at $36.24 per Share.

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

Net Income/Loss

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

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

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

ProShares UltraShort Euro

Fund Performance

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

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

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

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 24,500,014 outstanding Shares at December 31, 2013 to 24,250,014 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the three months ended March 31, 2013, the decrease in the Fund’s NAV resulted from a decrease from 27,700,014 outstanding Shares at December 31, 2012 to 25,800,014 outstanding Shares at March 31, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 0.8% for the three months ended March 31, 2014, as compared to the per Share NAV increase of 5.2% for the three months ended March 31, 2013, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 31, 2014 at $17.71 per Share and reached its low for the period on March 18, 2014 at $16.56 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 27, 2013 at $20.16 per Share and reached its low for the period on February 1, 2013 at $17.72 per Share.

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

Net Income/Loss

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

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

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

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ProShares UltraShort Yen

Fund Performance

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

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

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 8,299,294 outstanding Shares at December 31, 2013 to 5,999,294 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. The increase in the Fund’s NAV was offset by a decrease from 8,049,294 outstanding Shares at December 31, 2012 to 7,999,294 outstanding Shares at March 31, 2013.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.6% for the three months ended March 31, 2014, as compared to the per Share NAV increase of 16.3% for the three months ended March 31, 2013, was primarily due to a depreciation in the value of the assets held by the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 3, 2014 at $70.17 per Share and reached its low for the period on February 3, 2014 at $64.95 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 11, 2013 at $61.78 per Share and reached its low for the period on January 8, 2013 at $51.09 per Share.

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

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Net Income/Loss

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

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

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

ProShares Ultra DJ-UBS Commodity

Fund Performance

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

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

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Dow Jones-UBS Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to March 31, 2014. By comparison, during the three months ended March 31, 2013, the decrease in the Fund’s NAV resulted primarily from a decrease from 250,014 outstanding shares at December 31, 2012 to 200,014 outstanding Shares at March 31, 2013. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Dow Jones-UBS Commodity Index.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 13.8% for the three months ended March 31, 2014, as compared to the decrease of 3.2% for the three months ended March 31, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on March 6, 2014 at $22.88 per Share and reached its low for the period on January 9, 2014 at $18.38 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 30, 2013 at $25.72 per Share and reached its low for the period on March 6, 2013 at $23.05 per Share.

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

Net Income/Loss

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

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

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

ProShares Ultra DJ-UBS Crude Oil

Fund Performance

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

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

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,449,170 outstanding Shares at December 31, 2013 to 2,949,170 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM. By comparison, during the three months ended March 31, 2013, the decrease in the Fund’s NAV resulted from a decrease from 16,449,170 outstanding Shares at December 31, 2012 to 10,299,170 outstanding Shares at March 31, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Dow Jones-UBS WTI Crude Oil SubindexSM.

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For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 7.9% for the three months ended March 31, 2014, as compared to the increase of 7.7% for the three months ended March 31, 2013, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on March 3, 2014 at $36.55 per Share and reached its low for the period on January 9, 2014 at $27.85 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 30, 2013 at $33.05 per Share and reached its low for the period on March 4, 2013 at $27.55 per Share.

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

Net Income/Loss

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

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

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

ProShares Ultra DJ-UBS Natural Gas

Fund Performance

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

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

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During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted from a decrease from 1,619,941 outstanding Shares at December 31, 2013 to 469,941 outstanding Shares at March 31, 2014. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM. By comparison, during the three months ended March 31, 2013, the decrease in the Fund’s NAV resulted from a decrease from 1,869,941 outstanding Shares at December 31, 2012 to 1,019,941 outstanding Shares at March 31, 2013. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Dow Jones-UBS Natural Gas SubindexSM.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 16.2% for the three months ended March 31, 2014, as compared to the increase of 28.7% for the three months ended March 31, 2013, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on January 29, 2014 at $63.78 per Share and reached its low for the period on January 9, 2014 at $34.90 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on March 27, 2013 at $51.37 per Share and reached its low for the period on January 9, 2013 at $33.68 per Share.

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

Net Income/Loss

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

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

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

ProShares Ultra Gold

Fund Performance

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

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

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

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. Dollar P.M. fixing price for delivery in London. The increase of the Fund’s NAV was offset by a decrease from 3,200,014 outstanding Shares at December 31, 2013 to 2,900,014 outstanding Shares at March 31, 2014. By comparison, during the three months ended March 31, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. Dollar P.M. fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase from 4,000,014 outstanding Shares at December 31, 2012 to 4,100,014 outstanding Shares at March 31, 2013.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 14.0% for the three months ended March 31, 2014, as compared to the decrease of 7.9% for the three months ended March 31, 2013, was primarily due to the appreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on March 14, 2014 at $54.16 per Share and reached its low for the period on January 8, 2014 at $42.35 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 2, 2013 at $87.40 per Share and reached its low for the period on March 6, 2013 at $74.98 per Share.

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

Net Income/Loss

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

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

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

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ProShares Ultra Silver*

Fund Performance

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

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

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted primarily from an increase from 7,350,007 outstanding Shares at December 31, 2013 to 7,396,533 outstanding Shares at March 31, 2014. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. By comparison, during the three months ended March 31, 2013, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase 4,350,007 outstanding Shares at December 31, 2012 to 4,850,007 outstanding Shares at March 31, 2013.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.0% for the three months ended March 31, 2014, as compared to the decrease of 10.5% for the three months ended March 31, 2013, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on February 24, 2014 at $80.11 per Share and reached its low for the period on February 3, 2014 at $61.50 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 23, 2013 at $197.56 per Share and reached its low for the period on March 1, 2013 at $147.88 per Share.

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

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Net Income/Loss

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

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

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

* | See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares Ultra Silver Fund.

ProShares Ultra Australian Dollar

Fund Performance

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

|  | Three Months Ended March 31, 2014 |  |  | Three Months Ended March 31, 2013 |
NAV beginning of period |  | $ | 3,168,165 |  |  | $ | 4,150,068 |
NAV end of period |  | $ | 3,444,536 |  |  | $ | 4,215,006 |
Percentage change in NAV |  |  | 8.7 | % |  |  | 1.6 | %
Shares outstanding beginning of period |  |  | 100,005 |  |  |  | 100,005 |
Shares outstanding end of period |  |  | 100,005 |  |  |  | 100,005 |
Percentage change in shares outstanding |  |  | 0.0 | % |  |  | 0.0 | %
Shares created |  |  | — |  |  |  | — |
Shares redeemed |  |  | — |  |  |  | — |
Per share NAV beginning of period |  | $ | 31.68 |  |  | $ | 41.50 |
Per share NAV end of period |  | $ | 34.44 |  |  | $ | 42.15 |
Percentage change in per share NAV |  |  | 8.7 | % |  |  | 1.6 | %
Percentage change in benchmark |  |  | 3.8 | % |  |  | 0.1 | %
Benchmark annualized volatility |  |  | 9.4 | % |  |  | 6.7 | %

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar. There was no net change in outstanding Shares from December 31, 2013 to March 31, 2014. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Australian Dollar versus the U.S. Dollar. There was no net change in outstanding Shares from December 31, 2012 to March 31, 2013.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 8.7% for the three months ended March 31, 2014, as compared to the increase of 1.6% for the three months ended March 31, 2013, was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

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

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

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

Net Income/Loss

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

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

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

ProShares Ultra Euro

Fund Performance

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

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

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Euro versus the U.S. Dollar. There was no net change in outstanding Shares from December 31, 2013 to March 31, 2014. By comparison, during the three months ended March 31, 2013, the

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decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Euro versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to March 31, 2013.

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

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on March 18, 2014 at $26.63 per Share and reached its low for the period on January 31, 2014 at $24.99 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on February 1, 2013 at $26.03 per Share and reached its low for the period on March 27, 2013 at $22.71 per Share.

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

Net Income/Loss

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

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

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

ProShares Ultra Yen

Fund Performance

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

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

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During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2013 to March 31, 2014. By comparison, during the three months ended March 31, 2013 the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2012 to March 31, 2013.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV increase of 3.6% for the three months ended March 31, 2014, as compared to the decrease of 15.6% for the three months ended March 31, 2013, was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on February 3, 2014 at $20.21 per Share and reached its low for the period on January 9, 2014 at $18.80 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 8, 2013 at $27.97 per Share and reached its low for the period on March 11, 2013 at $22.76 per Share.

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

Net Income/Loss

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

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

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

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ProShares VIX Short-Term Futures ETF*

Fund Performance

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

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

During the three months ended March 31, 2014, the decrease in the Fund’s NAV resulted primarily from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index. The decrease in the Fund’s NAV also resulted in part from a decrease from 9,474,812 outstanding Shares at December 31, 2013 to 4,174,812 outstanding Shares at March 31, 2014. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted from an increase from 1,640,001 outstanding Shares at December 31, 2012 to 4,035,001 outstanding Shares at March 31, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 1.2% for the three months ended March 31, 2014, as compared to the decrease of 35.5% for the three months ended March 31, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $36.25 per Share and reached its low for the period on January 22, 2014 at $26.66 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $76.10 per Share and reached its low for the period on March 26, 2013 at $54.10 per Share.

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

Net Income/Loss

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

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

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

* | See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share split for the ProShares VIX Short-Term Futures ETF.

ProShares VIX Mid-Term Futures ETF

Fund Performance

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

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

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

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 4.2% for the three months ended March 31, 2014, as compared to the decrease of 23.8% for the three months ended March 31, 2013, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $21.39 per Share and reached its low for the period on February 18, 2014 at $18.36 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $32.37 per Share and reached its low for the period on March 11, 2013 at $26.14 per Share.

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

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Net Income/Loss

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

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

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

ProShares Ultra VIX Short-Term Futures ETF*

Fund Performance

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

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

During the three months ended March 31, 2014, the increase in the Fund’s NAV resulted from an increase from 3,372,389 outstanding Shares at December 31, 2013 to 5,270,099 outstanding Shares at March 31, 2014. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index. By comparison, during the three months ended March 31, 2013, the increase in the Fund’s NAV resulted from an increase from 105,202 outstanding Shares at December 31, 2012 to 1,136,452 outstanding Shares at March 31, 2013. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 10.1% for the three months ended March 31, 2014, as compared to the decrease of 62.4% for the three months ended March 31, 2013, was primarily due to lesser depreciation in the value of the assets of the Fund during the three months ended March 31, 2014.

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During the three months ended March 31, 2014, the Fund’s per Share NAV reached its high for the period on February 5, 2014 at $104.52 per Share and reached its low for the period on January 22, 2014 at $58.37 per Share. By comparison, during the three months ended March 31, 2013, the Fund’s per Share NAV reached its high for the period on January 3, 2013 at $652.40 per Share and reached its low for the period on March 26, 2013 at $302.80 per Share.

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

Net Income/Loss

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

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

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

* | See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the reverse Share splits for the ProShares Ultra VIX Short-Term Futures ETF.

ProShares Short VIX Short-Term Futures ETF*

Fund Performance

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

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

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

For the three months ended March 31, 2014 and 2013, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark. The Fund’s per Share NAV decrease of 8.4% for the three months ended March 31, 2014, as compared to the increase of 39.4% for the three months ended March 31, 2013, was primarily due to depreciation in the value of the assets of the fund during the three months ended March 31, 2014.

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

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

Net Income/Loss

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

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

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

* | See Note 1 of the Notes to Financial Statements in Item 1 of Part I in this Quarterly Report on Form 10-Q regarding the Share split for the ProShares Short VIX Short-Term Futures ETF.

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

Quantitative Disclosure

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of March 31, 2014 and 2013, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares UltraShort DJ-UBS Commodity:

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

Swap Agreements as of March 31, 2014

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

Swap Agreements as of March 31, 2013

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

The March 31, 2014 and 2013 short swap notional values are calculated by multiplying units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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.

ProShares UltraShort DJ-UBS Crude Oil:

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

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Futures Positions as of March 31, 2014

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

Swap Agreements as of March 31, 2014

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

Futures Positions as of March 31, 2013

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

Swap Agreements as of March 31, 2013

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

The March 31, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2014 and 2013 short swap notional values are calculated by multiplying the number of units times the closing level of the Index. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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.

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ProShares UltraShort DJ-UBS Natural Gas:

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

Futures Positions as of March 31, 2014

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

Futures Positions as of March 31, 2013

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

The March 31, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Gold:

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

Futures Positions as of March 31, 2014

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

Forward Agreements as of March 31, 2014

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

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Futures Positions as of March 31, 2013

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

Forward Agreements as of March 31, 2013

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

The March 31, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2014 and 2013 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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 March 31, 2014 and 2013, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2014 and 2013, which were sensitive to commodity price risk.

Futures Positions as of March 31, 2014

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

Forward Agreements as of March 31, 2014

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

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Futures Positions as of March 31, 2013

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

Forward Agreements as of March 31, 2013

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

The March 31, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2014 and 2013 short forward notional values equal units multiplied by the forward price. These short notional values will increase (decrease) proportionally with (decreases) increases in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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 DJ-UBS Commodity:

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

Swap Agreements as of March 31, 2014

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

Swap Agreements as of March 31, 2013

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

The March 31, 2014 and 2013 swap notional values are calculated by multiplying units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will

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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 DJ-UBS Crude Oil:

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

Futures Positions as of March 31, 2014

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

Swap Agreements as of March 31, 2014

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

Futures Positions as of March 31, 2013

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

Swap Agreements as of March 31, 2013

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

The March 31, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2014 and 2013 swap notional values are calculated by multiplying the number of units times the closing level of the Index. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent

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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 DJ-UBS Natural Gas:

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

Futures Positions as of March 31, 2014

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

Futures Positions as of March 31, 2013

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

The March 31, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares Ultra Gold:

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

Futures Positions as of March 31, 2014

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

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Forward Agreements as of March 31, 2014

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

Futures Positions as of March 31, 2013

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

Forward Agreements as of March 31, 2013

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

The March 31, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2014 and 2013 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Index for every $1.00 of net assets. While the above information properly represents the then current commodity price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

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

Futures Positions as of March 31, 2014

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

Forward Agreements as of March 31, 2014

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

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Futures Positions as of March 31, 2013

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

Forward Agreements as of March 31, 2013

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

The March 31, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The March 31, 2014 and 2013 forward notional values equal units multiplied by the forward price. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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 March 31, 2014 and 2013, each of the Currency Fund’s positions were as follows:

ProShares Short Euro:

As of March 31, 2014 and 2013, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2014

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

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Futures Positions as of March 31, 2013

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

The March 31, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $1.00 of short exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

ProShares UltraShort Australian Dollar:

As of March 31, 2014 and 2013, the ProShares UltraShort Australian Dollar Fund was exposed to inverse exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2014

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

Futures Positions as of March 31, 2013

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

The March 31, 2014 and 2013 short futures notional value is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional value will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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.

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ProShares UltraShort Euro:

As of March 31, 2014 and 2013, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2014

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

Foreign Currency Forward Contracts as of March 31, 2013

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

The March 31, 2014 and 2013 USD market values equal the number of Euros multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of short exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Yen:

As of March 31, 2014 and 2013, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2014

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

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Foreign Currency Forward Contracts as of March 31, 2013

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

The March 31, 2014 and 2013 USD market values equal the number of Yen multiplied by the forward rate. These short notional values will increase (decrease) proportionally with decreases (increases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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 March 31, 2014 and 2013, the ProShares Ultra Australian Dollar Fund was exposed to exchange rate price risk through its holdings of AUD/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

Futures Positions as of March 31, 2014

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

Futures Positions as of March 31, 2013

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

The March 31, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Australian Dollar for every $1.00 of net assets. While the

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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.

ProShares Ultra Euro:

As of March 31, 2014 and 2013, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of March 31, 2014

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

Foreign Currency Forward Contracts as of March 31, 2013

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

The March 31, 2014 and 2013 USD market value equals the number of Euros multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have $2.00 of exposure to the Euro for every $1.00 of net assets. While the above information properly represents the then current exchange rate price risk and is adequate for estimating the following day’s gains or losses, estimates of future values over longer periods should take the Fund’s daily rebalancing efforts into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the appreciation or depreciation of the Euro and multiplying by two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Yen:

As of March 31, 2014 and 2013, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of March 31, 2014 and 2013, which were sensitive to exchange rate price risk.

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Foreign Currency Forward Contracts as of March 31, 2014

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

Foreign Currency Forward Contracts as of March 31, 2013

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

The March 31, 2014 and 2013 USD market values equal the number of Yen multiplied by the forward rate. These notional values will increase (decrease) proportionally with increases (decreases) in the forward price. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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 March 31, 2014 and 2013, each of the VIX Funds’ positions were as follows:

ProShares VIX Short-Term Futures ETF

As of March 31, 2014 and 2013, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2014

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

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Futures Positions as of March 31, 2013

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

The March 31, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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 March 31, 2014 and 2013, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2014

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

Futures Positions as of March 31, 2013

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

The March 31, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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.

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ProShares Ultra VIX Short-Term Futures ETF

As of March 31, 2014 and 2013, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following tables provide information about the Fund’s positions in these VIX futures contracts as of March 31, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2014

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

Futures Positions as of March 31, 2013

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

The March 31, 2014 and 2013 futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. These notional values will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional gains (losses) associated with these contracts will be equal to any such subsequent increases (decreases) in notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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 March 31, 2014 and 2013, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of March 31, 2014 and 2013, which were sensitive to equity market volatility risk.

Futures Positions as of March 31, 2014

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

Futures Positions as of March 31, 2013

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

The March 31, 2014 and 2013 short futures notional values are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional values will increase (decrease) proportionally with decreases (increases) in the price of the futures contract. Additional gains (losses) associated with these contracts will be equal to any such subsequent decreases (increases) in short notional values, before accounting for spreads or transaction or financing costs. The Fund will generally attempt to adjust its positions in Financial 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

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into account. Future period returns, before fees and expenses, cannot be estimated simply by estimating the return of the Index and multiplying by negative one. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than a single day.

Qualitative Disclosure

As described above in Item 2 of this Quarterly Report on Form 10-Q, it is the investment objective of each Geared Fund to seek daily investment results, before fees and expenses, which correspond to a multiple, the inverse or an inverse multiple of the daily performance, whether positive or negative, of its corresponding benchmark. Each Short Fund seeks daily investment results (before fees and expenses) that correspond to the inverse (-1x) of the daily performance of its corresponding benchmark. Each UltraShort Fund seeks daily investment results (before fees and expenses) that correspond to two times the inverse (-2x) of the daily performance of its corresponding benchmark. Each Ultra Fund seeks daily investment results (before fees and expenses) that correspond to two times (2x) the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results (before fees and expenses), both over a single day and over time, that match the performance of a benchmark. The Geared Funds do not seek to achieve these stated investment objectives over a period of time greater than a single day because mathematical compounding prevents the Geared Funds from achieving such results. Performance over longer periods of time will be influenced not only by the cumulative period performance of the corresponding benchmark but equally by the intervening volatility of the benchmark as well as fees and expenses, including costs associated with the use of Financial Instruments such as financing costs and trading spreads. 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 DJ-UBS Crude Oil and the ProShares Ultra DJ-UBS Crude Oil Funds are exposed to are inverse and direct exposure, respectively, to the price of crude oil as measured by the return of holding and periodically rolling crude oil futures contracts (the Dow Jones-UBS Commodity Index and its sub-indexes are based on the price of rolling futures positions, rather than on the cash price for immediate delivery of the corresponding commodity).

Each Fund’s exposure to market risk is further influenced by a number of factors, including the liquidity of the markets in which the contracts are traded and the relationships among the contracts held. The inherent uncertainty of each Fund’s trading as well as the development of drastic market occurrences could ultimately lead to a loss of all or substantially all of investors’ capital.

As described above in Item 2 of this Quarterly Report on Form 10-Q, trading in certain futures contracts or forward agreements involves each Fund entering into contractual commitments to purchase or sell a commodity underlying a Fund’s benchmark at a specified date and price, should it hold such futures contracts or forward agreements into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it is required to make delivery of that commodity at the contract price and then repurchase the contract at prevailing market prices or settle in cash. Since the repurchase price to which the value of a commodity can rise is unlimited, entering into commitments to sell commodities would expose a Fund to theoretically unlimited risk.

Commodity Price Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Commodity Index Funds or the Commodity Funds, several factors may affect the price of a commodity underlying a Commodity Index Fund or a Commodity Fund, and in turn, the Financial Instruments and other assets, if any, owned by such a Fund. The impact of changes in the price of a physical commodity or of a commodity index

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

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

Exchange Rate Sensitivity

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

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

Equity Market Volatility Sensitivity

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

Managing Market Risks

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

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

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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 March 31, 2014, including providing reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the 1934 Act on behalf of the Trust and the Funds is recorded, processed, summarized and reported, within the time periods specified in the applicable rules and forms, and that such information is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended March 31, 2014, that have materially affected, or are reasonably likely to materially affect, the Trust’s or the Funds’ internal control over financial reporting.

Certifications

The certifications by the Principal Executive Officer and Principal Financial Officer of the Trust required by Section 302 and Section 906 of the Sarbanes-Oxley Act of 2002, which are filed or furnished as exhibits to this Quarterly Report on Form 10-Q, apply both to the Trust taken as a whole and each Fund, and the Principal Executive Officer and Principal Financial Officer of the Trust are certifying both as to the Trust taken as a whole and each Fund.

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Part II. OTHER INFORMATION

Item 1. | Legal Proceedings.

None.

Item 1A. | Risk Factors.

There has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form 10-K for the year ended for the year ended December 31, 2013, filed on March 3, 2014, as amended.

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

| (a) | None.

| (b) | The Trust initially registered Shares on its Registration Statement on Form S-1 (No. 333-146801), which was declared effective on November 21, 2008, and registered additional Shares on its Registration Statement on Form S-1 (No. 333- 156888), which was declared effective on February 13, 2009. The Trust terminated these two offerings before the sale of all registered Shares and re-allocated the remaining amount of the registered Shares among the Funds listed on its Registration Statement on Form S-3 (No. 333-163511), which became effective on December 4, 2009. It then registered additional Shares and/or added Funds pursuant to post-effective amendments to that Registration Statement on Form S-3, which became effective on May 28, 2010, November 5, 2010, December 23, 2010 and April 13, 2011, as well as on a Registration Statement on Form S-1 (No. 333-178707), which became effective on June 25, 2012. On June 26, 2012, a post-effective amendment to the Registration Statement on Form S-3 (No. 333-163511) was declared effective, which registered additional Shares for ProShares Ultra DJ-UBS Crude Oil and terminated the offerings for certain publicly offered Funds and certain Funds that had never been publicly offered. New offerings for those Funds that had been publicly offered were registered on an accompanying Registration Statement on Form S-1 (No. 333-176878), which was also declared effective on June 26, 2012. On September 24, 2012, a Registration Statement on Form S-1 (No. 333-183672) was declared effective, which registered additional Shares for ProShares Ultra VIX Short-Term Futures ETF, ProShares VIX Short-Term Futures ETF and ProShares Short VIX Short-Term Futures ETF. This registration statement (No. 333- 183672) was a combined prospectus and acted as a post-effective amendment to the Form S-1 (No. 333-176878). On September 27, 2012, a Registration Statement on Form S-3 (No. 333-183674) was declared effective, which registered additional Shares for ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil and ProShares UltraShort Euro. This registration statement was a combined prospectus and acted as a post-effective amendment to the Form S-3 (No. 333-163511). On September 28, 2012, a post-effective amendment to a Registration Statement on Form S-1 (333-178707) was declared effective, terminating the proposed offerings of several unlaunched currency funds. On January 30, 2013, a Registration Statement on Form S-1 (No. 333-185288) was declared effective. That registration statement, which registered additional Shares to ProShares Short VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statements (File Nos. 333-183672 and 333-178707). Also, on January 30, 2013, a Registration Statement on Form S-3 (File No. 333-185289) was declared effective. That registration statement, which registered additional Shares to ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort Euro, ProShares Ultra VIX Short-Term Futures ETF and ProShares VIX Short-Term Futures ETF, acted as a combined prospectus and post-effective amendment to the Trust’s Form S-1 Registration Statement (No. 333-193672) and Form S-3 Registration Statement (No. 333-183674). On April 24, 2013, a post-effective amendment to the Form S-1 Registration Statement (333-185288) was declared effective, terminating the registered but unlaunched offerings related to: ProShares UltraPro Short Euro, ProShares Managed Futures Strategy and ProShares Commodity Managed Futures Strategy. On April 29, 2013, a Registration Statement on Form S-3 (333-187820) was declared effective, which registered additional Shares for ProShares Ultra DJ-UBS Crude Oil,

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

Substantially all of the proceeds received by each Fund from the issuance and sale of Shares to Authorized Participants are used by each Fund to enter into Financial Instruments relating to that Fund’s benchmark in combination with cash or cash equivalents and/or U.S. Treasury Securities or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds and collateralized repurchase agreements) that may be used to collateralize swap agreements or forward contracts or deposited with FCMs as margin in connection with any futures transactions. Each Geared Fund continuously offers and redeems its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems Shares in blocks of 25,000 Shares.

Title of Securities Registered |  | Amount Registered As of March 31, 2014 |  |  | Shares Sold For the Three Months Ended March 31, 2014 |  |  | Sale Price of Shares Sold For the Three Months Ended March 31, 2014 |
ProShares UltraShort DJ-UBS Commodity Common Units of Beneficial Interest |  | $ | 500,000,000 |  |  |  | — |  |  | $ | — |
ProShares UltraShort DJ-UBS Crude Oil Common Units of Beneficial Interest |  | $ | 3,275,000,000 |  |  |  | 7,700,000 |  |  | $ | 231,318,912 |
ProShares UltraShort DJ-UBS Natural Gas Common Units of Beneficial Interest |  | $ | 570,000,000 |  |  |  | 2,100,000 |  |  | $ | 89,514,809 |
ProShares UltraShort Gold Common Units of Beneficial Interest |  | $ | 1,000,000,000 |  |  |  | 300,000 |  |  | $ | 27,505,358 |
ProShares UltraShort Silver Common Units of Beneficial Interest |  | $ | 2,700,000,000 |  |  |  | 550,000 |  |  | $ | 41,391,244 |
ProShares Short Euro Common Units of Beneficial Interest |  | $ | 200,000,000 |  |  |  | — |  |  | $ | — |
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest |  | $ | 200,000,000 |  |  |  | — |  |  | $ | — |
ProShares UltraShort Euro Common Units of Beneficial Interest |  | $ | 2,753,506,872 |  |  |  | 200,000 |  |  | $ | 3,360,054 |
ProShares UltraShort Yen Common Units of Beneficial Interest |  | $ | 1,800,000,000 |  |  |  | 150,000 |  |  | $ | 9,974,148 |
ProShares Ultra DJ-UBS Commodity Common Units of Beneficial Interest |  | $ | 300,000,000 |  |  |  | — |  |  | $ | — |
ProShares Ultra DJ-UBS Crude Oil Common Units of Beneficial Interest |  | $ | 4,408,246,073 |  |  |  | 4,350,000 |  |  | $ | 127,214,584 |
ProShares Ultra DJ-UBS Natural Gas Common Units of Beneficial Interest |  | $ | 680,000,000 |  |  |  | 200,000 |  |  | $ | 9,133,238 |
ProShares Ultra Gold Common Units of Beneficial Interest |  | $ | 1,000,000,000 |  |  |  | 100,000 |  |  | $ | 4,708,180 |
ProShares Ultra Silver Common Units of Beneficial Interest |  | $ | 3,300,000,000 |  |  |  | 787,500 |  |  | $ | 53,059,528 |
ProShares Ultra Australian Dollar Common Units of Beneficial Interest |  | $ | 200,000,000 |  |  |  | — |  |  | $ | — |
ProShares Ultra Euro Common Units of Beneficial Interest |  | $ | 500,000,000 |  |  |  | — |  |  | $ | — |
ProShares Ultra Yen Common Units of Beneficial Interest |  | $ | 500,000,000 |  |  |  | — |  |  | $ | — |
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest |  | $ | 3,250,000,000 |  |  |  | 1,475,000 |  |  | $ | 42,065,649 |
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest |  | $ | 1,300,000,000 |  |  |  | 1,100,000 |  |  | $ | 21,263,524 |
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest |  | $ | 8,000,000,000 |  |  |  | 4,775,000 |  |  | $ | 322,232,448 |
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest |  | $ | 2,750,000,000 |  |  |  | 2,850,000 |  |  | $ | 162,438,045 |
Total: |  | $ | 39,186,752,945 |  |  |  | 26,637,500 |  |  | $ | 1,145,179,721 |

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| (c) | From January 1, 2014 to March 31, 2014, the number of Shares redeemed and average price per Share for each Fund were as follows:

Fund |  | Total Number of Shares Redeemed |  |  | Average Price Per Share |
ProShares UltraShort DJ-UBS Commodity |  |  |  |  |  |  |  |
01/01/14 to 01/31/14 |  |  | — |  |  | $ | — |
02/01/14 to 02/28/14 |  |  | — |  |  | $ | — |
03/01/14 to 03/31/14 |  |  | — |  |  | $ | — |
ProShares UltraShort DJ-UBS Crude Oil |  |  |  |  |  |  |  |
01/01/14 to 01/31/14 |  |  | 2,850,000 |  |  | $ | 34.98 |
02/01/14 to 02/28/14 |  |  | — |  |  | $ | — |
03/01/14 to 03/31/14 |  |  | 1,750,000 |  |  | $ | 30.42 |
ProShares UltraShort DJ-UBS Natural Gas |  |  |  |  |  |  |  |
01/01/14 to 01/31/14 |  |  | — |  |  | $ | — |
02/01/14 to 02/28/14 |  |  | 400,000 |  |  | $ | 42.82 |
03/01/14 to 03/31/14 |  |  | 350,000 |  |  | $ | 44.71 |
ProShares UltraShort Gold |  |  |  |  |  |  |  |
01/01/14 to 01/31/14 |  |  | 250,000 |  |  | $ | 95.73 |
02/01/14 to 02/28/14 |  |  | 100,000 |  |  | $ | 89.97 |
03/01/14 to 03/31/14 |  |  | — |  |  | $ | — |
ProShares UltraShort Silver |  |  |  |  |  |  |  |
01/01/14 to 01/31/14 |  |  | 550,000 |  |  | $ | 90.12 |
02/01/14 to 02/28/14 |  |  | 150,000 |  |  | $ | 75.66 |
03/01/14 to 03/31/14 |  |  | 250,000 |  |  | $ | 78.39 |
ProShares Short Euro |  |  |  |  |  |  |  |
01/01/14 to 01/31/14 |  |  | 50,000 |  |  | $ | 35.85 |
02/01/14 to 02/28/14 |  |  | — |  |  | $ | — |
03/01/14 to 03/31/14 |  |  | — |  |  | $ | — |
ProShares UltraShort Australian Dollar |  |  |  |  |  |  |  |
01/01/14 to 01/31/14 |  |  | 50,000 |  |  | $ | 46.14 |
02/01/14 to 02/28/14 |  |  | — |  |  | $ | — |
03/01/14 to 03/31/14 |  |  | 50,000 |  |  | $ | 44.66 |
ProShares UltraShort Euro |  |  |  |  |  |  |  |
01/01/14 to 01/31/14 |  |  | 450,000 |  |  | $ | 17.39 |
02/01/14 to 02/28/14 |  |  | — |  |  | $ | — |
03/01/14 to 03/31/14 |  |  | — |  |  | $ | — |
ProShares UltraShort Yen |  |  |  |  |  |  |  |
01/01/14 to 01/31/14 |  |  | 1,900,000 |  |  | $ | 68.66 |
02/01/14 to 02/28/14 |  |  | 300,000 |  |  | $ | 66.02 |
03/01/14 to 03/31/14 |  |  | 250,000 |  |  | $ | 66.38 |
ProShares Ultra DJ-UBS Commodity |  |  |  |  |  |  |  |
01/01/14 to 01/31/14 |  |  | — |  |  | $ | — |
02/01/14 to 02/28/14 |  |  | — |  |  | $ | — |
03/01/14 to 03/31/14 |  |  | — |  |  | $ | — |

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

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Item 3. | Defaults Upon Senior Securities.

None.

Item 4. | Mine Safety Disclosures.

Not applicable.

Item 5. | Other Information.

None.

Item 6. | Exhibits.

Exhibit No. |  | Description of Document
31.1 |  | Certification by Principal Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
31.2 |  | Certification by Principal Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002(1)
32.1 |  | Certification by Principal Executive Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(2)
32.2 |  | Certification by Principal Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002(2)
101.INS |  | XBRL Instance Document(3)
101.SCH |  | XBRL Taxonomy Extension Schema(3)
101.CAL |  | XBRL Taxonomy Extension Calculation Linkbase(3)
101.DEF |  | XBRL Taxonomy Extension Definition Linkbase(3)
101.LAB |  | XBRL Taxonomy Extension Label Linkbase(3)
101.PRE |  | XBRL Taxonomy Extension Presentation Linkbase(3)

(1) | Filed herewith.

(2) | Furnished herewith.

(3) | In accordance with Rule 402 of Regulation S-T, the information in these exhibits is furnished and deemed not filed or part of a registration statement or prospectus for purposes of Sections 11 and 12 of the Securities Act of 1933, is deemed not filed for purposes of Section 18 of the Securities Exchange Act of 1934, and otherwise is not subject to liability under these sections.

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SIGNATURES

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

PROSHARES TRUST II
/s/ Todd Johnson
By: Todd Johnson
Principal Executive Officer
Date: May 12, 2014
/s/ Edward Karpowicz
By: Edward Karpowicz
Principal Financial Officer
Date: May 12, 2014