NOTE 3 – INVESTMENTS

Short-Term Investments

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

Accounting for Derivative Instruments

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

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

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

Futures Contracts

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

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

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

Swap Agreements

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

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

The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the counterparty in a segregated account by the Funds’ Custodian. The net amount of the excess, if any, of each Fund’s entitlements over its obligations with respect to each uncleared swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate value at least equal to such accrued excess is maintained for the benefit of the Fund in a segregated account by the Fund’s Custodian. Until a swap agreement is settled in cash, the gain or loss on the notional amount less any transaction costs or trading spreads payable by each Fund on the notional amount are recorded as “unrealized appreciation or depreciation on swap agreements” and, when cash is exchanged, the gain or loss realized is recorded as “realized gains or losses on swap agreements.” Swap agreements are generally valued at the last settled price of the benchmark referenced asset.

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

Swap agreements involve, to varying degrees, elements of market risk and exposure to loss in excess of the unrealized gain/loss reflected. The notional amounts reflect the extent of the total investment exposure each Fund has under the swap agreement, which may exceed the NAV of each Fund. Additional risks associated with the use of swap agreements are imperfect correlations between movements in the notional amount and the price of the underlying reference index and the inability of counterparties to perform. Each Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a swap agreement counterparty. A Fund will typically enter into swap agreements only with major global financial institutions. The creditworthiness of each of the firms that is a party to a swap agreement is monitored by the Sponsor. The Sponsor may use various techniques to minimize credit risk including early termination and payment, using different counterparties, limiting the net amount due from any individual counterparty and generally requiring collateral to be posted by the counterparty in an amount approximately equal to that owed to the Funds. All of the outstanding swap agreements at June 30, 2014 contractually terminate within one month but may be terminated without penalty by either party daily. Upon termination, the Fund is entitled to pay or receive the “unrealized appreciation or depreciation” amount.

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks in connection with uncleared swaps by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to certain minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Funds will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of June 30, 2014, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

Forward Contracts

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

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

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

The Funds remain subject to credit risk with respect to the amount they expect to receive from counterparties. However, the Funds have sought to mitigate these risks by generally requiring that the counterparties for each Fund agree to post collateral for the benefit of the Fund, marked to market daily, in an amount approximately equal to what the counterparty owes the Fund, subject to minimum thresholds. In the event of the bankruptcy of a counterparty, the Fund will have direct access to the collateral received from the counterparty, generally as of the day prior to the bankruptcy, because there is a one day time lag between the Fund’s request for collateral and the delivery of such collateral. To the extent any such collateral is insufficient, the Fund will be exposed to counterparty risk as described above, including the possible delays in recovering amounts as a result of bankruptcy proceedings. As of June 30, 2014, the collateral posted by counterparties consisted of cash and/or U.S. Treasury securities.

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

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

Fair Value of Derivative Instruments

as of June 30, 2014

Asset Derivatives

Liability Derivatives

Derivatives not
accounted for
as hedging
instruments

Statements of

Financial

Condition

Location

Fund

Unrealized
Appreciation

Statements of

Financial

Condition

Location

Fund

Unrealized
Depreciation

Commodities Contracts

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

ProShares UltraShort Bloomberg Natural Gas

2,467,844

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

ProShares UltraShort Bloomberg Commodity

49,719

ProShares Ultra Bloomberg Commodity

14,121

ProShares UltraShort Bloomberg Crude Oil

21,273,793

ProShares Ultra Bloomberg Crude Oil

5,234,134

ProShares UltraShort Gold

10,588,348

ProShares Ultra Gold

13,232,735

ProShares UltraShort Silver

10,580,123

ProShares Ultra Silver

86,910,666

ProShares Ultra Bloomberg Commodity

5,077

ProShares Ultra Bloomberg Natural Gas

1,410,765

Foreign Exchange Contracts

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

ProShares UltraShort Euro

327,971

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

ProShares Short Euro

111,159

ProShares UltraShort Yen

480,205

ProShares UltraShort Australian Dollar

362,840

ProShares Ultra Australian Dollar

63,500

ProShares UltraShort Euro

5,915,312

ProShares Ultra Euro

31,105

ProShares UltraShort Yen

10,127,815

ProShares Ultra Yen

76,915

ProShares Ultra Euro

378

ProShares Ultra Yen

24,196

VIX Futures Contracts

Receivables on open futures contracts

ProShares Short VIX Short-Term Futures ETF

8,920,627

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

6,613,486

ProShares VIX Mid-Term Futures ETF

3,495,050

ProShares Ultra VIX Short-Term Futures ETF

40,533,346

Total Trust

117,759,823

Total Trust

111,091,407

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

Fair Value of Derivative Instruments

as of December 31, 2013

Asset Derivatives

Liability Derivatives

Derivatives not
accounted for
as hedging
instruments

Statements of

Financial

Condition

Location

Fund

Unrealized
Appreciation

Statements of

Financial

Condition

Location

Fund

Unrealized
Depreciation

Commodities Contracts

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

ProShares UltraShort Bloomberg Natural Gas

1,042,300

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

ProShares UltraShort Bloomberg Commodity

27,665

ProShares UltraShort Gold

5,647,573

ProShares UltraShort Bloomberg Crude Oil

3,565,673

ProShares UltraShort Silver

14,200

ProShares UltraShort Silver

2,227,857

ProShares Ultra Bloomberg Commodity

15,078

ProShares Ultra Bloomberg Natural Gas

3,656,539

ProShares Ultra Bloomberg Crude Oil

2,584,554

ProShares Ultra Gold

6,827,534

ProShares Ultra Silver

2,507,080

Foreign Exchange Contracts

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

ProShares UltraShort Australian Dollar

917,605

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

ProShares Short Euro

33,231

ProShares UltraShort Euro

151,351

ProShares UltraShort Euro

13,899,858

ProShares UltraShort Yen

31,317,568

ProShares UltraShort Yen

1,930,884

ProShares Ultra Euro

120,908

ProShares Ultra Australian Dollar

118,220

ProShares Ultra Yen

4,052

ProShares Ultra Euro

19,946

ProShares Ultra Yen

163,361

VIX Futures Contracts

Receivables on open futures contracts

ProShares Short VIX Short-Term Futures ETF

8,116,955

Payable on open futures contracts

ProShares VIX Short-Term Futures ETF

16,652,686

ProShares VIX Mid-Term Futures ETF

4,896,689

ProShares Ultra VIX Short-Term Futures ETF

24,009,911

Total Trust

49,932,144

Total Trust

80,537,134

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

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 30, 2014


Derivatives not accounted for as hedging instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity	$	130,061		$	(151,988	)
		ProShares UltraShort Bloomberg Crude Oil		(31,567,008	)		(14,316,548	)
		ProShares UltraShort Bloomberg Natural Gas		(1,970,509	)		(2,011,476	)
		ProShares UltraShort Gold		13,875,395			(19,136,970	)
		ProShares UltraShort Silver		12,455,116			(18,328,033	)
		ProShares Ultra Bloomberg Commodity		(160,396	)		123,172
		ProShares Ultra Bloomberg Crude Oil		9,814,101			2,164,869
		ProShares Ultra Bloomberg Natural Gas		162,451			440,646
		ProShares Ultra Gold		(21,489,136	)		25,259,667
		ProShares Ultra Silver		(106,239,950	)		145,054,357

Foreign Exchange Contracts	Net realized gain (loss) on futures contracts and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures contracts and/or foreign currency forward contracts	ProShares Short Euro		225,122			(159,059	)
		ProShares UltraShort Australian Dollar		(1,846,929	)		859,039
		ProShares UltraShort Euro		5,886,956			(1,863,031	)
		ProShares UltraShort Yen		268,536			(14,493,994	)
		ProShares Ultra Australian Dollar		285,670			(129,485	)
		ProShares Ultra Euro		(40,251	)		9,743
		ProShares Ultra Yen		(11,079	)		93,948

VIX Futures Contracts	Net realized gain (loss) on futures contracts/ changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(41,227,047	)		(1,586,521	)
		ProShares VIX Mid-Term Futures ETF		(6,666,419	)		(1,487,840	)
		ProShares Ultra VIX Short-Term Futures ETF		(247,176,983	)		(10,831,519	)
		ProShares Short VIX Short-Term Futures ETF		73,536,615			837,428


		Total Trust	$	(341,755,684	)	$	90,346,405

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 30, 2013


Derivatives not accounted for as hedging instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity	$	150,169		$	505,167
		ProShares UltraShort Bloomberg Crude Oil		1,025,654			9,878,372
		ProShares UltraShort Bloomberg Natural Gas		(834,719	)		5,826,227
		ProShares UltraShort Gold		20,858,050			55,074,622
		ProShares UltraShort Silver		51,615,327			40,886,777
		ProShares Ultra Bloomberg Commodity		(274,078	)		(586,322	)
		ProShares Ultra Bloomberg Crude Oil		20,733,669			(22,057,265	)
		ProShares Ultra Bloomberg Natural Gas		9,153,747			(19,990,856	)
		ProShares Ultra Gold		(68,008,649	)		(62,970,484	)
		ProShares Ultra Silver		(322,610,723	)		(168,439,871	)

Foreign Exchange Contracts	Net realized gain (loss) on futures contracts and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures contracts and/or foreign currency forward contracts	ProShares Short Euro		(67,938	)		5,900
		ProShares UltraShort Australian Dollar		1,793,067			1,508,211
		ProShares UltraShort Euro		(8,147,050	)		(8,918,725	)
		ProShares UltraShort Yen		48,138,405			(6,860,712	)
		ProShares Ultra Australian Dollar		(590,630	)		(332,037	)
		ProShares Ultra Euro		36,991			96,965
		ProShares Ultra Yen		(456,601	)		80,626

VIX Futures Contracts	Net realized gain (loss) on futures contracts and swap agreements/ changes in unrealized appreciation/ depreciation on futures contracts and swap agreements	ProShares VIX Short-Term Futures ETF		11,156,344			9,582,597
		ProShares VIX Mid-Term Futures ETF		(2,486,914	)		7,458,863
		ProShares Ultra VIX Short-Term Futures ETF		17,763,794			21,978,092
		ProShares Short VIX Short-Term Futures ETF		(4,128,965	)		(3,022,387	)

		Total Trust	$	(225,181,050	)	$	(140,296,240	)

The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 30, 2014


Derivatives not accounted for as hedging instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity	$	(505,634	)	$	(22,054	)
		ProShares UltraShort Bloomberg Crude Oil		(43,845,009	)		(17,708,120	)
		ProShares UltraShort Bloomberg Natural Gas		(11,185,543	)		1,425,544
		ProShares UltraShort Gold		(8,274,292	)		(16,235,921	)
		ProShares UltraShort Silver		(159,289	)		(8,366,466	)
		ProShares Ultra Bloomberg Commodity		376,946			(6,034	)
		ProShares Ultra Bloomberg Crude Oil		31,007,769			2,649,580
		ProShares Ultra Bloomberg Natural Gas		16,965,826			2,245,774
		ProShares Ultra Gold		1,944,484			20,060,269
		ProShares Ultra Silver		(32,284,378	)		89,417,746

Foreign Exchange Contracts	Net realized gain (loss) on futures contracts and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures contracts and/or foreign currency forward contracts	ProShares Short Euro		158,534			(77,928	)
		ProShares UltraShort Australian Dollar		(1,925,538	)		(1,280,445	)
		ProShares UltraShort Euro		(6,295,085	)		8,161,166
		ProShares UltraShort Yen		165,806			(39,034,294	)
		ProShares Ultra Australian Dollar		258,243			181,720
		ProShares Ultra Euro		44,885			(70,235	)
		ProShares Ultra Yen		(21,596	)		212,028

VIX Futures Contracts	Net realized gain (loss) on futures contracts/ changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(25,447,340	)		10,039,200
		ProShares VIX Mid-Term Futures ETF		(12,064,321	)		1,401,639
		ProShares Ultra VIX Short-Term Futures ETF		(250,723,287	)		(16,523,435	)
		ProShares Short VIX Short-Term Futures ETF		76,268,051			803,672


		Total Trust	$	(265,540,768	)	$	37,273,406

The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 30, 2013


Derivatives not accounted for as hedging instruments	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income
Commodity Contracts	Net realized gain (loss) on futures contracts, swap and/or forward agreements/changes in unrealized appreciation/ depreciation on futures contracts, swap and/or forward agreements	ProShares UltraShort Bloomberg Commodity	$	458,667		$	263,746
		ProShares UltraShort Bloomberg Crude Oil		(5,099,504	)		8,378,263
		ProShares UltraShort Bloomberg Natural Gas		(2,608,140	)		1,920,339
		ProShares UltraShort Gold		33,741,517			48,081,834
		ProShares UltraShort Silver		80,819,839			21,821,880
		ProShares Ultra Bloomberg Commodity		(782,975	)		(165,007	)
		ProShares Ultra Bloomberg Crude Oil		87,297,994			(50,795,208	)
		ProShares Ultra Bloomberg Natural Gas		14,901,941			(2,129,288	)
		ProShares Ultra Gold		(118,423,854	)		(38,079,366	)
		ProShares Ultra Silver		(538,299,271	)		(30,793,633	)

Foreign Exchange Contracts	Net realized gain (loss) on futures contracts and/or foreign currency forward contracts/changes in unrealized appreciation/ depreciation on futures contracts and/or foreign currency forward contracts	ProShares Short Euro		(75,938	)		122,669
		ProShares UltraShort Australian Dollar		1,905,097			1,313,051
		ProShares UltraShort Euro		(11,096,730	)		17,894,296
		ProShares UltraShort Yen		145,024,702			(42,242,261	)
		ProShares Ultra Australian Dollar		(739,905	)		(108,077	)
		ProShares Ultra Euro		(28,371	)		(124,190	)
		ProShares Ultra Yen		(1,674,572	)		504,360

VIX Futures Contracts	Net realized gain (loss) on futures contracts and swap agreements/changes in unrealized appreciation/ depreciation on futures contracts and swap agreements	ProShares VIX Short-Term Futures ETF		(44,252,605	)		1,457,956
		ProShares VIX Mid-Term Futures ETF		(12,747,085	)		7,052,844
		ProShares Ultra VIX Short-Term Futures ETF		(104,926,279	)		882,558
		ProShares Short VIX Short-Term Futures ETF		21,075,146			753,504

		Total Trust	$	(455,530,326	)	$	(53,989,730	)

Offsetting Assets and Liabilities

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

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Financial Condition. The following table presents each Fund’s derivatives by investment type and by counterparty net of amounts available for offset under a master netting agreement and the related collateral received or pledged by the Funds as of June 30, 2014 and December 31, 2013:


Fair Values of Derivative Instruments as of June 30, 2014
	Assets						Liabilities
	Gross Amounts of Recognized Assets presented in the Statement of Financial Conditions		Gross Amounts Offset in the Statement of Financial Conditions		Net Amounts of Assets presented in the Statement of Financial Conditions		Gross Amounts of Recognized Liabilities presented in the Statement of Financial Conditions		Gross Amounts Offset in the Statement of Financial Conditions		Net Amounts of Liabilities presented in the Statement of Financial Conditions
ProShares UltraShort Bloomberg Commodity
Swap agreements	$	—	$	—	$	—	$	49,719	$	—	$	49,719
ProShares UltraShort Bloomberg Crude Oil
Futures contracts*		778,232		—		778,232		—		—		—
Swap agreements		—		—		—		16,105,152		—		16,105,152
ProShares UltraShort Bloomberg Natural Gas
Futures contracts*		—		—		—		730,316		—		730,316
ProShares UltraShort Gold
Forward agreements		—		—		—		10,583,508		—		10,583,508
Futures contracts*		—		—		—		1,000		—		1,000
ProShares UltraShort Silver
Forward agreements		—		—		—		10,563,213		—		10,563,213
Futures contracts*		780		—		780		—		—		—
ProShares Short Euro
Futures contracts*		—		—		—		49,240		—		49,240
ProShares UltraShort Australian Dollar
Futures contracts*		—		—		—		17,160		—		17,160
ProShares UltraShort Euro
Foreign currency forward contracts		327,971		—		327,971		5,915,312		—		5,915,312
ProShares UltraShort Yen
Foreign currency forward contracts		480,205		—		480,205		10,127,815		—		10,127,815
ProShares Ultra Bloomberg Commodity
Swap agreements		14,121		—		14,121		5,077		—		5,077
ProShares Ultra Bloomberg Crude Oil
Futures contracts*		—		—		—		313,787		—		313,787
Swap agreements		4,111,030		—		4,111,030		—		—		—
ProShares Ultra Bloomberg Natural Gas
Futures contracts*		111,842		—		111,842		—		—		—
ProShares Ultra Gold
Forward agreements		13,227,915		—		13,227,915		—		—		—
Futures contracts*		—		—		—		120		—		120
ProShares Ultra Silver
Forward agreements		86,902,211		—		86,902,211		—		—		—
Futures contracts*		—		—		—		575		—		575
ProShares Ultra Australian Dollar
Futures contracts*		3,080		—		3,080		—		—		—
ProShares Ultra Euro
Foreign currency forward contracts		31,105		—		31,105		378		—		378
ProShares Ultra Yen
Foreign currency forward contracts		76,915		—		76,915		24,196		—		24,196
ProShares VIX Short-Term Futures ETF
Futures contracts*		—		—		—		1,041,667		—		1,041,667
ProShares VIX Mid-Term Futures ETF
Futures contracts*		—		—		—		522,035		—		522,035
ProShares Ultra VIX Short-Term Futures ETF
Futures contracts*		—		—		—		5,702,682		—		5,702,682
ProShares Short VIX Short-Term Futures ETF
Futures contracts*		—		—		—		14,181		—		14,181

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

Asset (Liability) amounts shown in the table below represent amounts owed to (by) the Funds for the derivative-related investments at June 30, 2014. These amounts may be collateralized by cash or financial instruments, segregated for the benefit of the Funds or the counterparties, depending on whether the related contracts are in an appreciated or depreciated position at period end. Amounts shown in the column labeled “Net Amount” represent the un-collateralized portions of these amounts at period end. These amounts may be un-collateralized due to timing differences related to market movements or due to minimum thresholds for collateral movement, as further described above under the caption “Account for Derivative Instruments”.


Gross Amounts Not Offset in the Statement of Financial Condition
	Amounts of Recognized Assets / (Liabilities) presented in the Statement of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds)/the Counterparties			Net Amount
ProShares UltraShort Bloomberg Commodity
Deutsche Bank AG	$	(20,115	)	$	20,115		$	—		$	—
Goldman Sachs International		(17,081	)		17,081			—			—
UBS AG		(12,523	)		12,523			—			—
ProShares UltraShort Bloomberg Crude Oil
Deutsche Bank AG		(4,518,754	)		4,518,754			—			—
Goldman Sachs & Co.		778,232			—			—			778,232
Goldman Sachs International		(4,396,306	)		4,396,306			—			—
Societe Generale S.A.		(2,715,109	)		2,715,109			—			—
UBS AG		(4,474,983	)		4,474,983			—			—
ProShares UltraShort Bloomberg Natural Gas
Goldman Sachs & Co.		(730,316	)		—			730,316			—
ProShares UltraShort Gold
Deutsche Bank AG		(5,448,091	)		5,448,091			—			—
Goldman Sachs & Co.		(1,000	)		—			1,000			—
Goldman Sachs International		(2,015,729	)		2,015,729			—			—
Societe Generale S.A.		(1,118,143	)		1,118,143			—			—
UBS AG		(2,001,545	)		2,001,545			—			—
ProShares UltraShort Silver
Deutsche Bank AG		(5,772,553	)		5,772,553			—			—
Goldman Sachs & Co.		780			—			—			780
Goldman Sachs International		(1,869,870	)		1,869,870			—			—
Societe Generale S.A.		(959,772	)		959,772			—			—
UBS AG		(1,961,018	)		1,961,018			—			—
ProShares Short Euro
RBC Capital Markets		(49,240	)		—			49,240			—
ProShares UltraShort Australian Dollar
RBC Capital Markets		(17,160	)		—			17,160			—
ProShares UltraShort Euro
Goldman Sachs International		(2,728,154	)		2,728,154			—			—
UBS AG		(2,859,187	)		2,859,187			—			—
ProShares UltraShort Yen
Goldman Sachs International		(4,793,422	)		4,793,422			—			—
UBS AG		(4,854,188	)		4,854,188			—			—
ProShares Ultra Bloomberg Commodity
Deutsche Bank AG		7,260			—			—			7,260
Goldman Sachs International		(5,077	)		5,077			—			—
UBS AG		6,861			—			—			6,861
ProShares Ultra Bloomberg Crude Oil
Deutsche Bank AG		1,035,637			—			(1,035,637	)		—
Goldman Sachs & Co.		(313,787	)		—			313,787			—
Goldman Sachs International		1,328,164			(1,328,164	)		—			—
Societe Generale S.A.		629,911			(629,911	)		—			—
UBS AG		1,117,318			(1,117,318	)		—			—
ProShares Ultra Bloomberg Natural Gas
Goldman Sachs & Co.		111,842			—			—			111,842
ProShares Ultra Gold
Deutsche Bank AG		7,156,303			—			(7,156,303	)		—
Goldman Sachs & Co.		(120	)		—			120			—
Goldman Sachs International		2,462,460			(2,440,832	)		—			21,628
Societe Generale S.A.		1,379,253			(1,379,253	)		—			—
UBS AG		2,229,899			(2,229,899	)		—			—
ProShares Ultra Silver
Deutsche Bank AG		45,349,782			—			(45,349,782	)		—
Goldman Sachs & Co.		(575	)		—			45			(530	)
Goldman Sachs International		16,680,099			(16,680,099	)		—			—
Societe Generale S.A.		9,222,909			(9,222,909	)		—			—
UBS AG		15,649,421			(15,649,421	)		—			—
ProShares Ultra Australian Dollar
RBC Capital Markets		3,080			—			—			3,080
ProShares Ultra Euro
Goldman Sachs International		5,649			—			—			5,649
UBS AG		25,078			—			—			25,078
ProShares Ultra Yen
Goldman Sachs International		12,173			—			—			12,173
UBS AG		40,546			—			—			40,546
ProShares VIX Short-Term Futures ETF
RBC Capital Markets		(1,041,667	)		—			1,041,667			—
ProShares VIX Mid-Term Futures ETF
RBC Capital Markets		(522,035	)		—			522,035			—
ProShares Ultra VIX Short-Term Futures ETF
RBC Capital Markets		(5,702,682	)		—			5,702,682			—
ProShares Short VIX Short-Term Futures ETF
RBC Capital Markets		(14,181	)		—			14,181			—


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

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

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


Gross Amounts Not Offset in the Statement of Financial Condition
	Amounts of Recognized Assets / (Liabilities) presented in the Statement of Financial Condition			Financial Instruments for the Benefit of (the Funds) / the Counterparties			Cash Collateral for the Benefit of (the Funds) / the Counterparties			Net Amount
ProShares UltraShort Bloomberg Commodity
Deutsche Bank AG	$	(11,710	)	$	11,710		$	—		$	—
Goldman Sachs International		(12,945	)		12,945			—			—
UBS AG		(3,010	)		3,010			—			—
ProShares UltraShort Bloomberg Crude Oil
Deutsche Bank AG		(570,114	)		570,114			—			—
Goldman Sachs & Co.		1,503,943			—			—			1,503,943
Goldman Sachs International		(632,990	)		632,990			—			—
Societe Generale S.A.		(402,586	)		402,586			—			—
UBS AG		(727,210	)		727,210			—			—
ProShares UltraShort Bloomberg Natural Gas Goldman Sachs & Co.		1,520,548			—			—			1,520,548
ProShares UltraShort Gold
Deutsche Bank AG		2,258,281			—			(2,258,281	)		—
Goldman Sachs & Co.		300			—			—			300
Goldman Sachs International		1,411,290			(1,411,290	)		—			—
Societe Generale S.A.		665,044			(665,044	)		—			—
UBS AG		1,298,438			(1,298,438	)		—			—
ProShares UltraShort Silver
Deutsche Bank AG		(445,752	)		445,752			—			—
Goldman Sachs & Co.		2,450			—			—			2,450
Goldman Sachs International		(1,257,636	)		1,257,636			—			—
Societe Generale S.A.		(7,359	)		7,359			—			—
UBS AG		(517,110	)		517,110			—			—
ProShares Short Euro
RBC Capital Markets		9,100			—			—			9,100
ProShares UltraShort Australian Dollar
RBC Capital Markets		(86,166	)		—			86,166			—
ProShares UltraShort Euro
Goldman Sachs International		64,104			—			—			64,104
Goldman Sachs International		(6,820,802	)		6,820,802						—
UBS AG		87,247			—			—			87,247
UBS AG		(7,079,056	)		7,079,056			—			—
ProShares UltraShort Yen
Goldman Sachs International		15,716,318			(13,635,426	)		—			2,080,892
Goldman Sachs International		(884,849	)		884,849			—			—
UBS AG		15,601,250			(14,004,926	)		—			1,596,324
UBS AG		(1,046,035	)		1,046,035			—			—
ProShares Ultra Bloomberg Commodity
Deutsche Bank AG		6,454			—			—			6,454
Goldman Sachs International		4,974			—			—			4,974
UBS AG		3,650			—			—			3,650
ProShares Ultra Bloomberg Crude Oil
Deutsche Bank AG		622,117			—			(622,117	)		—
Goldman Sachs & Co.		(997,210	)		—			997,210			—
Goldman Sachs International		576,723			(576,723	)		—			—
Societe Generale S.A.		275,816			(275,816	)		—			—
UBS AG		483,237			(483,237	)		—			—
ProShares Ultra Bloomberg Natural Gas Goldman Sachs & Co.		(5,628,532	)		—			4,630,277			(998,255	)
ProShares Ultra Gold
Deutsche Bank AG		(3,543,937	)		3,543,937			—			—
Goldman Sachs & Co.		(300	)		—			300			—
Goldman Sachs International		(1,327,335	)		1,327,335			—			—
Societe Generale S.A.		(785,038	)		785,038			—			—
UBS AG		(1,156,664	)		1,156,664			—			—
ProShares Ultra Silver
Deutsche Bank AG		(350,663	)		350,663			—			—
Goldman Sachs & Co.		(2,450	)		—			2,450			—
Goldman Sachs International		(1,345,433	)		1,345,433			—			—
Societe Generale S.A.		(28,581	)		28,581			—			—
UBS AG		(768,203	)		768,203			—			—
ProShares Ultra Australian Dollar
RBC Capital Markets		10,650			—			—			10,650
ProShares Ultra Euro
Goldman Sachs International		56,991			—			—			56,991
Goldman Sachs International		(19,770	)		19,770			—			—
UBS AG		63,917			—			—			63,917
UBS AG		(176	)		176			—			—
ProShares Ultra Yen
Goldman Sachs International		2,462			—			—			2,462
Goldman Sachs International		(78,309	)		78,309			—			—
UBS AG		1,590			—			—			1,590
UBS AG		(85,052	)		85,052			—			—
ProShares VIX Short-Term Futures ETF
RBC Capital Markets		3,179,017			—			—			3,179,017
ProShares VIX Mid-Term Futures ETF
RBC Capital Markets		100,734			—			—			100,734
ProShares Ultra VIX Short-Term Futures ETF
RBC Capital Markets		(3,356,803	)		—			3,356,803			—
ProShares Short VIX Short-Term Futures ETF
RBC Capital Markets		603,833			—			—			603,833