ProShares Trust II - Quarter Report: 2012 June (Form 10-Q)

Large accelerated filer

Accelerated filer

Non-accelerated filer

¨ (Do not check if a smaller reporting company)

Smaller reporting company

Form 10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

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

for the quarterly period ended June 30, 2012.

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

for the transition period from to .

Commission file number: 001-34200

PROSHARES TRUST II

(Exact name of registrant as specified in its charter)

Delaware

87-6284802

(State or other jurisdiction of

incorporation or organization)

(I.R.S. Employer

Identification No.)

c/o ProShare Capital Management LLC

7501 Wisconsin Avenue, Suite 1000

Bethesda, Maryland 20814

(Address of principal executive offices) (Zip code)

(240) 497-6400

(Registrant’s telephone number, including area code)

N/A

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

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

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

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

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

PROSHARES TRUST II

Table of Contents


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

Item 2. Management’s Discussion and Analysis of Financial Condition and Results of Operations.		172

Item 3. Quantitative and Qualitative Disclosures About Market Risk.		222

Item 4. Controls and Procedures.		238

Part II. OTHER INFORMATION
Item 1. Legal Proceedings.		240

Item 1A. Risk Factors.		240

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		243

Item 3. Defaults Upon Senior Securities.		248

Item 4. Mine Safety Disclosures.		248

Item 5. Other Information.		248

Item 6. Exhibits.		248

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 Ultra DJ-UBS Commodity		3
ProShares UltraShort DJ-UBS Commodity		8
ProShares Ultra DJ-UBS Crude Oil		13
ProShares UltraShort DJ-UBS Crude Oil		18
ProShares Ultra DJ-UBS Natural Gas		23
ProShares Short DJ-UBS Natural Gas		28
ProShares UltraShort DJ-UBS Natural Gas		29
ProShares Ultra Gold		34
ProShares Short Gold		39
ProShares UltraShort Gold		40
ProShares Ultra Silver		45
ProShares UltraShort Silver		50
ProShares UltraPro Australian Dollar		55
ProShares Ultra Australian Dollar		56
ProShares Short Australian Dollar		57
ProShares UltraShort Australian Dollar		58
ProShares UltraPro Short Australian Dollar		59
ProShares UltraPro Canadian Dollar		60
ProShares Ultra Canadian Dollar		61
ProShares Short Canadian Dollar		62
ProShares UltraShort Canadian Dollar		63
ProShares UltraPro Short Canadian Dollar		64
ProShares UltraPro Euro		65
ProShares Ultra Euro		66
ProShares Short Euro		71
ProShares UltraShort Euro		76
ProShares UltraPro Short Euro		81
ProShares UltraPro Swiss Franc		82
ProShares Ultra Swiss Franc		83
ProShares Short Swiss Franc		84
ProShares UltraShort Swiss Franc		85
ProShares UltraPro Short Swiss Franc		86
ProShares UltraPro U.S. Dollar		87
ProShares Ultra U.S. Dollar		88
ProShares Short U.S. Dollar		89
ProShares UltraShort U.S. Dollar		90
ProShares UltraPro Short U.S. Dollar		91
ProShares UltraPro Yen		92
ProShares Ultra Yen		93
ProShares Short Yen		98
ProShares UltraShort Yen		99
ProShares UltraPro Short Yen		104
ProShares Ultra VIX Short-Term Futures ETF		105

See accompanying notes to financial statements.

-1-


ProShares VIX Short-Term Futures ETF			110
ProShares Short VIX Short-Term Futures ETF			115
ProShares UltraShort VIX Short-Term Futures ETF			120
ProShares Ultra VIX Mid-Term Futures ETF			121
ProShares VIX Mid-Term Futures ETF			122
ProShares Short VIX Mid-Term Futures ETF			127
ProShares UltraShort VIX Mid-Term Futures ETF			128
ProShares Managed Futures Strategy			129
ProShares Commodity Managed Futures Strategy			130
ProShares Financial Managed Futures Strategy			131
ProShares Trust II			132
Notes to Financial Statements			136

See accompanying notes to financial statements.

-2-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	220,321	$	59,453
Short-term U.S. government and agency obligations (Note 3) (cost $7,330,896 and $9,713,956, respectively)		7,330,933		9,713,685
Unrealized appreciation on swap agreements		686,319		—

Total assets		8,237,573		9,773,138

Liabilities and shareholders’ equity
Liabilities
Management fee payable		5,843		7,432
Unrealized depreciation on swap agreements		—		707,177

Total liabilities		5,843		714,609

Shareholders’ equity
Shareholders’ equity		8,231,730		9,058,529

Total liabilities and shareholders’ equity	$	8,237,573	$	9,773,138

Shares outstanding		350,014		350,014

Net asset value per share	$	23.52	$	25.88

Market value per share (Note 2)	$	23.66	$	25.64

See accompanying notes to financial statements.

-3-

PROSHARES ULTRA DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(89% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 07/05/12†	$	4,812,000	$	4,811,993
0.060% due 07/12/12†		1,749,000		1,748,982
0.029% due 08/23/12		770,000		769,958

Total short-term U.S. government and agency obligations (cost $7,330,896)			$	7,330,933

Swap Agreements^


	Termination Date	Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index	07/06/12	$	11,453,852	$	562,483
Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index	07/06/12		4,988,984		123,836

				$	686,319

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

^	The positions and counterparties herein are as of June 30, 2012. 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.

-4-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	1,404		$	3,412		$	1,929		$	9,271

Expenses
Management fee		19,408			48,436			41,946			94,549

Total expenses		19,408			48,436			41,946			94,549

Net investment income (loss)		(18,004	)		(45,024	)		(40,017	)		(85,278	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(1,858,138	)		(1,213,954	)		(2,180,586	)		1,990,167
Short-term U.S. government and agency obligations		—			123			—			123

Net realized gain (loss)		(1,858,138	)		(1,213,831	)		(2,180,586	)		1,990,290

Change in net unrealized appreciation/depreciation on
Swap agreements		972,171			(2,137,478	)		1,393,496			(3,569,132	)
Short-term U.S. government and agency obligations		(119	)		(303	)		308			(43	)

Change in net unrealized appreciation/depreciation		972,052			(2,137,781	)		1,393,804			(3,569,175	)

Net realized and unrealized gain (loss)		(886,086	)		(3,351,612	)		(786,782	)		(1,578,885	)

Net income (loss)	$	(904,090	)	$	(3,396,636	)	$	(826,799	)	$	(1,664,163	)

Net income (loss) per weighted-average share	$	(2.58	)	$	(6.19	)	$	(2.36	)	$	(3.07	)

Weighted-average shares outstanding		350,014			548,366			350,014			542,555

See accompanying notes to financial statements.

-5-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	9,058,529

Net investment income (loss)		(40,017	)
Net realized gain (loss)		(2,180,586	)
Change in net unrealized appreciation/depreciation		1,393,804

Net income (loss)		(826,799	)


Shareholders’ equity, at June 30, 2012	$	8,231,730

See accompanying notes to financial statements.

-6-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended June 30, 2012			Six months ended June 30, 2011
Cash flow from operating activities
Net income (loss)	$	(826,799	)	$	(1,664,163	)
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		2,383,060			(2,088,061	)
Change in unrealized appreciation/depreciation on investments		(1,393,804	)		3,569,175
Increase (Decrease) in management fee payable		(1,589	)		1,547

Net cash provided by (used in) operating activities		160,868			(181,502	)

Cash flow from financing activities
Proceeds from addition of shares		—			1,782,755
Payment on shares redeemed		—			(1,609,987	)

Net cash provided by (used in) financing activities		—			172,768

Net increase (decrease) in cash		160,868			(8,734	)
Cash, beginning of period		59,453			17,743

Cash, end of period	$	220,321		$	9,009

See accompanying notes to financial statements.

-7-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	188,743	$	9,060
Short-term U.S. government and agency obligations (Note 3) (cost $3,679,826 and $8,534,904, respectively)		3,679,918		8,534,690
Unrealized appreciation on swap agreements		—		570,751

Total assets		3,868,661		9,114,501

Liabilities and shareholders’ equity
Liabilities
Management fee payable		4,952		7,355
Unrealized depreciation on swap agreements		320,174		—

Total liabilities		325,126		7,355

Shareholders’ equity
Shareholders’ equity		3,543,535		9,107,146

Total liabilities and shareholders’ equity	$	3,868,661	$	9,114,501

Shares outstanding		59,997		159,997

Net asset value per share (Note 1)	$	59.06	$	56.92

Market value per share (Note 1) (Note 2)	$	58.64	$	56.19

See accompanying notes to financial statements.

-8-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(104% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 07/05/12†	$	522,000	$	521,999
0.060% due 07/12/12†		985,000		984,990
0.081% due 08/02/12†		2,026,000		2,025,937
0.030% due 08/23/12		147,000		146,992

Total short-term U.S. government and agency obligations (cost $3,679,826)			$	3,679,918

Swap Agreements^


	Termination Date	Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index	07/06/12	$	(6,247,978	)	$	(287,824	)
Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index	07/06/12		(839,312	)		(32,350	)

					$	(320,174	)

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

^	The positions and counterparties herein are as of June 30, 2012. 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.

-9-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	978		$	2,051		$	1,659		$	2,791

Expenses
Management fee		15,812			73,560			35,996			79,037

Total expenses		15,812			73,560			35,996			79,037

Net investment income (loss)		(14,834	)		(71,509	)		(34,337	)		(76,246	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		1,440,617			(5,131,689	)		1,514,927			(5,516,002	)
Short-term U.S. government and agency obligations		62			1,169			62			1,166

Net realized gain (loss)		1,440,679			(5,130,520	)		1,514,989			(5,514,836	)

Change in net unrealized appreciation/depreciation on
Swap agreements		(529,837	)		2,333,550			(890,925	)		2,416,684
Short-term U.S. government and agency obligations		(47	)		257			306			215

Change in net unrealized appreciation/depreciation		(529,884	)		2,333,807			(890,619	)		2,416,899

Net realized and unrealized gain (loss)		910,795			(2,796,713	)		624,370			(3,097,937	)

Net income (loss)	$	895,961		$	(2,868,222	)	$	590,033		$	(3,174,183	)

Net income (loss) per weighted-average share (Note 1)	$	7.99		$	(4.20	)	$	4.34		$	(8.62	)

Weighted-average shares outstanding (Note 1)		112,195			682,524			136,096			368,065

See accompanying notes to financial statements.

-10-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	9,107,146

Redemption of 100,000 shares		(6,153,644	)


Net investment income (loss)		(34,337	)
Net realized gain (loss)		1,514,989
Change in net unrealized appreciation/depreciation		(890,619	)

Net income (loss)		590,033


Shareholders’ equity, at June 30, 2012	$	3,543,535

See accompanying notes to financial statements.

-11-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended			Six months ended
	June 30, 2012			June 30, 2011
Cash flow from operating activities
Net income (loss)	$	590,033		$	(3,174,183	)
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		4,855,078			(25,666,408	)
Change in unrealized appreciation/depreciation on investments		890,619			(2,416,899	)
Increase (Decrease) in management fee payable		(2,403	)		30,697

Net cash provided by (used in) operating activities		6,333,327			(31,226,793	)

Cash flow from financing activities
Proceeds from addition of shares		—			84,549,839
Payment on shares redeemed		(6,153,644	)		(53,319,960	)

Net cash provided by (used in) financing activities		(6,153,644	)		31,229,879

Net increase (decrease) in cash		179,683			3,086
Cash, beginning of period		9,060			10,654

Cash, end of period	$	188,743		$	13,740

See accompanying notes to financial statements.

-12-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	840,022	$	495,671
Segregated cash balances with brokers for futures contracts		26,573,063		14,202,793
Short-term U.S. government and agency obligations (Note 3) (cost $419,986,370 and $246,926,093, respectively)		419,999,960		246,919,569
Unrealized appreciation on swap agreements		3,963,194		—
Receivable from capital shares sold		16,360,694		—
Receivable on open futures contracts		32,740,847		—

Total assets		500,477,780		261,618,033

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		11,085,088		—
Management fee payable		280,728		215,315
Unrealized depreciation on swap agreements		—		10,007,396

Total liabilities		11,365,816		10,222,711

Shareholders’ equity
Shareholders’ equity		489,111,964		251,395,322

Total liabilities and shareholders’ equity	$	500,477,780	$	261,618,033

Shares outstanding		17,649,170		6,149,170

Net asset value per share (Note 1)	$	27.71	$	40.88

Market value per share (Note 1) (Note 2)	$	27.54	$	40.94

See accompanying notes to financial statements.

-13-

PROSHARES ULTRA DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(86% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 07/05/12	$	26,241,000	$	26,240,963
0.081% due 07/12/12†		22,318,000		22,317,764
0.070% due 08/02/12†		19,003,000		19,002,407
0.061% due 08/23/12†		352,458,000		352,438,826

Total short-term U.S. government and agency obligations (cost $419,986,370)			$	419,999,960

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil - NYMEX, expires September 2012		4,525	$	386,299,250	$	10,136,020

Swap Agreements^


	Termination Date	Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS WTI Crude Oil Sub-Index	07/06/12	$	189,823,923	$	1,604,274
Swap agreement with Societe Generale S.A. based on Dow Jones-UBS WTI Crude Oil Sub-Index	07/06/12		187,236,795		(574,828	)
Swap agreement with UBS AG based on Dow Jones-UBS WTI Crude Oil Sub-Index	07/06/12		214,979,837		2,933,748

				$	3,963,194

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

††	Cash collateral in the amount of $26,573,063 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

^	The positions and counterparties herein are as of June 30, 2012. 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.

-14-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	50,164		$	39,410		$	63,252		$	137,728

Expenses
Management fee		705,397			657,181			1,353,126			1,456,224
Brokerage commissions		24,244			25,104			33,921			54,773

Total expenses		729,641			682,285			1,387,047			1,510,997

Net investment income (loss)		(679,477	)		(642,875	)		(1,323,795	)		(1,373,269	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(43,010,826	)		11,804,564			(42,969,389	)		34,464,884
Swap agreements		(69,149,030	)		(19,651,096	)		(53,646,332	)		39,873,011
Short-term U.S. government and agency obligations		2,955			8,033			2,813			12,962

Net realized gain (loss)		(112,156,901	)		(7,838,499	)		(96,612,908	)		74,350,857

Change in net unrealized appreciation/depreciation on
Futures contracts		5,283,890			(28,278,000	)		11,501,350			(13,973,620	)
Swap agreements		11,098,422			(5,895,327	)		13,970,590			(15,329,447	)
Short-term U.S. government and agency obligations		8,614			(12,459	)		20,114			(8,280	)

Change in net unrealized appreciation/depreciation		16,390,926			(34,185,786	)		25,492,054			(29,311,347	)

Net realized and unrealized gain (loss)		(95,765,975	)		(42,024,285	)		(71,120,854	)		45,039,510

Net income (loss)	$	(96,445,452	)	$	(42,667,160	)	$	(72,444,649	)	$	43,666,241

Net income (loss) per weighted-average share (Note 1)	$	(10.57	)	$	(7.60	)	$	(9.40	)	$	6.92

Weighted-average shares outstanding (Note 1)		9,122,796			5,611,258			7,710,434			6,305,952

See accompanying notes to financial statements.

-15-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	251,395,322

Addition of 15,900,000 shares		495,683,638
Redemption of 4,400,000 shares		(185,522,347	)

Net addition (redemption) of 11,500,000 shares		310,161,291


Net investment income (loss)		(1,323,795	)
Net realized gain (loss)		(96,612,908	)
Change in net unrealized appreciation/depreciation		25,492,054

Net income (loss)		(72,444,649	)


Shareholders’ equity, at June 30, 2012	$	489,111,964

See accompanying notes to financial statements.

-16-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended June 30, 2012			Six months ended June 30, 2011
Cash flow from operating activities
Net income (loss)	$	(72,444,649	)	$	43,666,241
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(12,370,270	)		(19,184,850	)
Net sale (purchase) of short-term U.S. government and agency obligations		(173,060,277	)		(138,196,782	)
Change in unrealized appreciation/depreciation on investments		(13,990,704	)		15,337,727
Decrease (Increase) in receivable on futures contracts		(32,740,847	)		1,192,091
Increase (Decrease) in management fee payable		65,413			28,496

Net cash provided by (used in) operating activities		(304,541,334	)		(97,157,077	)

Cash flow from financing activities
Proceeds from addition of shares		479,322,944			768,414,142
Payment on shares redeemed		(174,437,259	)		(668,297,919	)

Net cash provided by (used in) financing activities		304,885,685			100,116,223

Net increase (decrease) in cash		344,351			2,959,146
Cash, beginning of period		495,671			905,158

Cash, end of period	$	840,022		$	3,864,304

See accompanying notes to financial statements.

-17-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	134,950	$	265,258
Segregated cash balances with brokers for futures contracts		5,296,995		9,078,683
Short-term U.S. government and agency obligations (Note 3) (cost $68,237,244 and $131,936,844, respectively)		68,239,914		131,934,193
Unrealized appreciation on swap agreements		395,641		2,645,240
Receivable from capital shares sold		14,772,182		—
Receivable on open futures contracts		—		576,597

Total assets		88,839,682		144,499,971

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		6,561,280		—
Management fee payable		66,461		110,078

Total liabilities		6,627,741		110,078

Shareholders’ equity
Shareholders’ equity		82,211,941		144,389,893

Total liabilities and shareholders’ equity	$	88,839,682	$	144,499,971

Shares outstanding		1,669,944		3,719,944

Net asset value per share (Note 1)	$	49.23	$	38.82

Market value per share (Note 1) (Note 2)	$	49.42	$	38.69

See accompanying notes to financial statements.

-18-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(83% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 07/05/12	$	180,000	$	180,000
0.060% due 07/12/12†		5,649,000		5,648,940
0.081% due 08/02/12†		15,926,000		15,925,503
0.066% due 08/23/12†		46,488,000		46,485,471

Total short-term U.S. government and agency obligations (cost $68,237,244)			$	68,239,914

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil - NYMEX, expires September 2012		902	$	77,003,740	$	(3,094,550	)

Swap Agreements^


	Termination Date	Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS WTI Crude Oil Sub-Index	07/06/12	$	(35,717,240	)	$	152,809
Swap agreement with Societe Generale S.A. based on Dow Jones-UBS WTI Crude Oil Sub-Index	07/06/12		(37,072,664	)		102,101
Swap agreement with UBS AG based on Dow Jones-UBS WTI Crude Oil Sub-Index	07/06/12		(14,593,741	)		140,731

					$	395,641

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

††	Cash collateral in the amount of $5,296,995 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

^	The positions and counterparties herein are as of June 30, 2012. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended			Three months ended			Six months ended			Six months ended
	June 30, 2012			June 30, 2011			June 30, 2012			June 30, 2011
Investment Income
Interest	$	20,652		$	25,984		$	30,777		$	62,434

Expenses
Management fee		278,920			401,339			619,066			699,551
Brokerage commissions		10,438			16,653			16,342			32,302

Total expenses		289,358			417,992			635,408			731,853

Net investment income (loss)		(268,706	)		(392,008	)		(604,631	)		(669,419	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		20,779,796			7,076,973			20,649,559			2,465,383
Swap agreements		33,552,184			24,452,132			29,850,810			15,128,493
Short-term U.S. government and agency obligations		2,561			9,722			1,770			10,149

Net realized gain (loss)		54,334,541			31,538,827			50,502,139			17,604,025

Change in net unrealized appreciation/depreciation on
Futures contracts		(2,293,420	)		5,409,880			(3,341,590	)		4,672,320
Swap agreements		(2,396,079	)		7,491,982			(2,249,599	)		11,011,000
Short-term U.S. government and agency obligations		(1,708	)		(5,295	)		5,321			(4,135	)

Change in net unrealized appreciation/depreciation		(4,691,207	)		12,896,567			(5,585,868	)		15,679,185

Net realized and unrealized gain (loss)		49,643,334			44,435,394			44,916,271			33,283,210

Net income (loss)	$	49,374,628		$	44,043,386		$	44,311,640		$	32,613,791

Net income (loss) per weighted-average share (Note 1)	$	16.64		$	11.02		$	12.57		$	9.90

Weighted-average shares outstanding (Note 1)		2,967,197			3,997,966			3,524,614			3,294,495

See accompanying notes to financial statements.

-20-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	144,389,893

Addition of 3,600,000 shares		137,015,707
Redemption of 5,650,000 shares		(243,505,299	)

Net addition (redemption) of (2,050,000) shares		(106,489,592	)


Net investment income (loss)		(604,631	)
Net realized gain (loss)		50,502,139
Change in net unrealized appreciation/depreciation		(5,585,868	)

Net income (loss)		44,311,640


Shareholders’ equity, at June 30, 2012	$	82,211,941

See accompanying notes to financial statements.

-21-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended			Six months ended
	June 30, 2012			June 30, 2011
Cash flow from operating activities
Net income (loss)	$	44,311,640		$	32,613,791
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		3,781,688			(4,807,258	)
Net sale (purchase) of short-term U.S. government and agency obligations		63,699,600			12,018,406
Change in unrealized appreciation/depreciation on investments		2,244,278			(11,006,865	)
Decrease (Increase) in receivable on futures contracts		576,597			—
Increase (Decrease) in management fee payable		(43,617	)		(3,666	)
Increase (Decrease) in payable on futures contracts		6,561,280			(1,140,144	)

Net cash provided by (used in) operating activities		121,131,466			27,674,264

Cash flow from financing activities
Proceeds from addition of shares		122,243,525			284,961,521
Payment on shares redeemed		(243,505,299	)		(315,393,754	)

Net cash provided by (used in) financing activities		(121,261,774	)		(30,432,233	)

Net increase (decrease) in cash		(130,308	)		(2,757,969	)
Cash, beginning of period		265,258			4,007,347

Cash, end of period	$	134,950		$	1,249,378

See accompanying notes to financial statements.

-22-

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	2,430,386	$	3,361,868
Segregated cash balances with brokers for futures contracts		11,931,300		725,409
Short-term U.S. government and agency obligations (Note 3) (cost $46,184,173 and $0, respectively)		46,186,067		—
Receivable on open futures contracts		4,399,785		—
Offering costs (Note 5)		18,271		20,150

Total assets		64,965,809		4,107,427

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		2,284,400		—
Management fee payable		15,576		1,454
Payable for offering costs		70,392		26,624

Total liabilities		2,370,368		28,078

Shareholders’ equity
Shareholders’ equity		62,595,441		4,079,349

Total liabilities and shareholders’ equity	$	64,965,809	$	4,107,427

Shares outstanding		1,369,941		40,002

Net asset value per share (Note 1)	$	45.69	$	101.98

Market value per share (Note 1) (Note 2)	$	45.75	$	101.35

See accompanying notes to financial statements.

-23-

PROSHARES ULTRA DJ-UBS NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(71% of shareholders’ equity)
U.S. Treasury Bills:
0.071% due 07/05/12	$	3,158,000	$	3,157,996
0.080% due 07/12/12		3,694,000		3,693,961
0.080% due 08/02/12		5,152,000		5,151,839
0.072% due 08/09/12		8,478,000		8,477,669
0.071% due 08/23/12		25,706,000		25,704,602

Total short-term U.S. government and agency obligations (cost $46,184,173)			$	46,186,067

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, expires September 2012		4,419	$	125,190,270	$	18,591,260

††	Cash collateral in the amount of $11,931,300 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

See accompanying notes to financial statements.

-24-

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENT OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


	Three months ended			Six months ended
	June 30, 2012			June 30, 2012
Investment Income
Interest	$	6,879		$	8,998

Expenses
Management fee		75,830			123,202
Brokerage commissions		43,045			59,119
Offering costs		39,029			45,648

Total expenses		157,904			227,969

Net investment income (loss)		(151,025	)		(218,971	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(21,504,204	)		(26,662,775	)
Short-term U.S. government and agency obligations		1,135			1,254

Net realized gain (loss)		(21,503,069	)		(26,661,521	)

Change in net unrealized appreciation/depreciation on
Futures contracts		34,960,080			19,416,770
Short-term U.S. government and agency obligations		1,064			1,894

Change in net unrealized appreciation/depreciation		34,961,144			19,418,664

Net realized and unrealized gain (loss)		13,458,075			(7,242,857	)

Net income (loss)	$	13,307,050		$	(7,461,828	)

Net income (loss) per weighted-average share (Note 1)	$	10.57		$	(8.94	)

Weighted-average shares outstanding (Note 1)		1,258,547			834,329

See accompanying notes to financial statements.

-25-

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	4,079,349

Addition of 1,380,000 shares		68,265,160
Redemption of 50,061 shares		(2,287,240	)

Net addition (redemption) of 1,329,939 shares		65,977,920


Net investment income (loss)		(218,971	)
Net realized gain (loss)		(26,661,521	)
Change in net unrealized appreciation/depreciation		19,418,664

Net income (loss)		(7,461,828	)


Shareholders’ equity, at June 30, 2012	$	62,595,441

See accompanying notes to financial statements.

-26-

PROSHARES ULTRA DJ-UBS NATURAL GAS

STATEMENT OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


	Six months ended June 30, 2012
Cash flow from operating activities
Net income (loss)	$	(7,461,828	)
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		(11,205,891	)
Net sale (purchase) of short-term U.S. government and agency obligations		(46,184,173	)
Change in unrealized appreciation/depreciation on investments		(1,894	)
Decrease (Increase) in receivable on futures contracts		(4,399,785	)
Change in offering cost		1,879
Increase (Decrease) in management fee payable		14,122
Increase (Decrease) in payable for offering costs		43,768

Net cash provided by (used in) operating activities		(69,193,802	)

Cash flow from financing activities
Proceeds from addition of shares		68,265,160
Payment on shares redeemed		(2,840	)

Net cash provided by (used in) financing activities		68,262,320

Net increase (decrease) in cash		(931,482	)
Cash, beginning of period		3,361,868

Cash, end of period	$	2,430,386

See accompanying notes to financial statements.

-27-

PROSHARES SHORT DJ-UBS NATURAL GAS*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		29,090		29,090

Total assets		29,290		29,290


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		29,090		29,090

Total liabilities		29,090		29,090


Shareholders’ equity
Shareholders’ equity		200		200

Total liabilities and shareholders’ equity	$	29,290	$	29,290

*	See Note 1.

See accompanying notes to financial statements.

-28-

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	355,676	$	2,969,266
Segregated cash balances with brokers for futures contracts		2,600,100		1,439,775
Short-term U.S. government and agency obligations (Note 3) (cost $11,485,122 and $2,621,895, respectively)		11,485,375		2,621,684
Receivable on open futures contracts		—		123,128
Offering costs (Note 5)		18,271		20,150
Limitation by Sponsor		13,430		—

Total assets		14,472,852		7,174,003

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		758,773		—
Management fee payable		—		5,069
Payable for offering costs		70,392		26,624

Total liabilities		829,165		31,693

Shareholders’ equity
Shareholders’ equity		13,643,687		7,142,310

Total liabilities and shareholders’ equity	$	14,472,852	$	7,174,003

Shares outstanding		450,030		300,030

Net asset value per share (Note 1)	$	30.32	$	23.81

Market value per share (Note 1) (Note 2)	$	30.13	$	23.96

See accompanying notes to financial statements.

-29-

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(84% of shareholders’ equity)
U.S. Treasury Bills:
0.052% due 08/23/12	$	11,486,000	$	11,485,375

Total short-term U.S. government and agency obligations (cost $11,485,122)			$	11,485,375

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Natural Gas - NYMEX, expires September 2012		963	$	27,281,790	$	(3,820,520	)

††	Cash collateral in the amount of $2,600,100 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

See accompanying notes to financial statements.

-30-

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENT OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


	Three months ended			Six months ended
	June 30, 2012			June 30, 2012
Investment Income
Interest	$	2,166		$	3,029

Expenses
Management fee		—			24,973
Brokerage commissions		27,710			41,476
Offering costs		39,029			45,648
Limitation by Sponsor		(48	)		—

Total expenses		66,691			112,097

Net investment income (loss)		(64,525	)		(109,068	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		1,866,063			6,303,174
Short-term U.S. government and agency obligations		9			(158	)

Net realized gain (loss)		1,866,072			6,303,016

Change in net unrealized appreciation/depreciation on
Futures contracts		(11,132,490	)		(5,201,530	)
Short-term U.S. government and agency obligations		76			464

Change in net unrealized appreciation/depreciation		(11,132,414	)		(5,201,066	)

Net realized and unrealized gain (loss)		(9,266,342	)		1,101,950

Net income (loss)	$	(9,330,867	)	$	992,882

Net income (loss) per weighted-average share (Note 1)	$	(24.83	)	$	2.52

Weighted-average shares outstanding (Note 1)		375,854			393,986

See accompanying notes to financial statements.

-31-

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	7,142,310

Addition of 700,000 shares		25,809,015
Redemption of 550,000 shares		(20,300,520	)

Net addition (redemption) of 150,000 shares		5,508,495


Net investment income (loss)		(109,068	)
Net realized gain (loss)		6,303,016
Change in net unrealized appreciation/depreciation		(5,201,066	)

Net income (loss)		992,882


Shareholders’ equity, at June 30, 2012	$	13,643,687

See accompanying notes to financial statements.

-32-

PROSHARES ULTRASHORT DJ-UBS NATURAL GAS

STATEMENT OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


	Six months ended
	June 30, 2012
Cash flow from operating activities
Net income (loss)	$	992,882
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		(1,160,325	)
Net sale (purchase) of short-term U.S. government and agency obligations		(8,863,227	)
Change in unrealized appreciation/depreciation on investments		(464	)
Decrease (Increase) in receivable on futures contracts		123,128
Decrease (Increase) in Limitation by Sponsor		(13,430	)
Change in offering cost		1,879
Increase (Decrease) in management fee payable		(5,069	)
Increase (Decrease) in payable on futures contracts		758,773
Increase (Decrease) in payable for offering costs		43,768

Net cash provided by (used in) operating activities		(8,122,085	)

Cash flow from financing activities
Proceeds from addition of shares		25,809,015
Payment on shares redeemed		(20,300,520	)

Net cash provided by (used in) financing activities		5,508,495

Net increase (decrease) in cash		(2,613,590	)
Cash, beginning of period		2,969,266

Cash, end of period	$	355,676

See accompanying notes to financial statements.

-33-

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	347,080	$	400,533
Segregated cash balances with brokers for futures contracts		18,225		22,950
Short-term U.S. government and agency obligations (Note 3) (cost $347,530,524 and $399,322,327, respectively)		347,537,601		399,317,740
Receivable from capital shares sold		—		7,796,997
Receivable on open futures contracts		10,760		540

Total assets		347,913,666		407,538,760

Liabilities and shareholders’ equity
Liabilities
Management fee payable		257,513		303,120
Unrealized depreciation on forward agreements		16,643,471		80,836,280

Total liabilities		16,900,984		81,139,400

Shareholders’ equity
Shareholders’ equity		331,012,682		326,399,360

Total liabilities and shareholders’ equity	$	347,913,666	$	407,538,760

Shares outstanding		4,150,014		4,300,014

Net asset value per share	$	79.76	$	75.91

Market value per share (Note 2)	$	79.74	$	79.01

See accompanying notes to financial statements.

-34-

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(105% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 07/05/12†	$	25,009,000	$	25,008,965
0.063% due 07/12/12†		105,993,000		105,991,877
0.081% due 08/09/12†		32,510,000		32,508,732
0.070% due 08/16/12		5,028,000		5,027,765
0.053% due 08/23/12†		179,010,000		179,000,262

Total short-term U.S. government and agency obligations (cost $347,530,524)			$	347,537,601

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires August 2012		2	$	320,840	$	3,760

Forward Agreements^


	Settlement Date	Commitment to (Deliver)/Receive		Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold	07/06/12	$	107,220	$	171,401,892	$	(4,321,036	)
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold	07/06/12		106,000		169,451,600		(4,302,316	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold	07/06/12		200,700		320,839,020		(8,020,119	)

						$	(16,643,471	)

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

††	Cash collateral in the amount of $18,225 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

^	The positions and counterparties herein are as of June 30, 2012. 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.

-35-

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months			Three months			Six months			Six months
	ended			ended			ended			ended
	June 30, 2012			June 30, 2011			June 30, 2012			June 30, 2011
Investment Income
Interest	$	61,509		$	46,720		$	88,900		$	118,504

Expenses
Management fee		815,451			655,099			1,721,175			1,208,434
Brokerage commissions		9			905			25			1,810

Total expenses		815,460			656,004			1,721,200			1,210,244

Net investment income (loss)		(753,951	)		(609,284	)		(1,632,300	)		(1,091,740	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(21,840	)		645,135			(39,480	)		823,165
Forward agreements		(20,380,704	)		41,966,226			(50,221,860	)		49,809,607
Short-term U.S. government and agency obligations		521			4			634			(148	)

Net realized gain (loss)		(20,402,023	)		42,611,365			(50,260,706	)		50,632,624

Change in net unrealized appreciation/depreciation on
Futures contracts		7,860			(386,850	)		45,420			(522,850	)
Forward agreements		(12,231,525	)		(22,067,679	)		64,192,809			(23,404,756	)
Short-term U.S. government and agency obligations		(1,540	)		(2,106	)		11,664			294

Change in net unrealized appreciation/depreciation		(12,225,205	)		(22,456,635	)		64,249,893			(23,927,312	)

Net realized and unrealized gain (loss)		(32,627,228	)		20,154,730			13,989,187			26,705,312

Net income (loss)	$	(33,381,179	)	$	19,545,446		$	12,356,887		$	25,613,572

Net income (loss) per weighted-average share	$	(7.92	)	$	5.51		$	2.93		$	7.23

Weighted-average shares outstanding		4,213,750			3,546,717			4,213,476			3,540,622

See accompanying notes to financial statements.

-36-

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	326,399,360

Addition of 400,000 shares		40,147,611
Redemption of 550,000 shares		(47,891,176	)

Net addition (redemption) of (150,000) shares		(7,743,565	)


Net investment income (loss)		(1,632,300	)
Net realized gain (loss)		(50,260,706	)
Change in net unrealized appreciation/depreciation		64,249,893

Net income (loss)		12,356,887


Shareholders’ equity, at June 30, 2012	$	331,012,682

See accompanying notes to financial statements.

-37-

PROSHARES ULTRA GOLD

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended			Six months ended
	June 30, 2012			June 30, 2011
Cash flow from operating activities
Net income (loss)	$	12,356,887		$	25,613,572
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		4,725			37,281
Net sale (purchase) of short-term U.S. government and agency obligations		51,791,803			(46,802,884	)
Change in unrealized appreciation/depreciation on investments		(64,204,473	)		23,404,462
Decrease (Increase) in receivable on futures contracts		(10,220	)		60,830
Increase (Decrease) in management fee payable		(45,607	)		24,278

Net cash provided by (used in) operating activities		(106,885	)		2,337,539

Cash flow from financing activities
Proceeds from addition of shares		47,944,608			27,749,979
Payment on shares redeemed		(47,891,176	)		(30,160,214	)

Net cash provided by (used in) financing activities		53,432			(2,410,235	)

Net increase (decrease) in cash		(53,453	)		(72,696	)
Cash, beginning of period		400,533			1,262,424

Cash, end of period	$	347,080		$	1,189,728

See accompanying notes to financial statements.

-38-

PROSHARES SHORT GOLD*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		12,424		12,424

Total assets		12,624		12,624


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		12,424		12,424

Total liabilities		12,424		12,424


Shareholders’ equity
Shareholders’ equity		200		200

Total liabilities and shareholders’ equity	$	12,624	$	12,624

*	See Note 1.

See accompanying notes to financial statements.

-39-

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	249,188	$	330,841
Segregated cash balances with brokers for futures contracts		18,225		17,770
Short-term U.S. government and agency obligations (Note 3) (cost $124,456,367 and $164,677,030, respectively)		124,459,036		164,673,175
Unrealized appreciation on forward agreements		4,763,505		33,401,358

Total assets		129,489,954		198,423,144

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		10,760		—
Management fee payable		102,603		124,573

Total liabilities		113,363		124,573

Shareholders’ equity
Shareholders’ equity		129,376,591		198,298,571

Total liabilities and shareholders’ equity	$	129,489,954	$	198,423,144

Shares outstanding		7,289,901		9,589,901

Net asset value per share	$	17.75	$	20.68

Market value per share (Note 2)	$	17.73	$	19.81

See accompanying notes to financial statements.

-40-

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(96% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 07/05/12†	$	22,956,000	$	22,955,968
0.068% due 07/12/12†		9,091,000		9,090,903
0.081% due 08/02/12†		8,275,000		8,274,742
0.054% due 08/23/12†		84,142,000		84,137,423

Total short-term U.S. government and agency obligations (cost $124,456,367)			$	124,459,036

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures - COMEX, expires August 2012		2	$	320,840	$	(3,720	)

Forward Agreements^


	Settlement Date	Commitment to (Deliver)/Receive			Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Forward agreements with Goldman Sachs International based on 0.995 Fine Troy Ounce Gold	07/06/12	$	(36,098	)	$	(57,706,263	)	$	1,042,497
Forward agreements with Societe Generale S.A. based on 0.995 Fine Troy Ounce Gold	07/06/12		(65,000	)		(103,909,000	)		2,015,821
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold	07/06/12		(60,550	)		(96,795,230	)		1,705,187

								$	4,763,505

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

††	Cash collateral in the amount of $18,225 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

^	The positions and counterparties herein are as of June 30, 2012. 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.

-41-

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	24,236		$	12,751		$	31,155		$	44,027

Expenses
Management fee		327,032			201,127			676,801			430,641
Brokerage commissions		8			761			25			1,853

Total expenses		327,040			201,888			676,826			432,494

Net investment income (loss)		(302,804	)		(189,137	)		(645,671	)		(388,467	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		21,860			(678,575	)		39,700			(897,335	)
Forward agreements		3,236,377			(14,757,362	)		1,672,552			(22,491,989	)
Short-term U.S. government and agency obligations		819			214			843			534

Net realized gain (loss)		3,259,056			(15,435,723	)		1,713,095			(23,388,790	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(7,820	)		231,680			(45,520	)		373,410
Forward agreements		4,392,520			6,860,968			(28,637,853	)		7,400,331
Short-term U.S. government and agency obligations		(184	)		(2,020	)		6,524			(2,492	)

Change in net unrealized appreciation/depreciation		4,384,516			7,090,628			(28,676,849	)		7,771,249

Net realized and unrealized gain (loss)		7,643,572			(8,345,095	)		(26,963,754	)		(15,617,541	)

Net income (loss)	$	7,340,768		$	(8,534,232	)	$	(27,609,425	)	$	(16,006,008	)

Net income (loss) per weighted-average share	$	0.94		$	(2.42	)	$	(3.32	)	$	(4.64	)

Weighted-average shares outstanding		7,829,461			3,526,165			8,320,945			3,448,188

See accompanying notes to financial statements.

-42-

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	198,298,571

Redemption of 2,300,000 shares		(41,312,555	)


Net investment income (loss)		(645,671	)
Net realized gain (loss)		1,713,095
Change in net unrealized appreciation/depreciation		(28,676,849	)

Net income (loss)		(27,609,425	)


Shareholders’ equity, at June 30, 2012	$	129,376,591

See accompanying notes to financial statements.

-43-

PROSHARES ULTRASHORT GOLD

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended			Six months ended
	June 30, 2012			June 30, 2011
Cash flow from operating activities
Net income (loss)	$	(27,609,425	)	$	(16,006,008	)
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		(455	)		170,100
Net sale (purchase) of short-term U.S. government and agency obligations		40,220,663			(10,382,096	)
Change in unrealized appreciation/depreciation on investments		28,631,329			(7,397,839	)
Decrease (Increase) in receivable on futures contracts		—			(44,804	)
Increase (Decrease) in management fee payable		(21,970	)		7,480
Increase (Decrease) in payable on futures contracts		10,760			(94,800	)

Net cash provided by (used in) operating activities		41,230,902			(33,747,967	)

Cash flow from financing activities
Proceeds from addition of shares		—			54,729,892
Payment on shares redeemed		(41,312,555	)		(20,930,837	)

Net cash provided by (used in) financing activities		(41,312,555	)		33,799,055

Net increase (decrease) in cash		(81,653	)		51,088
Cash, beginning of period		330,841			404,683

Cash, end of period	$	249,188		$	455,771

See accompanying notes to financial statements.

-44-

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	779,562	$	772,442
Segregated cash balances with brokers for futures contracts		37,800		49,950
Short-term U.S. government and agency obligations (Note 3) (cost $776,016,887 and $771,936,564, respectively)		776,032,618		771,925,669
Receivable from capital shares sold		—		13,966,567
Receivable on open futures contracts		13,210		6,000

Total assets		776,863,190		786,720,628

Liabilities and shareholders’ equity
Liabilities
Management fee payable		525,028		569,435
Unrealized depreciation on forward agreements		115,328,972		179,326,773

Total liabilities		115,854,000		179,896,208

Shareholders’ equity
Shareholders’ equity		661,009,190		606,824,420

Total liabilities and shareholders’ equity	$	776,863,190	$	786,720,628

Shares outstanding		17,850,028		14,050,028

Net asset value per share (Note 1)	$	37.03	$	43.19

Market value per share (Note 1) (Note 2)	$	38.13	$	41.65

See accompanying notes to financial statements.

-45-

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(117% of shareholders’ equity)
U.S. Treasury Bills:
0.072% due 07/05/12	$	46,277,000	$	46,276,935
0.060% due 07/12/12†		207,561,000		207,558,800
0.075% due 08/02/12†		28,897,000		28,896,098
0.079% due 08/09/12†		16,816,000		16,815,344
0.070% due 08/16/12†		47,036,000		47,033,804
0.053% due 08/23/12†		429,475,000		429,451,637

Total short-term U.S. government and agency obligations (cost $776,016,887)			$	776,032,618

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires September 2012		2	$	276,120	$	(12,130	)

Forward Agreements^


	Settlement Date	Commitment to (Deliver)/Receive		Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver	07/06/12	$	16,477,800	$	446,261,666	$	(37,592,682	)
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver	07/06/12		19,505,000		528,246,113		(44,694,151	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver	07/06/12		12,821,000		347,226,015		(33,042,139	)

						$	(115,328,972	)

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

††	Cash collateral in the amount of $37,800 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

^	The positions and counterparties herein are as of June 30, 2012. 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.

-46-

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	125,529		$	172,821		$	177,264		$	358,916

Expenses
Management fee		1,736,295			2,599,506			3,621,349			4,107,369
Brokerage commissions		21			3,290			29			5,228

Total expenses		1,736,316			2,602,796			3,621,378			4,112,597

Net investment income (loss)		(1,610,787	)		(2,429,975	)		(3,444,114	)		(3,753,681	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(56,400	)		4,639,205			(58,300	)		8,607,516
Forward agreements		(219,337,173	)		(210,971,245	)		(211,228,823	)		58,404,905
Short-term U.S. government and agency obligations		2,360			38,696			3,051			40,326

Net realized gain (loss)		(219,391,213	)		(206,293,344	)		(211,284,072	)		67,052,747

Change in net unrealized appreciation/depreciation on
Futures contracts		1,680			(9,939,230	)		48,720			(4,143,535	)
Forward agreements		(68,863,942	)		(95,001,841	)		63,997,801			(75,841,991	)
Short-term U.S. government and agency obligations		(4,361	)		(19,111	)		26,626			5,841

Change in net unrealized appreciation/depreciation		(68,866,623	)		(104,960,182	)		64,073,147			(79,979,685	)

Net realized and unrealized gain (loss)		(288,257,836	)		(311,253,526	)		(147,210,925	)		(12,926,938	)

Net income (loss)	$	(289,868,623	)	$	(313,683,501	)	$	(150,655,039	)	$	(16,680,619	)

Net income (loss) per weighted-average share (Note 1)	$	(17.60	)	$	(31.34	)	$	(9.85	)	$	(1.88	)

Weighted-average shares outstanding (Note 1)		16,467,610			10,007,720			15,298,929			8,851,409

See accompanying notes to financial statements.

-47-

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	606,824,420

Addition of 5,800,000 shares		309,102,822
Redemption of 2,000,000 shares		(104,263,013	)

Net addition (redemption) of 3,800,000 shares		204,839,809


Net investment income (loss)		(3,444,114	)
Net realized gain (loss)		(211,284,072	)
Change in net unrealized appreciation/depreciation		64,073,147

Net income (loss)		(150,655,039	)


Shareholders’ equity, at June 30, 2012	$	661,009,190

See accompanying notes to financial statements.

-48-

PROSHARES ULTRA SILVER

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended June 30, 2012			Six months ended June 30, 2011
Cash flow from operating activities
Net income (loss)	$	(150,655,039	)	$	(16,680,619	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		12,150			(3,803,287	)
Net sale (purchase) of short-term U.S. government and agency obligations		(4,080,323	)		(407,829,025	)
Change in unrealized appreciation/depreciation on investments		(64,024,427	)		75,836,150
Decrease (Increase) in receivable on futures contracts		(7,210	)		301,016
Increase (Decrease) in management fee payable		(44,407	)		332,263

Net cash provided by (used in) operating activities		(218,799,256	)		(351,843,502	)

Cash flow from financing activities
Proceeds from addition of shares		323,069,389			728,989,750
Payment on shares redeemed		(104,263,013	)		(377,384,224	)

Net cash provided by (used in) financing activities		218,806,376			351,605,526

Net increase (decrease) in cash		7,120			(237,976	)
Cash, beginning of period		772,442			2,505,032

Cash, end of period	$	779,562		$	2,267,056

See accompanying notes to financial statements.

-49-

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	557,435	$	648,166
Segregated cash balances with brokers for futures contracts		37,800		43,140
Short-term U.S. government and agency obligations (Note 3) (cost $138,946,631 and $215,358,257, respectively)		138,950,265		215,352,919
Unrealized appreciation on forward agreements		22,006,828		43,015,723
Receivable from capital shares sold		—		8,437,981

Total assets		161,552,328		267,497,929

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		—		20,503,124
Payable on open futures contracts		13,210		—
Management fee payable		118,018		180,884

Total liabilities		131,228		20,684,008

Shareholders’ equity
Shareholders’ equity		161,421,100		246,813,921

Total liabilities and shareholders’ equity	$	161,552,328	$	267,497,929

Shares outstanding		2,308,489		3,218,874

Net asset value per share (Note 1)	$	69.93	$	76.68

Market value per share (Note 1) (Note 2)	$	67.82	$	79.35

See accompanying notes to financial statements.

-50-

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(86% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 07/05/12	$	753,000	$	752,999
0.081% due 07/12/12†		26,523,000		26,522,719
0.081% due 08/02/12†		20,989,000		20,988,345
0.081% due 08/09/12†		8,824,000		8,823,656
0.053% due 08/23/12†		81,867,000		81,862,546

Total short-term U.S. government and agency obligations (cost $138,946,631)			$	138,950,265

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures - COMEX, expires September 2012		2	$	276,120	$	12,030

Forward Agreements^


	Settlement Date	Commitment to (Deliver)/Receive			Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Forward agreements with Goldman Sachs International based on 0.999 Fine Troy Ounce Silver	07/06/12	$	(4,453,500	)	$	(120,612,359	)	$	6,828,277
Forward agreements with Societe Generale S.A. based on 0.999 Fine Troy Ounce Silver	07/06/12		(4,282,000	)		(115,967,693	)		7,863,914
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver	07/06/12		(3,176,000	)		(86,014,338	)		7,314,637

								$	22,006,828

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

††	Cash collateral in the amount of $37,800 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

^	The positions and counterparties herein are as of June 30, 2012. 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.

-51-

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	29,103		$	57,651		$	44,427		$	104,548

Expenses
Management fee		400,447			1,142,997			903,594			1,483,259
Brokerage commissions		17			1,656			25			2,287

Total expenses		400,464			1,144,653			903,619			1,485,546

Net investment income (loss)		(371,361	)		(1,087,002	)		(859,192	)		(1,380,998	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		51,500			1,933,700			53,400			210,504
Forward agreements		39,011,375			27,010,732			3,325,061			(52,554,885	)
Short-term U.S. government and agency obligations		1,632			1,253			(42	)		2,521

Net realized gain (loss)		39,064,507			28,945,685			3,378,419			(52,341,860	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(1,780	)		1,138,020			(48,820	)		1,367,945
Forward agreements		13,286,817			24,618,761			(21,008,895	)		25,633,005
Short-term U.S. government and agency obligations		(1,835	)		7,090			8,972			8,846

Change in net unrealized appreciation/depreciation		13,283,202			25,763,871			(21,048,743	)		27,009,796

Net realized and unrealized gain (loss)		52,347,709			54,709,556			(17,670,324	)		(25,332,064	)

Net income (loss)	$	51,976,348		$	53,622,554		$	(18,529,516	)	$	(26,713,062	)

Net income (loss) per weighted-average share (Note 1)	$	18.62		$	10.21		$	(5.52	)	$	(8.77	)

Weighted-average shares outstanding (Note 1)		2,791,342			5,252,720			3,355,273			3,045,684

See accompanying notes to financial statements.

-52-

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	246,813,921

Addition of 4,160,000 shares		228,293,690
Redemption of 5,070,385 shares		(295,156,995	)

Net addition (redemption) of (910,385) shares		(66,863,305	)


Net investment income (loss)		(859,192	)
Net realized gain (loss)		3,378,419
Change in net unrealized appreciation/depreciation		(21,048,743	)

Net income (loss)		(18,529,516	)


Shareholders’ equity, at June 30, 2012	$	161,421,100

See accompanying notes to financial statements.

-53-

PROSHARES ULTRASHORT SILVER

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended			Six months ended
	June 30, 2012			June 30, 2011
Cash flow from operating activities
Net income (loss)	$	(18,529,516	)	$	(26,713,062	)
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		5,340			(3,000,232	)
Net sale (purchase) of short-term U.S. government and agency obligations		76,411,626			(530,055,018	)
Change in unrealized appreciation/depreciation on investments		20,999,923			(25,641,851	)
Increase (Decrease) in management fee payable		(62,866	)		423,385
Increase (Decrease) in payable on futures contracts		13,210			(227,423	)

Net cash provided by (used in) operating activities		78,837,717			(585,214,201	)

Cash flow from financing activities
Proceeds from addition of shares		236,731,671			866,620,194
Payment on shares redeemed		(315,660,119	)		(281,726,549	)

Net cash provided by (used in) financing activities		(78,928,448	)		584,893,645

Net increase (decrease) in cash		(90,731	)		(320,556	)
Cash, beginning of period		648,166			3,514,285

Cash, end of period	$	557,435		$	3,193,729

See accompanying notes to financial statements.

-54-

PROSHARES ULTRAPRO AUSTRALIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-55-

PROSHARES ULTRA AUSTRALIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-56-

PROSHARES SHORT AUSTRALIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-57-

PROSHARES ULTRASHORT AUSTRALIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-58-

PROSHARES ULTRAPRO SHORT AUSTRALIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-59-

PROSHARES ULTRAPRO CANADIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-60-

PROSHARES ULTRA CANADIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-61-

PROSHARES SHORT CANADIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-62-

PROSHARES ULTRASHORT CANADIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-63-

PROSHARES ULTRAPRO SHORT CANADIAN DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-64-

PROSHARES ULTRAPRO EURO*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-65-

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	266,754	$	10,469
Short-term U.S. government and agency obligations (Note 3) (cost $5,274,598 and $10,068,969, respectively)		5,274,789		10,068,707
Unrealized appreciation on foreign currency forward contracts		121,941		—

Total assets		5,663,484		10,079,176

Liabilities and shareholders’ equity
Liabilities
Management fee payable		4,328		6,216
Unrealized depreciation on foreign currency forward contracts		—		518,212

Total liabilities		4,328		524,428

Shareholders’ equity
Shareholders’ equity		5,659,156		9,554,748

Total liabilities and shareholders’ equity	$	5,663,484	$	10,079,176

Shares outstanding		250,014		400,014

Net asset value per share	$	22.64	$	23.89

Market value per share (Note 2)	$	22.62	$	23.87

See accompanying notes to financial statements.

-66-

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(93% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 07/05/12†	$	1,432,000	$	1,431,998
0.069% due 08/23/12†		3,843,000		3,842,791

Total short-term U.S. government and agency obligations
(cost $5,274,598)			$	5,274,789

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International	07/13/12		3,111,925		$	3,938,712		$	41,396
Euro with UBS AG	07/13/12		6,099,200			7,719,657			83,895

								$	125,291

Contracts to Sell
Euro with Goldman Sachs International	07/13/12		(94,100	)	$	(119,101	)	$	(1,024	)
Euro with UBS AG	07/13/12		(175,000	)		(221,494	)		(2,326	)

								$	(3,350	)

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

^	The positions and counterparties herein are as of June 30, 2012. 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.

-67-

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	1,087		$	1,431		$	1,575		$	3,842

Expenses
Management fee		15,501			21,134			38,818			40,060

Total expenses		15,501			21,134			38,818			40,060

Net investment income (loss)		(14,414	)		(19,703	)		(37,243	)		(36,218	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(617,222	)		688,719			(866,798	)		1,607,088
Short-term U.S. government and agency obligations		42			19			43			19

Net realized gain (loss)		(617,180	)		688,738			(866,755	)		1,607,107

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(171,629	)		(272,940	)		640,153			(239,167	)
Short-term U.S. government and agency obligations		51			(162	)		453			(142	)

Change in net unrealized appreciation/depreciation		(171,578	)		(273,102	)		640,606			(239,309	)

Net realized and unrealized gain (loss)		(788,758	)		415,636			(226,149	)		1,367,798

Net income (loss)	$	(803,172	)	$	395,933		$	(263,392	)	$	1,331,580

Net income (loss) per weighted-average share	$	(2.87	)	$	1.32		$	(0.77	)	$	4.44

Weighted-average shares outstanding		279,684			300,014			341,772			300,014

See accompanying notes to financial statements.

-68-

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	9,554,748

Addition of 50,000 shares		1,209,580
Redemption of 200,000 shares		(4,841,780	)

Net addition (redemption) of (150,000) shares		(3,632,200	)


Net investment income (loss)		(37,243	)
Net realized gain (loss)		(866,755	)
Change in net unrealized appreciation/depreciation		640,606

Net income (loss)		(263,392	)


Shareholders’ equity, at June 30, 2012	$	5,659,156

See accompanying notes to financial statements.

-69-

PROSHARES ULTRA EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended June 30, 2012			Six months ended June 30, 2011
Cash flow from operating activities
Net income (loss)	$	(263,392	)	$	1,331,580
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		4,794,371			(1,580,807	)
Change in unrealized appreciation/depreciation on investments		(640,606	)		239,309
Increase (Decrease) in management fee payable		(1,888	)		864

Net cash provided by (used in) operating activities		3,888,485			(9,054	)

Cash flow from financing activities
Proceeds from addition of shares		1,209,580			—
Payment on shares redeemed		(4,841,780	)		—

Net cash provided by (used in) financing activities		(3,632,200	)		—

Net increase (decrease) in cash		256,285			(9,054	)
Cash, beginning of period		10,469			13,447

Cash, end of period	$	266,754		$	4,393

See accompanying notes to financial statements.

-70-

PROSHARES SHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	3,899,714	$	200
Segregated cash balances with brokers for futures contracts		101,875		—
Offering costs (Note 5)		40,438		41,000
Limitation by Sponsor		148		—

Total assets		4,042,175		41,200

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		53,765		—
Payable for offering costs		41,000		41,000

Total liabilities		94,765		41,000

Shareholders’ equity
Shareholders’ equity		3,947,410		200

Total liabilities and shareholders’ equity	$	4,042,175	$	41,200

Shares outstanding		100,005		5

Net asset value per share	$	39.47	$	40.00

Market value per share (Note 2)	$	39.49	$	40.00

See accompanying notes to financial statements.

-71-

PROSHARES SHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
Euro Fx Currency Futures - CME, expires September 2012		25	$	3,958,125	$	(50,313	)

††	Cash collateral in the amount of $101,875 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

See accompanying notes to financial statements.

-72-

PROSHARES SHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


	Three months ended June 30, 2012			Six months ended June 30, 2012
Investment Income
Interest	$	—		$	—

Expenses
Brokerage commissions		63			63
Offering costs		562			562
Limitation by Sponsor		(148	)		(148	)

Total expenses		477			477

Net investment income (loss)		(477	)		(477	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(2,000	)		(2,000	)

Net realized gain (loss)		(2,000	)		(2,000	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(50,313	)		(50,313	)

Change in net unrealized appreciation/depreciation		(50,313	)		(50,313	)

Net realized and unrealized gain (loss)		(52,313	)		(52,313	)

Net income (loss)	$	(52,790	)	$	(52,790	)

Net income (loss) per weighted-average share		(0.66	)	$	(0.66	)

Weighted-average shares outstanding		80,005			80,005

See accompanying notes to financial statements.

-73-

PROSHARES SHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	200

Addition of shares (100,000 and 5, respectively)		4,000,000

Net investment income (loss)		(477	)
Net realized gain (loss)		(2,000	)
Change in net unrealized appreciation/depreciation		(50,313	)

Net income (loss)		(52,790	)


Shareholders’ equity, at June 30, 2012	$	3,947,410

See accompanying notes to financial statements.

-74-

PROSHARES SHORT EURO

STATEMENT OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


	Six months ended June 30, 2012
Cash flow from operating activities
Net income (loss)	$	(52,790	)
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		(101,875	)
Decrease (Increase) in Limitation by Sponsor		(148	)
Change in offering cost		(40,438	)
Increase (Decrease) in payable on futures contracts		53,765
Increase (Decrease) in payable for offering costs		41,000

Net cash provided by (used in) operating activities		(100,486	)

Cash flow from financing activities
Proceeds from addition of shares		4,000,000

Net increase (decrease) in cash		3,899,514
Cash, beginning of period		200

Cash, end of period	$	3,899,714

See accompanying notes to financial statements.

-75-

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	450,188	$	102,088
Short-term U.S. government and agency obligations (Note 3) (cost $901,949,902 and $1,012,198,282, respectively)		901,975,255		1,012,174,281
Unrealized appreciation on foreign currency forward contracts		—		67,430,954
Receivable from capital shares sold		17,770,890		21,299,733

Total assets		920,196,333		1,101,007,056

Liabilities and shareholders’ equity
Liabilities
Management fee payable		689,674		847,510
Unrealized depreciation on foreign currency forward contracts		22,591,311		—

Total liabilities		23,280,985		847,510

Shareholders’ equity
Shareholders’ equity		896,915,348		1,100,159,546

Total liabilities and shareholders’ equity	$	920,196,333	$	1,101,007,056

Shares outstanding		42,900,014		54,100,014

Net asset value per share	$	20.91	$	20.34

Market value per share (Note 2)	$	20.90	$	20.35

See accompanying notes to financial statements.

-76-

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(103% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 07/05/12†	$	119,965,000	$	119,964,832
0.060% due 07/12/12†		27,952,000		27,951,704
0.081% due 08/02/12†		79,663,000		79,660,514
0.079% due 08/09/12†		102,601,000		102,596,998
0.070% due 08/16/12†		170,684,000		170,676,029
0.052% due 08/23/12†		401,147,000		401,125,178

Total short-term U.S. government and agency obligations (cost $901,949,902)			$	901,975,255

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International	07/13/12		63,067,500		$	79,823,488		$	(85,236	)
Euro with UBS AG	07/13/12		223,693,100			283,124,643			1,496,470

								$	1,411,234

Contracts to Sell
Euro with Goldman Sachs International	07/13/12		(791,263,425	)	$	(1,001,488,982	)	$	(11,079,697	)
Euro with UBS AG	07/13/12		(912,940,100	)		(1,155,493,129	)		(12,922,848	)

								$	(24,002,545	)

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

^	The positions and counterparties herein are as of June 30, 2012. 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.

-77-

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	151,290		$	74,406		$	199,019		$	218,767

Expenses
Management fee		2,092,889			1,086,768			4,293,156			2,120,677

Total expenses		2,092,889			1,086,768			4,293,156			2,120,677

Net investment income (loss)		(1,941,599	)		(1,012,362	)		(4,094,137	)		(1,901,910	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		82,141,512			(39,284,937	)		120,954,100			(101,433,972	)
Short-term U.S. government and agency obligations		1,301			1,790			(435	)		3,197

Net realized gain (loss)		82,142,813			(39,283,147	)		120,953,665			(101,430,775	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		8,466,287			6,451,205			(90,022,265	)		10,624,915
Short-term U.S. government and agency obligations		11,912			(3,006	)		49,354			(6,256	)

Change in net unrealized appreciation/depreciation		8,478,199			6,448,199			(89,972,911	)		10,618,659

Net realized and unrealized gain (loss)		90,621,012			(32,834,948	)		30,980,754			(90,812,116	)

Net income (loss)	$	88,679,413		$	(33,847,310	)	$	26,886,617		$	(92,714,026	)

Net income (loss) per weighted-average share	$	2.04		$	(1.27	)	$	0.59		$	(3.74	)

Weighted-average shares outstanding		43,416,498			26,676,388			45,267,871			24,766,312

See accompanying notes to financial statements.

-78-

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	1,100,159,546

Addition of 10,350,000 shares		210,504,686
Redemption of 21,550,000 shares		(440,635,501	)

Net addition (redemption) of (11,200,000) shares		(230,130,815	)


Net investment income (loss)		(4,094,137	)
Net realized gain (loss)		120,953,665
Change in net unrealized appreciation/depreciation		(89,972,911	)

Net income (loss)		26,886,617


Shareholders’ equity, at June 30, 2012	$	896,915,348

See accompanying notes to financial statements.

-79-

PROSHARES ULTRASHORT EURO

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended June 30, 2012			Six months ended June 30, 2011
Cash flow from operating activities
Net income (loss)	$	26,886,617		$	(92,714,026	)
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		110,248,380			(163,136,380	)
Change in unrealized appreciation/depreciation on investments		89,972,911			(10,618,659	)
Increase (Decrease) in management fee payable		(157,836	)		70,802

Net cash provided by (used in) operating activities		226,950,072			(266,398,263	)

Cash flow from financing activities
Proceeds from addition of shares		214,033,529			349,785,063
Payment on shares redeemed		(440,635,501	)		(83,316,339	)

Net cash provided by (used in) financing activities		(226,601,972	)		266,468,724

Net increase (decrease) in cash		348,100			70,461
Cash, beginning of period		102,088			251,588

Cash, end of period	$	450,188		$	322,049

See accompanying notes to financial statements.

-80-

PROSHARES ULTRAPRO SHORT EURO*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-81-

PROSHARES ULTRAPRO SWISS FRANC*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-82-

PROSHARES ULTRA SWISS FRANC*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-83-

PROSHARES SHORT SWISS FRANC*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-84-

PROSHARES ULTRASHORT SWISS FRANC*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-85-

PROSHARES ULTRAPRO SHORT SWISS FRANC*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-86-

PROSHARES ULTRAPRO U.S. DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-87-

PROSHARES ULTRA U.S. DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-88-

PROSHARES SHORT U.S. DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-89-

PROSHARES ULTRASHORT U.S. DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-90-

PROSHARES ULTRAPRO SHORT U.S. DOLLAR*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-91-

PROSHARES ULTRAPRO YEN*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-92-

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	197,830	$	5,798
Short-term U.S. government and agency obligations (Note 3) (cost $4,930,634 and $5,366,951, respectively)		4,930,799		5,366,875
Unrealized appreciation on foreign currency forward contracts		—		102,727

Total assets		5,128,629		5,475,400

Liabilities and shareholders’ equity
Liabilities
Management fee payable		3,983		4,325
Unrealized depreciation on foreign currency forward contracts		100,378		—

Total liabilities		104,361		4,325

Shareholders’ equity
Shareholders’ equity		5,024,268		5,471,075

Total liabilities and shareholders’ equity	$	5,128,629	$	5,475,400

Shares outstanding		150,014		150,014

Net asset value per share	$	33.49	$	36.47

Market value per share (Note 2)	$	33.39	$	36.50

See accompanying notes to financial statements.

-93-

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(98% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 07/05/12†	$	953,000	$	952,999
0.078% due 08/02/12†		735,000		734,977
0.065% due 08/23/12		3,243,000		3,242,823

Total short-term U.S. government and agency obligations (cost $4,930,634)			$	4,930,799

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International	07/13/12		382,717,100		$	4,788,865		$	(46,838	)
Yen with UBS AG	07/13/12		449,100,000			5,619,502			(54,635	)

								$	(101,473	)

Contracts to Sell
Yen with Goldman Sachs International	07/13/12		(4,462,700	)	$	(55,841	)	$	571
Yen with UBS AG	07/13/12		(24,415,100	)		(305,501	)		524

								$	1,095

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

^	The positions and counterparties herein are as of June 30, 2012. 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.

-94-

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	872		$	470		$	1,244		$	1,495

Expenses
Management fee		11,836			7,813			24,019			15,917

Total expenses		11,836			7,813			24,019			15,917

Net investment income (loss)		(10,964	)		(7,343	)		(22,775	)		(14,422	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		204,025			70,451			(221,184	)		226,180
Short-term U.S. government and agency obligations		1			25			16			19

Net realized gain (loss)		204,026			70,476			(221,168	)		226,199

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		125,587			137,043			(203,105	)		(265,366	)
Short-term U.S. government and agency obligations		39			(45	)		241			(110	)

Change in net unrealized appreciation/depreciation		125,626			136,998			(202,864	)		(265,476	)

Net realized and unrealized gain (loss)		329,652			207,474			(424,032	)		(39,277	)

Net income (loss)	$	318,688		$	200,131		$	(446,807	)	$	(53,699	)

Net income (loss) per weighted-average share	$	2.12		$	2.00		$	(2.98	)	$	(0.52	)

Weighted-average shares outstanding		150,014			100,014			150,014			103,053

See accompanying notes to financial statements.

-95-

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	5,471,075

Net investment income (loss)		(22,775	)
Net realized gain (loss)		(221,168	)
Change in net unrealized appreciation/depreciation		(202,864	)

Net income (loss)		(446,807	)


Shareholders’ equity, at June 30, 2012	$	5,024,268

See accompanying notes to financial statements.

-96-

PROSHARES ULTRA YEN

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended June 30, 2012			Six months ended June 30, 2011
Cash flow from operating activities
Net income (loss)	$	(446,807	)	$	(53,699	)
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		436,317			1,374,671
Change in unrealized appreciation/depreciation on investments		202,864			265,476
Increase (Decrease) in management fee payable		(342	)		(960	)

Net cash provided by (used in) operating activities		192,032			1,585,488

Cash flow from financing activities
Payment on shares redeemed		—			(1,593,589	)

Net increase (decrease) in cash		192,032			(8,101	)
Cash, beginning of period		5,798			10,637

Cash, end of period	$	197,830		$	2,536

See accompanying notes to financial statements.

-97-

PROSHARES SHORT YEN*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-98-

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	226,555	$	22,338
Short-term U.S. government and agency obligations (Note 3) (cost $226,575,889 and $219,407,765, respectively)		226,580,482		219,404,292
Unrealized appreciation on foreign currency forward contracts		4,073,718		—
Receivable from capital shares sold		—		6,249,734

Total assets		230,880,755		225,676,364

Liabilities and shareholders’ equity
Liabilities
Management fee payable		177,156		180,224
Unrealized depreciation on foreign currency forward contracts		—		4,364,146

Total liabilities		177,156		4,544,370

Shareholders’ equity
Shareholders’ equity		230,703,599		221,131,994

Total liabilities and shareholders’ equity	$	230,880,755	$	225,676,364

Shares outstanding		5,299,294		5,399,294

Net asset value per share (Note 1)	$	43.53	$	40.96

Market value per share (Note 1) (Note 2)	$	43.51	$	40.95

See accompanying notes to financial statements.

-99-

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(98% of shareholders’ equity)
U.S. Treasury Bills:
0.073% due 07/05/12	$	9,220,000	$	9,219,987
0.065% due 07/12/12†		71,700,000		71,699,240
0.081% due 08/02/12†		17,623,000		17,622,450
0.081% due 08/09/12†		49,998,000		49,996,050
0.043% due 08/23/12†		78,047,000		78,042,755

Total short-term U.S. government and agency obligations (cost $226,575,889)			$	226,580,482

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency			Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International	07/13/12		2,305,597,000		$	28,849,490		$	(297,673	)
Yen with UBS AG	07/13/12		909,777,700			11,383,873			(77,028	)

								$	(374,701	)

Contracts to Sell
Yen with Goldman Sachs International	07/13/12		(14,551,033,100	)	$	(182,074,269	)	$	1,777,262
Yen with UBS AG	07/13/12		(25,555,231,200	)		(319,767,676	)		2,671,157

								$	4,448,419

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

^	The positions and counterparties herein are as of June 30, 2012. 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.

-100-

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	42,631		$	63,492		$	63,202		$	152,103

Expenses
Management fee		572,421			852,848			1,162,217			1,527,901

Total expenses		572,421			852,848			1,162,217			1,527,901

Net investment income (loss)		(529,790	)		(789,356	)		(1,099,015	)		(1,375,798	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(10,400,196	)		(4,069,778	)		10,452,808			(21,728,019	)
Short-term U.S. government and agency obligations		997			2,795			692			2,809

Net realized gain (loss)		(10,399,199	)		(4,066,983	)		10,453,500			(21,725,210	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(8,995,775	)		(19,654,614	)		8,437,864			13,710,702
Short-term U.S. government and agency obligations		(1,920	)		(7,799	)		8,066			918

Change in net unrealized appreciation/depreciation		(8,997,695	)		(19,662,413	)		8,445,930			13,711,620

Net realized and unrealized gain (loss)		(19,396,894	)		(23,729,396	)		18,899,430			(8,013,590	)

Net income (loss)	$	(19,926,684	)	$	(24,518,752	)	$	17,800,415		$	(9,389,388	)

Net income (loss) per weighted-average share (Note 1)	$	(3.60	)	$	(3.18	)	$	3.16		$	(1.37	)

Weighted-average shares outstanding (Note 1)		5,531,162			7,704,217			5,639,679			6,866,855

See accompanying notes to financial statements.

-101-

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	221,131,994

Addition of 2,300,000 shares		100,723,469
Redemption of 2,400,000 shares		(108,952,279	)

Net addition (redemption) of (100,000) shares		(8,228,810	)


Net investment income (loss)		(1,099,015	)
Net realized gain (loss)		10,453,500
Change in net unrealized appreciation/depreciation		8,445,930

Net income (loss)		17,800,415


Shareholders’ equity, at June 30, 2012	$	230,703,599

See accompanying notes to financial statements.

-102-

PROSHARES ULTRASHORT YEN

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended June 30, 2012			Six months ended June 30, 2011
Cash flow from operating activities
Net income (loss)	$	17,800,415		$	(9,389,388	)
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		(7,168,124	)		(141,880,592	)
Change in unrealized appreciation/depreciation on investments		(8,445,930	)		(13,711,620	)
Increase (Decrease) in management fee payable		(3,068	)		113,262

Net cash provided by (used in) operating activities		2,183,293			(164,868,338	)

Cash flow from financing activities
Proceeds from addition of shares		106,973,203			302,417,904
Payment on shares redeemed		(108,952,279	)		(137,486,114	)

Net cash provided by (used in) financing activities		(1,979,076	)		164,931,790

Net increase (decrease) in cash		204,217			63,452
Cash, beginning of period		22,338			120,494

Cash, end of period	$	226,555		$	183,946

See accompanying notes to financial statements.

-103-

PROSHARES ULTRAPRO SHORT YEN*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		41,000		41,000

Total assets		41,200		41,200


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		41,000		41,000

Total liabilities		41,000		41,000


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	41,200	$	41,200

*	See Note 1.

See accompanying notes to financial statements.

-104-

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	2,018,680	$	2,972,032
Segregated cash balances with brokers for futures contracts		219,741,784		6,303,800
Short-term U.S. government and agency obligations (Note 3) (cost $98,779,327 and $0, respectively)		98,782,668		—
Receivable from capital shares sold		47,162,020		2,469,584
Offering costs (Note 5)		19,735		21,691

Total assets		367,724,887		11,767,107

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		60,632,573		1,852,966
Management fee payable		186,592		4,264
Payable for offering costs		76,836		28,764
Unrealized depreciation on swap agreements		7,695,811		—

Total liabilities		68,591,812		1,885,994

Shareholders’ equity
Shareholders’ equity		299,133,075		9,881,113

Total liabilities and shareholders’ equity	$	367,724,887	$	11,767,107

Shares outstanding		31,091,512		133,335

Net asset value per share (Note 1)	$	9.62	$	74.11

Market value per share (Note 1) (Note 2)	$	9.84	$	72.96

See accompanying notes to financial statements.

-105-

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(33% of shareholders’ equity)
U.S. Treasury Bills:
0.068% due 08/09/12	$	2,716,000	$	2,715,894
0.060% due 08/23/12†		96,072,000		96,066,774

Total short-term U.S. government and agency obligations (cost $98,779,327)			$	98,782,668

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2012		16,212	$	316,944,600	$	(34,408,229	)
VIX Futures - CBOE, expires August 2012		11,781		258,592,950		(18,085,573	)

					$	(52,493,802	)

Swap Agreements^


	Termination Date	Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Societe Generale S.A. based on S&P 500 VIX Short-Term Futures Index	07/10/12	$	25,923,085	$	(7,695,811	)

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

††	Cash collateral in the amount of $219,741,784 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

^	The positions and counterparties herein are as of June 30, 2012. 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.

-106-

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


	Three months ended June 30, 2012			Six months ended June 30, 2012
Investment Income
Interest	$	14,866		$	17,781

Expenses
Management fee		475,752			630,453
Brokerage commissions		429,454			612,128
Offering costs		42,876			50,028

Total expenses		948,082			1,292,609

Net investment income (loss)		(933,216	)		(1,274,828	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(59,215,744	)		(178,462,736	)
Swap agreements		(268,863	)		(268,863	)
Short-term U.S. government and agency obligations		5,579			6,863

Net realized gain (loss)		(59,479,028	)		(178,724,736	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(23,102,989	)		(51,731,012	)
Swap agreements		(2,712,401	)		(7,695,811	)
Short-term U.S. government and agency obligations		2,289			3,341

Change in net unrealized appreciation/depreciation		(25,813,101	)		(59,423,482	)

Net realized and unrealized gain (loss)		(85,292,129	)		(238,148,218	)

Net income (loss)	$	(86,225,345	)	$	(239,423,046	)

Net income (loss) per weighted-average share (Note 1)	$	(6.14	) $		(28.38	)

Weighted-average shares outstanding (Note 1)		14,038,764			8,437,369

See accompanying notes to financial statements.

-107-

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	9,881,113

Addition of 54,475,000 shares		928,561,548
Redemption of 23,516,823 shares		(399,886,540	)

Net addition (redemption) of 30,958,177 shares		528,675,008


Net investment income (loss)		(1,274,828	)
Net realized gain (loss)		(178,724,736	)
Change in net unrealized appreciation/depreciation		(59,423,482	)

Net income (loss)		(239,423,046	)


Shareholders’ equity, at June 30, 2012	$	299,133,075

See accompanying notes to financial statements.

-108-

PROSHARES ULTRA VIX SHORT-TERM FUTURES ETF

STATEMENT OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


	Six months ended June 30, 2012
Cash flow from operating activities
Net income (loss)	$	(239,423,046	)
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		(213,437,984	)
Net sale (purchase) of short-term U.S. government and agency obligations		(98,779,327	)
Change in unrealized appreciation/depreciation on investments		7,692,470
Change in offering cost		1,956
Increase (Decrease) in management fee payable		182,328
Increase (Decrease) in payable on futures contracts		58,779,607
Increase (Decrease) in payable for offering costs		48,072

Net cash provided by (used in) operating activities		(484,935,924	)

Cash flow from financing activities
Proceeds from addition of shares		883,869,112
Payment on shares redeemed		(399,886,540	)

Net cash provided by (used in) financing activities		483,982,572

Net increase (decrease) in cash		(953,352	)
Cash, beginning of period		2,972,032

Cash, end of period	$	2,018,680

See accompanying notes to financial statements.

-109-

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	1,953,864	$	563,350
Segregated cash balances with brokers for futures contracts		53,061,419		—
Short-term U.S. government and agency obligations (Note 3) (cost $93,553,631 and $27,358,785, respectively)		93,555,976		27,357,824
Receivable from capital shares sold		7,202,129		1,909,463
Receivable on open futures contracts		—		742,451
Offering costs (Note 5)		—		1,090

Total assets		155,773,388		30,574,178

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		5,794,505		—
Payable on open futures contracts		12,233,347		—
Management fee payable		107,469		24,275

Total liabilities		18,135,321		24,275

Shareholders’ equity
Shareholders’ equity		137,638,067		30,549,903

Total liabilities and shareholders’ equity	$	155,773,388	$	30,574,178

Shares outstanding		4,300,005		400,005

Net asset value per share	$	32.01	$	76.37

Market value per share (Note 2)	$	32.32	$	75.74

See accompanying notes to financial statements.

-110-

PROSHARES VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(68% of shareholders’ equity)
U.S. Treasury Bills:
0.079% due 08/02/12	$	28,374,000	$	28,373,115
0.070% due 08/09/12		26,457,000		26,455,968
0.042% due 08/23/12		38,729,000		38,726,893

Total short-term U.S. government and agency obligations (cost $93,553,631)			$	93,555,976

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2012		3,904	$	76,323,200	$	(13,545,083	)
VIX Futures - CBOE, expires August 2012		2,855		62,667,250		(4,343,468	)

					$	(17,888,551	)

††	Cash collateral in the amount of $53,061,419 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

See accompanying notes to financial statements.

-111-

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	19,273		$	6,917		$	26,077		$	9,937

Expenses
Management fee		325,748			57,326			473,017			36,288
Offering costs		—			49,886			1,090			98,128

Total expenses		325,748			107,212			474,107			134,416

Net investment income (loss)		(306,475	)		(100,295	)		(448,030	)		(124,479	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(9,362,087	)		(12,442,150	)		(52,094,224	)		(12,793,640	)
Short-term U.S. government and agency obligations		1,293			1,496			1,147			1,500

Net realized gain (loss)		(9,360,794	)		(12,440,654	)		(52,093,077	)		(12,792,140	)

Change in net unrealized appreciation/depreciation on
Futures contracts		1,033,366			(1,970,450	)		(16,312,581	)		(4,452,660	)
Short-term U.S. government and agency obligations		703			(244	)		3,306			643

Change in net unrealized appreciation/depreciation		1,034,069			(1,970,694	)		(16,309,275	)		(4,452,017	)

Net realized and unrealized gain (loss)		(8,326,725	)		(14,411,348	)		(68,402,352	)		(17,244,157	)

Net income (loss)	$	(8,633,200	)	$	(14,511,643	)	$	(68,850,382	)	$	(17,368,636	)

Net income (loss) per weighted-average share	$	(2.20	)	$	(15.00	)	$	(25.66	)	$	(29.45	)

Weighted-average shares outstanding		3,920,335			967,587			2,682,972			589,752

See accompanying notes to financial statements.

-112-

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	30,549,903

Addition of 9,500,000 shares		406,416,926
Redemption of 5,600,000 shares		(230,478,380	)

Net addition (redemption) of 3,900,000 shares		175,938,546


Net investment income (loss)		(448,030	)
Net realized gain (loss)		(52,093,077	)
Change in net unrealized appreciation/depreciation		(16,309,275	)

Net income (loss)		(68,850,382	)


Shareholders’ equity, at June 30, 2012	$	137,638,067

See accompanying notes to financial statements.

-113-

PROSHARES VIX SHORT-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended June 30, 2012			Six months ended June 30, 2011
Cash flow from operating activities
Net income (loss)	$	(68,850,382	)	$	(17,368,636	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(53,061,419	)		—
Net sale (purchase) of short-term U.S. government and agency obligations		(66,194,846	)		(47,043,900	)
Change in unrealized appreciation/depreciation on investments		(3,306	)		(643	)
Decrease (Increase) in receivable on futures contracts		742,451			—
Change in offering cost		1,090			98,128
Increase (Decrease) in management fee payable		83,194			36,288
Increase (Decrease) in payable on futures contracts		12,233,347			1,865,964
Increase (Decrease) in payable for offering costs		—			(198,998	)

Net cash provided by (used in) operating activities		(175,049,871	)		(62,611,797	)

Cash flow from financing activities
Proceeds from addition of shares		401,124,260			116,025,984
Payment on shares redeemed		(224,683,875	)		(50,918,679	)

Net cash provided by (used in) financing activities		176,440,385			65,107,305

Net increase (decrease) in cash		1,390,514			2,495,508
Cash, beginning of period		563,350			400

Cash, end of period	$	1,953,864		$	2,495,908

See accompanying notes to financial statements.

-114-

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	545,205	$	5,521,055
Segregated cash balances with brokers for futures contracts		5,149,600		2,252,358
Short-term U.S. government and agency obligations (Note 3) (cost $13,107,863 and $0, respectively)		13,108,287		—
Receivable on open futures contracts		3,886,101		—
Offering costs (Note 5)		19,735		21,691
Limitation by Sponsor		10,364		—

Total assets		22,719,292		7,795,104

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		9,057,050		—
Management fee payable		—		5,916
Payable for offering costs		76,836		28,764

Total liabilities		9,133,886		34,680

Shareholders’ equity
Shareholders’ equity		13,585,406		7,760,424

Total liabilities and shareholders’ equity	$	22,719,292	$	7,795,104

Shares outstanding		150,010		150,010

Net asset value per share	$	90.56	$	51.73

Market value per share (Note 2)	$	89.83	$	52.28

See accompanying notes to financial statements.

-115-

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(96% of shareholders’ equity)
U.S. Treasury Bills:
0.059% due 08/23/12	$	13,109,000	$	13,108,287

Total short-term U.S. government and agency obligations (cost $13,107,863)			$	13,108,287

Futures Contracts Sold††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires July 2012		383	$	7,487,650	$	423,896
VIX Futures - CBOE, expires August 2012		273		5,992,350		252,206

					$	676,102

††	Cash collateral in the amount of $5,149,600 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

See accompanying notes to financial statements.

-116-

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


	Three months ended June 30, 2012			Six months ended June 30, 2012
Investment Income
Interest	$	3,301		$	4,195

Expenses
Management fee		17,034			35,978
Brokerage commissions		39,043			67,872
Offering costs		42,876			50,028

Total expenses		98,953			153,878

Net investment income (loss)		(95,652	)		(149,683	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(2,781,528	)		4,076,312
Short-term U.S. government and agency obligations		933			786

Net realized gain (loss)		(2,780,595	)		4,077,098

Change in net unrealized appreciation/depreciation on
Futures contracts		(229,628	)		585,922
Short-term U.S. government and agency obligations		173			424

Change in net unrealized appreciation/depreciation		(229,455	)		586,346

Net realized and unrealized gain (loss)		(3,010,050	)		4,663,444

Net income (loss)	$	(3,105,702	)	$	4,513,761

Net income (loss) per weighted-average share	$	(9.95	)	$	19.49

Weighted-average shares outstanding		312,098			231,603

See accompanying notes to financial statements.

-117-

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	7,760,424

Addition of 2,350,000 shares		192,549,780
Redemption of 2,350,000 shares		(191,238,559	)

Net addition (redemption) of 0 shares		1,311,221


Net investment income (loss)		(149,683	)
Net realized gain (loss)		4,077,098
Change in net unrealized appreciation/depreciation		586,346

Net income (loss)		4,513,761


Shareholders’ equity, at June 30, 2012	$	13,585,406

See accompanying notes to financial statements.

-118-

PROSHARES SHORT VIX SHORT-TERM FUTURES ETF

STATEMENT OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


	Six months ended June 30, 2012
Cash flow from operating activities
Net income (loss)	$	4,513,761
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		(2,897,242	)
Net sale (purchase) of short-term U.S. government and agency obligations		(13,107,863	)
Change in unrealized appreciation/depreciation on investments		(424	)
Decrease (Increase) in receivable on open futures contracts		(3,886,101	)
Decrease (Increase) in Limitation by Sponsor		(10,364	)
Change in offering cost		1,956
Increase (Decrease) in management fee payable		(5,916	)
Increase (Decrease) in payable for offering costs		48,072

Net cash provided by (used in) operating activities		(15,344,121	)

Cash flow from financing activities
Proceeds from addition of shares		192,549,780
Payment on shares redeemed		(182,181,509	)

Net cash provided by (used in) financing activities		10,368,271

Net increase (decrease) in cash		(4,975,850	)
Cash, beginning of period		5,521,055

Cash, end of period	$	545,205

See accompanying notes to financial statements.

-119-

PROSHARES ULTRASHORT VIX SHORT-TERM FUTURES ETF*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	400	$	400
Offering costs (Note 5)		18,478		18,478

Total assets		18,878		18,878


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		18,478		18,478

Total liabilities		18,478		18,478


Shareholders’ equity
Shareholders’ equity	$	400	$	400

Total liabilities and shareholders’ equity	$	18,878	$	18,878

*	See Note 1.

See accompanying notes to financial statements.

-120-

PROSHARES ULTRA VIX MID-TERM FUTURES ETF*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	400	$	400
Offering costs (Note 5)		18,478		18,478

Total assets		18,878		18,878


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		18,478		18,478

Total liabilities		18,478		18,478


Shareholders’ equity
Shareholders’ equity	$	400	$	400

Total liabilities and shareholders’ equity	$	18,878	$	18,878

*	See Note 1.

See accompanying notes to financial statements.

-121-

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	1,877,644	$	627,557
Segregated cash balances with brokers for futures contracts		25,983,500		—
Short-term U.S. government and agency obligations (Note 3) (cost $60,524,182 and $89,398,343, respectively)		60,526,781		89,392,389
Receivable on open futures contracts		—		798,319
Offering costs (Note 5)		—		682
Limitation by Sponsor		—		2,481

Total assets		88,387,925		90,821,428

Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts		3,015,230		—
Management fee payable		66,834		—

Total liabilities		3,082,064		—

Shareholders’ equity
Shareholders’ equity		85,305,861		90,821,428

Total liabilities and shareholders’ equity	$	88,387,925	$	90,821,428

Shares outstanding		1,550,005		1,225,005

Net asset value per share	$	55.04	$	74.14

Market value per share (Note 2)	$	55.08	$	74.13

See accompanying notes to financial statements.

-122-

PROSHARES VIX MID-TERM FUTURES ETF

SCHEDULE OF INVESTMENTS

JUNE 30, 2012

(unaudited)


	Principal Amount		Value
Short-term U.S. government and agency obligations
(71% of shareholders’ equity)
U.S. Treasury Bills:
0.081% due 08/02/12	$	39,311,000	$	39,309,774
0.076% due 08/09/12		10,503,000		10,502,590
0.072% due 08/23/12		10,715,000		10,714,417

Total short-term U.S. government and agency obligations (cost $60,524,182)			$	60,526,781

Futures Contracts Purchased††


	Number of Contracts		Notional Amount at Value		Unrealized Appreciation (Depreciation)
VIX Futures - CBOE, expires October 2012		639	$	15,719,400	$	(1,521,950	)
VIX Futures - CBOE, expires November 2012		1,103		28,071,350		(871,800	)
VIX Futures - CBOE, expires December 2012		1,103		28,678,000		(3,189,910	)
VIX Futures - CBOE, expires January 2013		465		12,857,250		(553,900	)

					$	(6,137,560	)

††	Cash collateral in the amount of $25,983,500 was pledged to cover margin requirements for open futures contracts as of June 30, 2012.

See accompanying notes to financial statements.

-123-

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	12,164		$	1,738		$	18,250		$	3,015

Expenses
Management fee		221,167			—			431,431			—
Offering costs		—			31,179			682			61,330
Limitation by Sponsor		—			(8,987	)		—			(26,552	)

Total expenses		221,167			22,192			432,113			34,778

Net investment income (loss)		(209,003	)		(20,454	)		(413,863	)		(31,763	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(3,325,870	)		(1,172,550	)		(25,743,470	)		(1,860,800	)
Short-term U.S. government and agency obligations		480			139			(2,010	)		198

Net realized gain (loss)		(3,325,390	)		(1,172,411	)		(25,745,480	)		(1,860,602	)

Change in net unrealized appreciation/depreciation on
Futures contracts		5,016,790			(331,020	)		(24,810	)		(414,150	)
Short-term U.S. government and agency obligations		2,452			(272	)		8,553			77

Change in net unrealized appreciation/depreciation		5,019,242			(331,292	)		(16,257	)		(414,073	)

Net realized and unrealized gain (loss)		1,693,852			(1,503,703	)		(25,761,737	)		(2,274,675	)

Net income (loss)	$	1,484,849		$	(1,524,157	)	$	(26,175,600	)	$	(2,306,438	)

Net income (loss) per weighted-average share	$	0.84		$	(9.43	)	$	(15.97	)	$	(18.43	)

Weighted-average shares outstanding		1,766,214			161,543			1,638,604			125,145

See accompanying notes to financial statements.

-124-

PROSHARES VIX MID-TERM FUTURES ETF

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	90,821,428

Addition of 925,000 shares		59,610,752
Redemption of 600,000 shares		(38,950,719	)

Net addition (redemption) of 325,000 shares		20,660,033


Net investment income (loss)		(413,863	)
Net realized gain (loss)		(25,745,480	)
Change in net unrealized appreciation/depreciation		(16,257	)

Net income (loss)		(26,175,600	)


Shareholders’ equity, at June 30, 2012	$	85,305,861

See accompanying notes to financial statements.

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PROSHARES VIX MID-TERM FUTURES ETF

STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended June 30, 2012			Six months ended June 30, 2011
Cash flow from operating activities
Net income (loss)	$	(26,175,600	)	$	(2,306,438	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Decrease (Increase) in segregated cash balances with brokers for futures contracts		(25,983,500	)		—
Net sale (purchase) of short-term U.S. government and agency obligations		28,874,161			(13,411,564	)
Change in unrealized appreciation/depreciation on investments		(8,553	)		(77	)
Decrease (Increase) in receivable on futures contracts		798,319			—
Decrease (Increase) in Limitation by Sponsor		2,481			(26,552	)
Change in offering cost		682			61,330
Increase (Decrease) in management fee payable		66,834			—
Increase (Decrease) in payable on futures contracts		3,015,230			312,783
Increase (Decrease) in payable for offering costs		—			(124,374	)

Net cash provided by (used in) operating activities		(19,409,946	)		(15,494,892	)

Cash flow from financing activities
Proceeds from addition of shares		59,610,752			32,434,524
Payment on shares redeemed		(38,950,719	)		(16,232,755	)

Net cash provided by (used in) financing activities		20,660,033			16,201,769

Net increase (decrease) in cash		1,250,087			706,877
Cash, beginning of period		627,557			400

Cash, end of period	$	1,877,644		$	707,277

See accompanying notes to financial statements.

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PROSHARES SHORT VIX MID-TERM FUTURES ETF*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	400	$	400
Offering costs (Note 5)		18,478		18,478

Total assets		18,878		18,878


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		18,478		18,478

Total liabilities		18,478		18,478


Shareholders’ equity
Shareholders’ equity	$	400	$	400

Total liabilities and shareholders’ equity	$	18,878	$	18,878

*	See Note 1.

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT VIX MID-TERM FUTURES ETF*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	400	$	400
Offering costs (Note 5)		18,478		18,478

Total assets		18,878		18,878


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		18,478		18,478

Total liabilities		18,478		18,478


Shareholders’ equity
Shareholders’ equity	$	400	$	400

Total liabilities and shareholders’ equity	$	18,878	$	18,878

*	See Note 1.

See accompanying notes to financial statements.

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PROSHARES MANAGED FUTURES STRATEGY*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		90,800		90,800

Total assets		91,000		91,000


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		90,800		90,800

Total liabilities		90,800		90,800


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	91,000	$	91,000

*	See Note 1.

See accompanying notes to financial statements.

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PROSHARES COMMODITY MANAGED FUTURES STRATEGY*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		62,100		62,100

Total assets		62,300		62,300


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		62,100		62,100

Total liabilities		62,100		62,100


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	62,300	$	62,300

*	See Note 1.

See accompanying notes to financial statements.

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PROSHARES FINANCIAL MANAGED FUTURES STRATEGY*

STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	200	$	200
Offering costs (Note 5)		62,100		62,100

Total assets		62,300		62,300


Liabilities and shareholders’ equity
Liabilities
Payable for offering costs		62,100		62,100

Total liabilities		62,100		62,100


Shareholders’ equity
Shareholders’ equity	$	200	$	200

Total liabilities and shareholders’ equity	$	62,300	$	62,300

*	See Note 1.

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF FINANCIAL CONDITION


	June 30, 2012 (unaudited)		December 31, 2011
Assets
Cash	$	17,547,397	$	19,145,045
Segregated cash balances with brokers for futures contracts		350,551,686		34,136,628
Short-term U.S. government and agency obligations (Note 3) (cost $3,348,550,066 and $3,314,826,965, respectively)		3,348,636,724		3,314,757,692
Unrealized appreciation on swap agreements		5,045,154		3,215,991
Unrealized appreciation on forward agreements		26,770,333		76,417,081
Unrealized appreciation on foreign currency forward contracts		4,195,659		67,533,681
Receivable from capital shares sold		103,267,915		62,130,059
Receivable on open futures contracts		41,050,703		2,247,035
Offering costs (Note 5)		1,471,876		1,481,880
Limitation by Sponsor		23,942		2,481

Total assets		3,898,561,389		3,581,067,573

Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed		28,221,043		20,503,124
Payable on open futures contracts		83,278,938		1,852,966
Management fee payable		2,612,758		2,597,445
Payable for offering costs		1,690,882		1,507,202
Unrealized depreciation on swap agreements		8,015,985		10,714,573
Unrealized depreciation on forward agreements		131,972,443		260,163,053
Unrealized depreciation on foreign currency forward contracts		22,691,689		4,882,358

Total liabilities		278,483,738		302,220,721

Shareholders’ equity
Shareholders’ equity		3,620,077,651		3,278,846,852

Total liabilities and shareholders’ equity	$	3,898,561,389	$	3,581,067,573

Shares outstanding		138,938,401		103,835,670

See accompanying notes to financial statements.

-132-

PROSHARES TRUST II

COMBINED STATEMENTS OF OPERATIONS

FOR THE THREE AND SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Three months ended June 30, 2012			Three months ended June 30, 2011			Six months ended June 30, 2012			Six months ended June 30, 2011
Investment Income
Interest	$	568,104		$	509,254		$	782,733		$	1,227,378

Expenses
Management fee		8,106,940			7,805,134			16,210,317			13,299,907
Brokerage commissions		574,052			48,369			831,025			98,253
Offering costs		164,372			81,065			193,686			159,458
Limitation by Sponsor		(196	)		(8,987	)		(148	)		(26,552	)

Total expenses		8,845,168			7,925,581			17,234,880			13,531,066

Net investment income (loss)		(8,277,064	)		(7,416,327	)		(16,452,147	)		(12,303,688	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(116,561,280	)		11,806,302			(294,910,229	)		31,019,677
Swap agreements		(36,283,230	)		(1,544,607	)		(24,730,044	)		51,475,669
Forward agreements		(197,470,125	)		(156,751,649	)		(256,453,070	)		33,167,638
Foreign currency forward contracts		71,328,119			(42,595,545	)		130,318,926			(121,328,723	)
Short-term U.S. government and agency obligations		22,680			65,478			17,329			75,375

Net realized gain (loss)		(278,963,836	)		(189,020,021	)		(445,757,088	)		(5,590,364	)

Change in net unrealized appreciation/depreciation on
Futures contracts		9,485,226			(34,125,970	)		(45,157,994	)		(17,093,140	)
Swap agreements		6,432,276			1,792,727			4,527,751			(5,470,895	)
Forward agreements		(63,416,130	)		(85,589,791	)		78,543,862			(66,213,411	)
Foreign currency forward contracts		(575,530	)		(13,339,306	)		(81,147,353	)		23,831,084
Short-term U.S. government and agency obligations		15,659			(45,475	)		155,931			(4,624	)

Change in net unrealized appreciation/depreciation		(48,058,499	)		(131,307,815	)		(43,077,803	)		(64,950,986	)

Net realized and unrealized gain (loss)		(327,022,335	)		(320,327,836	)		(488,834,891	)		(70,541,350	)

Net income (loss)	$	(335,299,399	)	$	(327,744,163	)	$	(505,287,038	)	$	(82,845,038	)

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE SIX MONTHS ENDED JUNE 30, 2012

(unaudited)


Shareholders’ equity, at December 31, 2011	$	3,278,846,852

Addition of 111,990,000 shares		3,207,894,384
Redemption of 76,887,269 shares		(2,361,376,547	)

Net addition (redemption) of 35,102,731 shares		846,517,837


Net investment income (loss)		(16,452,147	)
Net realized gain (loss)		(445,757,088	)
Change in net unrealized appreciation/depreciation		(43,077,803	)

Net income (loss)		(505,287,038	)


Shareholders’ equity, at June 30, 2012	$	3,620,077,651

See accompanying notes to financial statements.

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PROSHARES TRUST II

COMBINED STATEMENTS OF CASH FLOWS

FOR THE SIX MONTHS ENDED JUNE 30, 2012 AND 2011

(unaudited)


	Six months ended June 30, 2012			Six months ended June 30, 2011
Cash flow from operating activities
Net income (loss)	$	(505,287,038	)	$	(82,845,038	)
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		(316,415,058	)		(30,588,246	)
Net sale (purchase) of short-term U.S. government and agency obligations		(33,723,101	)		(1,514,680,440	)
Change in unrealized appreciation/depreciation on investments		(2,080,191	)		47,857,846
Decrease (Increase) in receivable on futures contracts		(38,803,668	)		1,509,133
Decrease (Increase) in Limitation by Sponsor		(21,461	)		(26,552	)
Change in offering cost		(30,996	)		159,458
Increase (Decrease) in management fee payable		15,313			1,064,736
Increase (Decrease) in payable on futures contracts		81,425,972			716,380
Increase (Decrease) in payable for offering costs		224,680			(323,372	)

Net cash provided by (used in) operating activities		(814,695,548	)		(1,577,156,095	)

Cash flow from financing activities
Proceeds from addition of shares		3,166,756,528			3,618,464,747
Payment on shares redeemed		(2,353,658,628	)		(2,038,370,920	)

Net cash provided by (used in) financing activities		813,097,900			1,580,093,827

Net increase (decrease) in cash		(1,597,648	)		2,937,732
Cash, beginning of period		19,145,045			13,024,692

Cash, end of period	$	17,547,397		$	15,962,424

See accompanying notes to financial statements.

-135-

PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

June 30, 2012

(unaudited)

NOTE 1 – ORGANIZATION

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 currently organized into separate series (each, a “Fund” and collectively, the “Funds”). As of June 30, 2012, the following nineteen series of the Trust: (i) ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra DJ-UBS Natural Gas, ProShares UltraShort DJ-UBS Natural Gas, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares Ultra Euro, ProShares UltraShort Euro, ProShares Ultra Yen and ProShares UltraShort 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”), issue 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 Trust has also registered shares for thirty-four additional series: (i) ProShares Short DJ-UBS Natural Gas and ProShares Short Gold (each, a “Short Fund” and 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 (each, a “New Geared VIX Fund” and collectively, the “New Geared VIX Funds”); (iii) ProShares Managed Futures Strategy, ProShares Commodity Managed Futures Strategy and ProShares Financial Managed Futures Strategy (each, a “Managed Futures Fund” and collectively, the “Managed Futures Funds”); (iv) ProShares UltraPro Australian Dollar, ProShares Ultra Australian Dollar, ProShares Short Australian Dollar, ProShares UltraShort 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 (each, a “New Currency Fund” and collectively, the “New Currency Funds”); and (v) 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 (each, a “Currency Index Fund” and collectively, the “Currency Index Funds”). The Short Funds, the New Geared VIX Funds, the Managed Futures Funds, the New Currency Funds and the Currency Index Funds are collectively referred to as the “New Funds” in these Notes to Financial Statements. The Geared VIX Funds, the New Geared VIX Funds and the Matching VIX Funds are collectively referred to as the “VIX Funds” in these Notes to Financial Statements. The Leveraged Funds, the Short Euro Fund, the Geared VIX Funds, the Short Funds, the New Geared VIX Funds, the New Currency Funds and the Currency Index Funds are collectively referred to as the “Geared Funds” in these Notes to Financial Statements.

As of June 30, 2012, each of the New Funds had seed capital, but none of the New Funds had commenced investment operations; therefore, these Financial Statements do not include Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity or Statements of Cash Flows for the New Funds.

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

-136-

Eight of the Funds, ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra Euro, ProShares UltraShort Euro, ProShares Ultra Yen and ProShares UltraShort Yen, commenced trading on the NYSE Arca on November 25, 2008. Four of the Funds, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, and ProShares UltraShort 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 Ultra DJ-UBS Natural Gas and ProShares UltraShort 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. As of June 30, 2012, the New Funds had not yet commenced trading.

Groups of Funds are collectively referred to in several different ways. References to “UltraPro Funds,” “Ultra Funds,” “Short Funds,” “UltraShort Funds” or “UltraPro Short 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,” “Currency Index 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. References to “Managed Futures Funds” refer to the different Funds according to which index the Fund intends to gain exposure.

Each “UltraPro” Fund will seek daily investment results (before fees and expenses) that correspond to three times (3x) the daily performance of its corresponding benchmark. Each “Ultra” Fund seeks or will seek daily investment results (before fees and expenses) that correspond to twice (2x) the daily performance of its corresponding benchmark. Each “Short” Fund seeks or will seek 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 or will seek daily investment results (before fees and expenses) that correspond to twice the inverse (-2x) of the daily performance of its corresponding benchmark. Each “UltraPro Short” Fund will seek daily investment results (before fees and expenses) that correspond to three times the inverse (-3x) of the daily performance of its corresponding benchmark. Daily performance is measured from the calculation of one NAV to the next. Each of the Geared Funds generally invests or will invest in Financial Instruments (i.e., commodity-based, currency-based or equity market volatility-based instruments whose value is derived from the value of an underlying asset, rate or index, including futures contracts and options on futures contracts, swap agreements, forward contracts and other commodity-based or currency-based options contracts) as a substitute for investing directly in commodities, currencies, or equity market volatility products in order to gain exposure to the commodity index, currency benchmark, commodity, currency or to an equity market volatility index. Financial Instruments also are used to produce economically “leveraged” or “inverse” investment results for the Funds. Each Matching VIX Fund seeks daily investment results (before fees and expenses) that match the performance of a benchmark. Each Geared VIX Fund and each New Geared VIX Fund seeks or will seek daily investment results (before fees and expenses) that correspond to a multiple, the inverse or inverse multiple of the daily performance of a benchmark. Each VIX Fund intends to obtain exposure to its benchmark by investing primarily in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”). The Managed Futures Funds will seek to provide investment results (before fees and expenses) that correspond to the performance of the S&P Dynamic Futures Index (the “DFI” or the “Index”), the S&P Dynamic Commodities Futures Index (the “DCFI”) or the S&P Dynamic Financial Futures Index (the “DFFI”) (each a “Sub-Index” and collectively, the “Sub-Indexes”). Each Managed Futures Fund intends to obtain exposure to the Index or to a Sub-Index, as applicable, by investing primarily in unleveraged positions in U.S. exchange-traded futures contracts on sixteen different tangible commodities (the “Commodities Futures Contracts”) or futures contracts on eight different financials, such as major currencies and U.S. Treasury securities (the “Financials Futures Contracts” and together with the Commodities Futures Contracts, the “Index Components”).

The Geared Funds do not seek to achieve their stated investment objective over a period of time greater than one day because mathematical compounding prevents the Geared Funds from achieving such results. Accordingly, results over periods of time greater than one day should not be expected to be a simple multiple (e.g., 3x, 2x, -1, -2x or -3x) 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. The Managed Futures Funds seek to achieve their stated investment objective over time.

-137-

ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra DJ-UBS Natural Gas and ProShares UltraShort DJ-UBS Natural Gas each have a benchmark that is an index designed to track the performance of commodity futures contracts, as applicable, and as listed below. 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.

Renaming of Index

Effective as of January 2, 2012, the official name for the Dow Jones-UBS Crude Oil Sub-Index^SM (Ticker: DJUBSCL) changed to the Dow Jones-UBS WTI Crude Oil Sub-Index^SM. The ticker did not change as a result of the name change.

Share Splits and Reverse Share Splits

Prior to the opening of trading on the NYSE Arca on February 25, 2011, ProShares UltraShort DJ-UBS Commodity and ProShares UltraShort DJ-UBS Crude Oil executed a 1-for-5 reverse split of shares and ProShares UltraShort Silver and ProShares Ultra DJ-UBS Crude Oil executed a 1-for-4 reverse split of shares. The funds traded at their post-split prices on February 25, 2011. The ticker symbols for the funds did not change, and they continue to trade on the NYSE Arca.

Prior to the opening of trading on the NYSE Arca on October 13, 2011, ProShares Ultra Silver executed a 2-for-1 split of shares and ProShares UltraShort Yen executed a 1-for-3 reverse split of shares. The funds traded at their post-split prices on October 13, 2011. The ticker symbols for the funds did not change, and they continue to trade on the NYSE Arca.

Prior to the opening of trading on the NYSE Arca on March 8, 2012, ProShares Ultra VIX Short-Term Futures ETF executed a 1-for-6 reverse split of shares. The fund traded at its post-split price on March 8, 2012. The ticker symbol for the fund did not change, and it continues to trade on the NYSE Arca.

Prior to the opening of trading on the NYSE Arca on May 11, 2012, ProShares UltraShort DJ-UBS Natural Gas executed a 3-for-1 split of shares and ProShares Ultra DJ-UBS Natural Gas and ProShares UltraShort Silver executed a 1-for-5 reverse split of shares. The funds traded at their post-split prices on May 11, 2012. The ticker symbols for the funds did not change, and they continue to trade on the NYSE Arca.

The reverse splits were applied retroactively for all periods presented, reducing the number of shares outstanding for each of ProShares UltraShort DJ-UBS Commodity, ProShares UltraShort DJ-UBS Crude Oil, ProShares UltraShort Silver, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort Yen, ProShares Ultra VIX Short-Term Futures ETF and ProShares Ultra DJ-UBS Natural Gas, 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 split.

The splits were applied retroactively for all periods presented, increasing the number of shares outstanding for ProShares Ultra Silver and ProShares UltraShort DJ-UBS Natural Gas, and resulted in a proportionate decrease in the price per share and per share information of each such Fund. Therefore, the splits 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”).

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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, 2011, as filed with the SEC on February 29, 2012.

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, audited 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 Units in that Fund.

Statement of Cash Flows

The cash amount shown in the Statements of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated June 30, 2012, 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 June 30, 2012 were as follows. All times are Eastern Standard Time:


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

Although the Leveraged Funds’, the Short Euro Fund, 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 June 30, 2012.

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

For financial reporting purposes, the Leveraged Funds, the Short Euro Fund, the Geared VIX Funds and the Matching VIX Funds value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements differ from those used in the calculation of some Leveraged Funds’, Short Euro Fund’s, Geared VIX Funds’ and Matching VIX Funds’ final creation/redemption NAV for the three months ended June 30, 2012.

Investment Valuation

Short-term investments are valued at market price. Treasury securities having a maturity of greater than sixty days are valued at market price. In each of these situations, valuations are typically categorized as Level I in the fair value hierarchy.

Derivatives (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 and Silver 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 and Silver Funds are valued at the last sales price prior to the time at which the NAV per share of a Fund is determined. 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, the Geared VIX Funds’ and the Matching VIX Funds’ policies are intended to result in a calculation of a Leveraged Funds’, the Short Euro Fund’s, a Geared VIX Funds’ or a Matching VIX Funds’ NAV that fairly reflects investment values as of the time of pricing, a Leveraged Fund, the Short Euro Fund, a Geared VIX Fund or a Matching 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, a Geared VIX Fund or a Matching 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).

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

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

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

The following table summarizes the valuation of investments at June 30, 2012 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
Ultra DJ-UBS Commodity	$	7,330,933	$	—		$	—		$	—		$	686,319		$	8,017,252
UltraShort DJ-UBS Commodity		3,679,918		—			—			—			(320,174	)		3,359,744
Ultra DJ-UBS Crude Oil		419,999,960		10,136,020			—			—			3,963,194			434,099,174
UltraShort DJ-UBS Crude Oil		68,239,914		(3,094,550	)		—			—			395,641			65,541,005
Ultra DJ-UBS Natural Gas		46,186,067		18,591,260			—			—			—			64,777,327
UltraShort DJ-UBS Natural Gas		11,485,375		(3,820,520	)		—			—			—			7,664,855
Ultra Gold		347,537,601		3,760			(16,643,471	)		—			—			330,897,890
UltraShort Gold		124,459,036		(3,720	)		4,763,505			—			—			129,218,821
Ultra Silver		776,032,618		(12,130	)		(115,328,972	)		—			—			660,691,516
UltraShort Silver		138,950,265		12,030			22,006,828			—			—			160,969,123
Ultra Euro		5,274,789		—			—			121,941			—			5,396,730
Short Euro		—		(50,313	)		—			—			—			(50,313	)
UltraShort Euro		901,975,255		—			—			(22,591,311	)		—			879,383,944
Ultra Yen		4,930,799		—			—			(100,378	)		—			4,830,421
UltraShort Yen		226,580,482		—			—			4,073,718			—			230,654,200
Ultra VIX Short-Term Futures ETF		98,782,668		(52,493,802	)		—			—			(7,695,811	)		38,593,055
VIX Short-Term Futures ETF		93,555,976		(17,888,551	)		—			—			—			75,667,425
Short VIX Short-Term Futures ETF		13,108,287		676,102			—			—			—			13,784,389
VIX Mid-Term Futures ETF		60,526,781		(6,137,560	)		—			—			—			54,389,221

Total Trust	$	3,348,636,724	$	(54,081,974	)	$	(105,202,110	)	$	(18,496,030	)	$	(2,970,831	)	$	3,167,885,779

At June 30, 2012, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

At June 30, 2012, there were no transfers in or out of Level I and Level II fair value measurements.

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, 2011 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
Ultra DJ-UBS Commodity	$	9,713,685	$	—		$	—		$	—		$	(707,177	)	$	9,006,508
UltraShort DJ-UBS Commodity		8,534,690		—			—			—			570,751			9,105,441
Ultra DJ-UBS Crude Oil		246,919,569		(1,365,330	)		—			—			(10,007,396	)		235,546,843
UltraShort DJ-UBS Crude Oil		131,934,193		247,040			—			—			2,645,240			134,826,473
Ultra DJ-UBS Natural Gas		—		(825,510	)		—			—			—			(825,510	)
UltraShort DJ-UBS Natural Gas		2,621,684		1,381,010			—			—			—			4,002,694
Ultra Gold		399,317,740		(41,660	)		(80,836,280	)		—			—			318,439,800
UltraShort Gold		164,673,175		41,800			33,401,358			—			—			198,116,333
Ultra Silver		771,925,669		(60,850	)		(179,326,773	)		—			—			592,538,046
UltraShort Silver		215,352,919		60,850			43,015,723			—			—			258,429,492
Ultra Euro		10,068,707		—			—			(518,212	)		—			9,550,495
UltraShort Euro		1,012,174,281		—			—			67,430,954			—			1,079,605,235
Ultra Yen		5,366,875		—			—			102,727			—			5,469,602
UltraShort Yen		219,404,292		—			—			(4,364,146	)		—			215,040,146
Ultra VIX Short-Term Futures ETF		—		(762,790	)		—			—			—			(762,790	)
VIX Short-Term Futures ETF		27,357,824		(1,575,970	)		—			—			—			25,781,854
Short VIX Short-Term Futures ETF		—		90,180			—			—			—			90,180
VIX Mid-Term Futures ETF		89,392,389		(6,112,750	)		—			—			—			83,279,639

Total Trust	$	3,314,757,692	$	(8,923,980	)	$	(183,745,972	)	$	62,651,323		$	(7,498,582	)	$	3,177,240,481

At December 31, 2011, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

At December 31, 2011, there were no transfers in or out of Level I and Level II fair value measurements.

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

Investment Transactions and Related Income

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

Brokerage Commissions and Fees

Each Fund pays or will pay its respective brokerage commissions, including applicable exchange fees, National Futures Association (“NFA”) fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with trading activities for each Fund’s investment in U.S. Commodity Futures Trading Commission 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. For the six months ended June 30, 2012, the Sponsor paid and is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds.

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Federal Income Tax

Each Fund is registered as a series of a Delaware statutory trust and is or will be 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 or will be 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 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 that the Sponsor believes in combination should produce returns consistent with a Fund’s objective.

All open derivative positions at period-end for each Fund are disclosed in the Schedule of Investments and the notional value of these open positions relative to the shareholders’ equity of each Fund is generally representative of the notional value of open positions to shareholders’ equity throughout the reporting period for each respective Fund. The volume associated with derivative positions varies on a daily basis as each Fund transacts derivative contracts in order to achieve the appropriate exposure, as expressed in notional value, in comparison to shareholders’ equity consistent with each Fund’s investment objective.

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 an underlying index 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 a commodity 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.

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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 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.

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) commodities, or to create an economic hedge against a position. Swap agreements are two-party contracts entered into primarily with institutional investors for a specified period, ranging from a day to more than one year. 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. In the case of futures contracts based indices, such as those used by the Commodity Index Funds, the reference interest rate is zero. 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 an UltraPro Fund or an Ultra Fund, the UltraPro Fund or the 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 an UltraShort Fund or an UltraPro Short Fund, the UltraShort Fund or the UltraPro Short 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 swap agreement is accrued on a daily basis and an amount of cash and/or securities having an aggregate NAV at least equal to such accrued excess is maintained in a segregated account by the Funds’ 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 Index.

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 correlation between movements in the notional amount and the price of the underlying reference index and the inability of

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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 enter into swap agreements only with large, well-capitalized and well established 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, 2012 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. 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. 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, 2012, the collateral posted by counterparties consisted of U.S. Treasury securities.

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 a commodity or currency at or before a specified date in the future at a specified price. Forward contracts are typically traded in the over-the-counter (“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 are, in general, not cleared or guaranteed by a third party. The Funds may collateralize 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, as those amounts are not similarly collateralized by the counterparty. However, the Funds have sought to mitigate these risks by generally requiring that the

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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. 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, 2012, the collateral posted by counterparties consisted of 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.

A Fund will enter into forward contracts only with large, well-capitalized and well established financial institutions. The creditworthiness of each of the firms that is a party to a forward contract is monitored by the Sponsor.

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Fair Value of Derivative Instruments

as of June 30, 2012

Asset Derivatives

Liability Derivatives

Derivatives not

accounted for

as hedging

instruments

Statements

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 Ultra DJ-UBS Commodity

686,319

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

ProShares UltraShort DJ-UBS Commodity

320,174

ProShares Ultra DJ-UBS Crude Oil

14,099,214

ProShares UltraShort DJ-UBS Crude Oil

3,094,550

ProShares UltraShort DJ-UBS Crude Oil

395,641

ProShares UltraShort DJ-UBS Natural Gas

3,820,520

ProShares Ultra DJ-UBS Natural Gas

18,591,260

ProShares Ultra Gold

16,643,471

ProShares Ultra Gold

3,760

ProShares UltraShort Gold

3,720

ProShares UltraShort Gold

4,763,505

ProShares Ultra Silver

115,341,102

ProShares UltraShort Silver

22,018,858

Foreign Exchange Contracts

Unrealized appreciation on foreign currency forward contracts

ProShares Ultra Euro

125,291

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

ProShares Ultra Euro

3,350

ProShares UltraShort Euro

1,496,470

ProShares Short Euro

50,313

ProShares Ultra Yen

1,095

ProShares UltraShort Euro

24,087,781

ProShares UltraShort Yen

4,448,419

ProShares Ultra Yen

101,473

ProShares UltraShort Yen

374,701

VIX Futures Contracts

Receivables on open futures contracts

ProShares Short VIX Short-Term Futures ETF

676,102

Payable on open futures contracts and swap agreements

ProShares Ultra VIX Short-Term Futures ETF

60,189,613

ProShares VIX Short-Term Futures ETF

17,888,551

ProShares VIX Mid-Term Futures ETF

6,137,560

Total Trust

67,305,934

Total Trust

248,056,879

*	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, 2011

Asset Derivatives

Liability Derivatives

Derivatives not

accounted for

as hedging

instruments

Statements

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

570,751

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

ProShares Ultra DJ-UBS Commodity

707,177

ProShares UltraShort DJ-UBS Crude Oil

3,145,557

ProShares Ultra DJ-UBS Crude Oil

11,372,726

ProShares UltraShort DJ-UBS Natural Gas

1,381,010

ProShares UltraShort DJ-UBS Crude Oil

253,277

ProShares UltraShort Gold

33,443,158

ProShares Ultra DJ-UBS Natural Gas

825,510

ProShares UltraShort Silver

45,078,871

ProShares Ultra Gold

80,877,940

ProShares Ultra Silver

179,387,623

ProShares UltraShort Silver

2,002,298

Foreign Exchange Contracts

Unrealized appreciation on foreign currency forward contracts

ProShares Ultra Euro

6,850

Unrealized depreciation on foreign currency forward contracts

ProShares Ultra Euro

525,062

ProShares UltraShort Euro

69,475,850

ProShares UltraShort Euro

2,044,896

ProShares Ultra Yen

103,610

ProShares Ultra Yen

883

ProShares UltraShort Yen

234,106

ProShares UltraShort Yen

4,598,252

VIX Futures Contracts

Receivables on open futures contracts

ProShares Ultra VIX Short-Term Futures ETF

141,600

Payable on open futures contracts

ProShares Ultra VIX Short-Term Futures ETF

904,390

ProShares VIX Short-Term Futures ETF

295,500

ProShares VIX Short-Term Futures ETF

1,871,470

ProShares Short VIX Short-Term Futures ETF

181,280

ProShares Short VIX Short-Term Futures ETF

91,100

ProShares VIX Mid-Term Futures ETF

93,000

ProShares VIX Mid-Term Futures ETF

6,205,750

Total Trust

154,151,143

Total Trust

291,668,354

*	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.

-148-

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 30, 2012


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 Ultra DJ-UBS Commodity	$	(1,858,138	)	$	972,171
		ProShares UltraShort DJ-UBS Commodity		1,440,617			(529,837	)
		ProShares Ultra DJ-UBS Crude Oil		(112,159,856	)		16,382,312
		ProShares UltraShort DJ-UBS Crude Oil		54,331,980			(4,689,499	)
		ProShares Ultra DJ-UBS Natural Gas		(21,504,204	)		34,960,080
		ProShares UltraShort DJ-UBS Natural Gas		1,866,063			(11,132,490	)
		ProShares Ultra Gold		(20,402,544	)		(12,223,665	)
		ProShares UltraShort Gold		3,258,237			4,384,700
		ProShares Ultra Silver		(219,393,573	)		(68,862,262	)
		ProShares UltraShort Silver		39,062,875			13,285,037

Foreign Exchange Contracts	Net realized gain (loss) on foreign currency forward and futures contracts/changes in unrealized appreciation/ depreciation on foreign currency forward and futures contracts	ProShares Ultra Euro		(617,222	)		(171,629	)
		ProShares Short Euro		(2,000	)		(50,313	)
		ProShares UltraShort Euro		82,141,512			8,466,287
		ProShares Ultra Yen		204,025			125,587
		ProShares UltraShort Yen		(10,400,196	)		(8,995,775	)

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 Ultra VIX Short-Term Futures ETF		(59,484,607	)		(25,815,390	)
		ProShares VIX Short-Term Futures ETF		(9,362,087	)		1,033,366
		ProShares Short VIX Short-Term Futures ETF		(2,781,528	)		(229,628	)
		ProShares VIX Mid-Term Futures ETF		(3,325,870	)		5,016,790

		Total Trust	$	(278,986,516	)	$	(48,074,158	)

-149-

The Effect of Derivative Instruments on the Statements of Operations

For the three months ended June 30, 2011


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 Ultra DJ-UBS Commodity	$	(1,213,954	)	$	(2,137,478	)
		ProShares UltraShort DJ-UBS Commodity		(5,131,689	)		2,333,550
		ProShares Ultra DJ-UBS Crude Oil		(7,846,532	)		(34,173,327	)
		ProShares UltraShort DJ-UBS Crude Oil		31,529,105			12,901,862
		ProShares Ultra Gold		42,611,361			(22,454,529	)
		ProShares UltraShort Gold		(15,435,937	)		7,092,648
		ProShares Ultra Silver		(206,332,040	)		(104,941,071	)
		ProShares UltraShort Silver		28,944,432			25,756,781

Foreign Exchange Contracts	Net realized gain (loss) on foreign currency forward contracts/changes in unrealized appreciation/ depreciation on foreign currency forward contracts	ProShares Ultra Euro		688,719			(272,940	)
		ProShares UltraShort Euro		(39,284,937	)		6,451,205
		ProShares Ultra Yen		70,451			137,043
		ProShares UltraShort Yen		(4,069,778	)		(19,654,614	)

VIX Futures Contracts	Net realized gain (loss) on futures contracts/ changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(12,442,150	)		(1,970,450	)
VIX Futures Contracts		ProShares VIX Mid-Term Futures ETF		(1,172,550	)		(331,020	)

		Total Trust	$	(189,085,499	)	$	(131,262,340	)

-150-

The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 30, 2012


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 Ultra DJ-UBS Commodity	$	(2,180,586	)	$	1,393,496
		ProShares UltraShort DJ-UBS Commodity		1,514,927			(890,925	)
		ProShares Ultra DJ-UBS Crude Oil		(96,615,721	)		25,471,940
		ProShares UltraShort DJ-UBS Crude Oil		50,500,369			(5,591,189	)
		ProShares Ultra DJ-UBS Natural Gas		(26,662,775	)		19,416,770
		ProShares UltraShort DJ-UBS Natural Gas		6,303,174			(5,201,530	)
		ProShares Ultra Gold		(50,261,340	)		64,238,229
		ProShares UltraShort Gold		1,712,252			(28,683,373	)
		ProShares Ultra Silver		(211,287,123	)		64,046,521
		ProShares UltraShort Silver		3,378,461			(21,057,715	)

Foreign Exchange Contracts	Net realized gain (loss) on foreign currency forward and futures contracts/changes in unrealized appreciation/ depreciation on foreign currency forward and futures contracts	ProShares Ultra Euro		(866,798	)		640,153
		ProShares Short Euro		(2,000	)		(50,313	)
		ProShares UltraShort Euro		120,954,100			(90,022,265
		ProShares Ultra Yen		(221,184	)		(203,105	)
		ProShares UltraShort Yen		10,452,808			8,437,864

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 Ultra VIX Short-Term Futures ETF		(178,731,599	)		(59,426,823	)
		ProShares VIX Short-Term Futures ETF		(52,094,224	)		(16,312,581	)
		ProShares Short VIX Short-Term Futures ETF		4,076,312			585,922
		ProShares VIX Mid-Term Futures ETF		(25,743,470	)		(24,810	)

		Total Trust	$	(445,774,417	)	$	(43,233,734	)

-151-

The Effect of Derivative Instruments on the Statements of Operations

For the six months ended June 30, 2011


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 Ultra DJ-UBS Commodity	$	1,990,167		$	(3,569,132	)
		ProShares UltraShort DJ-UBS Commodity		(5,516,002	)		2,416,684
		ProShares Ultra DJ-UBS Crude Oil		74,337,895			(29,303,067	)
		ProShares UltraShort DJ-UBS Crude Oil		17,593,876			15,683,320
		ProShares Ultra Gold		50,632,772			(23,927,606	)
		ProShares UltraShort Gold		(23,389,324	)		7,773,741
		ProShares Ultra Silver		67,012,421			(79,985,526	)
		ProShares UltraShort Silver		(52,344,381	)		27,000,950

Foreign Exchange Contracts	Net realized gain (loss) on foreign currency forward contracts/changes in unrealized appreciation/ depreciation on foreign currency forward contracts	ProShares Ultra Euro		1,607,088			(239,167	)
		ProShares UltraShort Euro		(101,433,972	)		10,624,915
		ProShares Ultra Yen		226,180			(265,366	)
		ProShares UltraShort Yen		(21,728,019	)		13,710,702


VIX Futures Contracts	Net realized gain (loss) on futures contracts/ changes in unrealized appreciation/ depreciation on futures contracts	ProShares VIX Short-Term Futures ETF		(12,793,640	)		(4,452,660	)
VIX Futures Contracts		ProShares VIX Mid-Term Futures ETF		(1,860,800	)		(414,150	)

		Total Trust	$	(5,665,739	)	$	(64,946,362	)

-152-

NOTE 4 – AGREEMENTS

Management Fee

Each Leveraged Fund, the Short Euro Fund, each Geared VIX Fund and each Managed Futures Fund pays or will pay 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. In the first year of the Leveraged Funds’, the Short Euro Fund’s and the VIX Funds’ operations, the Sponsor did not charge its fee in an amount equal to the organization and offering costs. The Sponsor reimbursed or will reimburse each Leveraged Fund, the Short Euro Fund, each Geared VIX Fund and each Managed Futures Fund, if applicable, to the extent that its offering costs exceeded or exceed 0.95% of its average daily NAV of each Fund for the first year of operations. 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. The Sponsor will not charge its fee in the first year of operation of each Fund in an amount equal to the offering costs. The Sponsor has agreed to reimburse each Fund to the extent that its offering costs exceed the Management Fee for the first year of operations. The Management Fee is or will be paid in consideration of the Sponsor’s services as commodity pool operator and commodity trading advisor, and for managing the business and affairs of the Funds. From the Management Fee, the Sponsor pays or will pay the fees and expenses of the Administrator, Custodian, Distributor, Transfer Agent and the licensors for the Commodity Index Funds (Dow Jones & Company, Inc. and UBS Securities LLC, together, “DJ-UBS”), 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 ongoing SEC registration fees not exceeding 0.021% per annum of the NAV of a Fund and Financial Industry Regulatory Authority (“FINRA”) filing fees. For the six months ended June 30, 2012, the Sponsor paid and is currently paying brokerage commissions on VIX futures contracts for the Matching VIX Funds. Each Fund incurs and pays, and each New Fund will incur and pay, 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, 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 or will be 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 or will be 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.

-153-

Routine Operational, Administrative and Other Ordinary Expenses

The Sponsor pays or will pay 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, Transfer Agent, DJ-UBS, 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 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 or will pay all non-recurring and unusual fees and expenses, if any, as determined by the Sponsor. Non-recurring fees and expenses are fees and expenses 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 – ORGANIZATION AND OFFERING COSTS

Organization costs are expensed as incurred and offering costs will be amortized by the Funds over a twelve month period on a straight-line basis. The Sponsor did not charge its Management Fee in the first year of operations of each Leveraged Fund, the Short Euro Fund, each Geared VIX Fund or each Matching VIX Fund in an amount equal to the organization and offering costs. The Sponsor reimbursed or will reimburse each Fund to the extent that its organization and offering costs exceeded 0.95% of each Leveraged Fund’s, the Short Euro Fund’s, each Geared VIX Fund’s or each Managed Futures Fund’s and 0.85% of each Matching VIX Fund’s average daily NAV for the first year of operations.

Offering costs for each Fund’s first year of operations will be amortized over a twelve month period on a straight-line basis. The Sponsor will not charge its Management Fee in the first year of operations of each Fund in an amount equal to the offering costs. The Sponsor has agreed to reimburse each New Fund to the extent that its offering costs exceed 0.95%, of its average daily NAV for the first year of operations. At June 30, 2012, amounts payable for offering costs are reflected in the Statement of Financial Condition for each New Fund.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems or will issue and redeem shares from time to time, but only in one or more Creation Units. A Creation Unit is or will be a block of 50,000 Shares of a Geared Fund or a Managed Futures Fund and 25,000 Shares of a Matching VIX Fund. Creation Units may be created or redeemed only by Authorized Participants. As a result of the 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.

-154-

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. 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.

Transaction fees for the three and six months ended June 30, 2012, which are included in the Sale and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:


Fund	Three Months Ended June 30, 2012		Six Months Ended June 30, 2012
Ultra DJ-UBS Commodity	$	—	$	—
UltraShort DJ-UBS Commodity		1,344		1,344
Ultra DJ-UBS Crude Oil		93,945		145,597
UltraShort DJ-UBS Crude Oil		52,200		83,195
Ultra DJ-UBS Natural Gas		1,755		7,295
UltraShort DJ-UBS Natural Gas		2,351		4,714
Ultra Gold		3,804		19,216
UltraShort Gold		5,615		9,199
Ultra Silver		41,918		90,242
UltraShort Silver		39,274		106,928
Ultra Euro		—		—
Short Euro		—		—
UltraShort Euro		—		—
Ultra Yen		—		—
UltraShort Yen		—		—
Ultra VIX Short-Term Futures		223,143		320,965
VIX Short-Term Futures		—		—
Short VIX Short-Term Futures		22,823		45,148
VIX Mid-Term Futures		—		—

Total Trust	$	48,172	$	833,843

-155-

NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the three months ended June 30, 2012:

Ultra ProShares

For the Three Months Ended June 30, 2012 (unaudited)


Per Share Operating Performance	Ultra DJ- UBS Commodity			Ultra DJ- UBS Crude Oil			Ultra DJ- UBS Natural Gas*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen
Net asset value, at March 31, 2012	$	26.1013		$	42.8123		$	37.6935		$	87.7900		$	54.8939		$	25.2458		$	31.3676

Net investment income (loss)		(0.0514	)		(0.0745	)		(0.1200	)		(0.1789	)		(0.0978	)		(0.0515	)		(0.0731	)
Net realized and unrealized gain (loss)		(2.5316	)		(15.0248	)		8.1186			(7.8493	)		(17.7648	)		(2.5589	)		2.1975
Change in net asset value from operations		(2.5830	)		(15.0993	)		7.9986			(8.0282	)		(17.8626	)		(2.6104	)		2.1244
Net asset value, at June 30, 2012	$	23.5183		$	27.7130		$	45.6921		$	79.7618		$	37.0313		$	22.6354		$	33.4920

Market value per share, at March 31, 2012†	$	25.90		$	42.91		$	37.40		$	88.40		$	54.46		$	25.21		$	31.36
Market value per share, at June 30, 2012†	$	23.66		$	27.54		$	45.75		$	79.74		$	38.13		$	22.62		$	33.39

Total Return, at net asset value^		(9.9	)%		(35.3	)%		21.2	%		(9.1	)%		(32.5	)%		(10.3	)%		6.8	%
Total Return, at market value^		(8.6	)%		(35.8	)%		22.3	%		(9.8	)%		(30.0	)%		(10.3	)%		6.5	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.98	)%		(1.31	)%		(0.95	)%		(0.95	)%		(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	)%		(0.92	)%		(1.25	)%		(0.88	)%		(0.88	)%		(0.88	)%		(0.88	)%

*	See Note 1 of these Notes to Financial Statements.

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

^	Percentages are not annualized for the period ended June 30, 2012.

**	Percentages are annualized.

-156-

UltraShort ProShares

For the Three Months Ended June 30, 2012 (unaudited)


Per Share Operating Performance	UltraShort DJ-UBS Commodity			UltraShort DJ-UBS Crude Oil			UltraShort DJ-UBS Natural Gas*			UltraShort Gold			UltraShort Silver*			UltraShort Euro			UltraShort Yen
Net asset value, at March 31, 2012	$	55.0086		$	35.2448		$	48.9419		$	16.9352		$	52.4356		$	18.9713		$	47.0450

Net investment income (loss)		(0.1322	)		(0.0906	)		(0.1717	)		(0.0387	)		(0.1330	)		(0.0447	)		(0.0958	)
Net realized and unrealized gain (loss)		4.1855			14.0762			(18.4529	)		0.8509			17.6224			1.9805			(3.4144	)
Change in net asset value from operations		4.0533			13.9856			(18.6246	)		0.8122			17.4894			1.9358			(3.5102	)
Net asset value, at June 30, 2012	$	59.0619		$	49.2304		$	30.3173		$	17.7474		$	69.9250		$	20.9071		$	43.5348

Market value per share, at March 31, 2012†	$	54.71		$	35.16		$	49.35		$	16.81		$	52.75		$	18.97		$	47.05
Market value per share, at June 30, 2012†	$	58.64		$	49.42		$	30.13		$	17.73		$	67.82		$	20.90		$	43.51

Total Return, at net asset value^		7.4	%		39.7	%		(38.1	)%		4.8	%		33.4	%		10.2	%		(7.5	)%
Total Return, at market value^		7.2	%		40.6	%		(38.9	)%		5.5	%		28.6	%		10.2	%		(7.5	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.98	)%		(1.63	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.89	)%		(0.92	)%		(1.57	)%		(0.88	)%		(0.88	)%		(0.88	)%		(0.88	)%

*	See Note 1 of these Notes to Financial Statements.

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

^	Percentages are not annualized for the period ended June 30, 2012.

**	Percentages are annualized.

-157-

Short and VIX ProShares

For the Three Months Ended June 30, 2012 (unaudited)


Per Share Operating Performance	Short Euro+			Ultra VIX Short-Term Futures ETF*			VIX Short- Term Futures ETF			Short VIX Short-Term Futures ETF			VIX Mid- Term Futures ETF
Net asset value, at March 31, 2012	$	40.0000		$	14.2976		$	35.4963		$	98.9716		$	55.9502

Net investment income (loss)		(0.0060	)		(0.0665	)		(0.0782	)		(0.3065	)		(0.1183	)
Net realized and unrealized gain (loss)#		(0.5219	)		(4.6100	)		(3.4093	)		(8.1018	)		(0.7960	)
Change in net asset value from operations		(0.5279	)		(4.6765	)		(3.4875	)		(8.4083	)		(0.9143	)
Net asset value, at June 30, 2012	$	39.4721		$	9.6211		$	32.0088		$	90.5633		$	55.0359

Market value per share, at March 31, 2012†	$	40.00		$	14.56		$	35.77		$	98.13		$	56.74
Market value per share, at June 30, 2012†	$	39.49		$	9.84		$	32.32		$	89.83		$	55.08

Total Return, at net asset value^		(1.3	)%		(32.7	)%		(9.8	)%		(8.5	)%		(1.6	)%
Total Return, at market value^		(1.3	)%		(32.4	)%		(9.6	)%		(8.5	)%		(2.9	)%

Ratios to Average Net Assets**

Expense ratio		(1.09	)%		(1.74	)%		(0.85	)%		(1.57	)%		(0.85	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.85	)%		(0.95	)%		(0.85	)%
Net investment income (loss)		(1.09	)%		(1.71	)%		(0.80	)%		(1.52	)%		(0.80	)%

+	From commencement of operations, June 26, 2012, through June 30, 2012.

*	See Note 1 of these Notes to Financial Statements.

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

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

^	Percentages are not annualized for the period ended June 30, 2012.

**	Percentages are annualized.

-158-

Selected data for a Share outstanding throughout the three months ended June 30, 2011:

Ultra ProShares

For the Three Months Ended June 30, 2011 (unaudited)


Per Share Operating Performance	Ultra DJ- UBS Commodity			Ultra DJ-UBS Crude Oil			Ultra Gold			Ultra Silver*			Ultra Euro			Ultra Yen
Net asset value, at March 31, 2011	$	39.4570		$	57.1100		$	71.6461		$	113.6637		$	28.8831		$	31.7638

Net investment income (loss)		(0.0821	)		(0.1146	)		(0.1718	)		(0.2428	)		(0.0657	)		(0.0734	)
Net realized and unrealized gain (loss)		(5.9853	)		(14.3521	)		5.9954			(29.4279	)		1.3854			2.0744
Change in net asset value from operations		(6.0674	)		(14.4667	)		5.8236			(29.6707	)		1.3197			2.0010
Net asset value, at June 30, 2011	$	33.3896		$	42.6433		$	77.4697		$	83.9930		$	30.2028		$	33.7648

Market value per share, at March 31, 2011†	$	39.67		$	56.99		$	71.13		$	112.55		$	28.90		$	31.77
Market value per share, at June 30, 2011†	$	33.38		$	42.18		$	76.78		$	82.47		$	30.16		$	33.78

Total Return, at net asset value^		(15.4	)%		(25.3	)%		8.1	%		(26.1	)%		4.6	%		6.3	%
Total Return, at market value^		(15.9	)%		(26.0	)%		7.9	%		(26.7	)%		4.4	%		6.3	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.99	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.88	)%		(0.93	)%		(0.88	)%		(0.89	)%		(0.89	)%		(0.89	)%

*	See Note 1 of these Notes to Financial Statements.

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

^	Percentages are not annualized for the period ended June 30, 2011.

**	Percentages are annualized.

-159-

UltraShort ProShares

For the Three Months Ended June 30, 2011 (unaudited)


Per Share Operating Performance	UltraShort DJ- UBS Commodity*			UltraShort DJ- UBS Crude Oil*			UltraShort Gold			UltraShort Silver*			UltraShort Euro			UltraShort Yen*
Net asset value, at March 31, 2011	$	42.6800		$	41.2095		$	26.6741		$	115.3882		$	17.8435		$	48.7988

Net investment income (loss)		(0.1048	)		(0.0981	)		(0.0536	)		(0.2069	)		(0.0379	)		(0.1025	)
Net realized and unrealized gain (loss)#		5.7788			7.1691			(2.6787	)		(21.8122	)		(1.0552	)		(3.2928	)
Change in net asset value from operations		5.6740			7.0710			(2.7323	)		(22.0191	)		(1.0931	)		(3.3953	)
Net asset value, at June 30, 2011	$	48.3540		$	48.2805		$	23.9418		$	93.3691		$	16.7504		$	45.4035

Market value per share, at March 31, 2011†	$	42.99		$	41.30		$	26.85		$	116.65		$	17.85		$	48.81
Market value per share, at June 30, 2011†	$	48.67		$	48.80		$	24.14		$	94.95		$	16.76		$	45.39

Total Return, at net asset value^		13.3	%		17.2	%		(10.2	)%		(19.1	)%		(6.1	)%		(7.0	)%
Total Return, at market value^		13.2	%		18.2	%		(10.1	)%		(18.6	)%		(6.1	)%		(7.0	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.99	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.92	)%		(0.93	)%		(0.89	)%		(0.90	)%		(0.88	)%		(0.88	)%

*	See Note 1 of these Notes to Financial Statements.

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

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

^	Percentages are not annualized for the period ended June 30, 2011.

**	Percentages are annualized.

-160-

VIX ProShares

For the Three Months Ended June 30, 2011 (unaudited)


Per Share Operating Performance	VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF
Net asset value, at March 31, 2011	$	64.0693		$	67.3930

Net investment income (loss)		(0.1037	)		(0.1266	)
Net realized and unrealized gain (loss)		(18.5001	)		(5.5090	)
Change in net asset value from operations		(18.6038	)		(5.6356	)
Net asset value, at June 30, 2011	$	45.4655		$	61.7574

Market value per share, at March 31, 2011†	$	63.75		$	67.38
Market value per share, at June 30, 2011†	$	45.68		$	61.78

Total Return, at net asset value^		(29.0	)%		(8.4	)%
Total Return, at market value^		(28.3	)%		(8.3	)%

Ratios to Average Net Assets**

Expense ratio		(0.85	)%		(0.85	)%
Expense ratio, excluding brokerage commissions		(0.85	)%		(0.85	)%
Net investment income (loss)		(0.80	)%		(0.78	)%

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

^	Percentages are not annualized for the period ended June 30, 2011.

**	Percentages are annualized.

-161-

Selected data for a Share outstanding throughout the six months ended June 30, 2012:

Ultra ProShares

For the Six Months Ended June 30, 2012 (unaudited)


Per Share Operating Performance	Ultra DJ- UBS Commodity			Ultra DJ- UBS Crude Oil			Ultra DJ- UBS Natural Gas*			Ultra Gold			Ultra Silver			Ultra Euro			Ultra Yen
Net asset value, at December 31, 2011	$	25.8805		$	40.8828		$	101.9786		$	75.9066		$	43.1903		$	23.8860		$	36.4704

Net investment income (loss)		(0.1143	)		(0.1717	)		(0.2625	)		(0.3874	)		(0.2251	)		(0.1090	)		(0.1518	)
Net realized and unrealized gain (loss)		(2.2479	)		(12.9981	)		(56.0240	)		4.2426			(5.9339	)		(1.1416	)		(2.8266	)
Change in net asset value from operations		(2.3622	)		(13.1698	)		(56.2865	)		3.8552			(6.1590	)		(1.2506	)		(2.9784	)
Net asset value, at June 30, 2012	$	23.5183		$	27.7130		$	45.6921		$	79.7618		$	37.0313		$	22.6354		$	33.4920

Market value per share, at December 31, 2011†	$	25.64		$	40.94		$	101.35		$	79.01		$	41.65		$	23.87		$	36.50
Market value per share, at June 30, 2012†	$	23.66		$	27.54		$	45.75		$	79.74		$	38.13		$	22.62		$	33.39

Total Return, at net asset value^		(9.1	)%		(32.2	)%		(55.2	)%		5.1	%		(14.3	)%		(5.2	)%		(8.2	)%
Total Return, at market value^		(7.7	)%		(32.7	)%		(54.9	)%		0.9	%		(8.5	)%		(5.2	)%		(8.5	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.97	)%		(1.28	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.91	)%		(0.93	)%		(1.23	)%		(0.90	)%		(0.90	)%		(0.91	)%		(0.90	)%

*	See Note 1 of these Notes to Financial Statements.

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

^	Percentages are not annualized for the period ended June 30, 2012.

**	Percentages are annualized.

-162-

UltraShort ProShares

For the Six Months Ended June 30, 2012 (unaudited)


Per Share Operating Performance	UltraShort DJ-UBS Commodity			UltraShort DJ-UBS Crude Oil			UltraShort DJ-UBS Natural Gas*			UltraShort Gold			UltraShort Silver*			UltraShort Euro			UltraShort Yen
Net asset value, at December 31, 2011	$	56.9207		$	38.8151		$	23.8053		$	20.6779		$	76.6771		$	20.3357		$	40.9557

Net investment income (loss)		(0.2523	)		(0.1715	)		(0.2768	)		(0.0776	)		(0.2561	)		(0.0904	)		(0.1949	)
Net realized and unrealized gain (loss)		2.3935			10.5868			6.7888			(2.8529	)		(6.4960	)		0.6618			2.7740
Change in net asset value from operations		2.1412			10.4153			6.5120			(2.9305	)		(6.7521	)		0.5714			2.5791
Net asset value, at June 30, 2012	$	59.0619		$	49.2304		$	30.3173		$	17.7474		$	69.9250		$	20.9071		$	43.5348

Market value per share, at December 31, 2011†	$	56.19		$	38.69		$	23.96		$	19.81		$	79.35		$	20.35		$	40.95
Market value per share, at June 30, 2012†	$	58.64		$	49.42		$	30.13		$	17.73		$	67.82		$	20.90		$	43.51

Total Return, at net asset value^		3.8	%		26.8	%		27.4	%		(14.2	)%		(8.8	)%		2.8	%		6.3	%
Total Return, at market value^		4.4	%		27.7	%		25.8	%		(10.5	)%		(14.5	)%		2.7	%		6.3	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.98	)%		(1.51	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.91	)%		(0.93	)%		(1.47	)%		(0.90	)%		(0.90	)%		(0.91	)%		(0.90	)%

*	See Note 1 of these Notes to Financial Statements.

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

^	Percentages are not annualized for the period ended June 30, 2012.

**	Percentages are annualized.

-163-

Short and VIX ProShares

For the Six Months Ended June 30, 2012 (unaudited)


Per Share Operating Performance	Short Euro+**			Ultra VIX Short- Term Futures ETF*			VIX Short- Term Futures ETF			Short VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF
Net asset value, at December 31, 2011	$	40.0000		$	74.1074		$	76.3738		$	51.7327		$	74.1396

Net investment income (loss)		(0.0060	)		(0.1511	)		(0.1670	)		(0.6463	)		(0.2526	)
Net realized and unrealized gain (loss)		(0.5219	)		(64.3352	)		(44.1980	)		39.4769			(18.8511	)
Change in net asset value from operations		(0.5279	)		(64.4863	)		(44.3650	)		38.8306			(19.1037	)
Net asset value, at June 30, 2012	$	39.4721		$	9.6211		$	32.0088		$	90.5633		$	55.0359

Market value per share, at December 31, 2011†	$	40.00		$	72.96		$	75.74		$	52.28		$	74.13
Market value per share, at June 30, 2012†	$	39.49		$	9.84		$	32.32		$	89.83		$	55.08

Total Return, at net asset value^		(1.3	)%		(87.0	)%		(58.1	)%		75.1	%		(25.8	)%
Total Return, at market value^		(1.3	)%		(86.5	)%		(57.3	)%		71.8	%		(25.7	)%

Ratios to Average Net Assets**

Expense ratio		(1.09	)%		(1.80	)%		(0.85	)%		(1.70	)%		(0.85	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.85	)%		(0.95	)%		(0.85	)%
Net investment income (loss)		(1.09	)%		(1.78	)%		(0.80	)%		(1.65	)%		(0.81	)%

+	From commencement of operations, June 26, 2012, through June 30, 2012.

*	See Note 1 of these Notes to Financial Statements.

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

^	Percentages are not annualized for the period ended June 30, 2012.

**	Percentages are annualized.

-164-

Ultra ProShares

For the Six Months Ended June 30, 2011 (unaudited)


Per Share Operating Performance	Ultra DJ-UBS Commodity			Ultra DJ-UBS Crude Oil*			Ultra Gold			Ultra Silver*			Ultra Euro			Ultra Yen
Net asset value, at December 31, 2010	$	36.3723		$	50.0017		$	69.2163		$	78.1431		$	25.7644		$	33.4918

Net investment income (loss)		(0.1572	)		(0.2178	)		(0.3083	)		(0.4241	)		(0.1207	)		(0.1399	)
Net realized and unrealized gain (loss)#		(2.8255	)		(7.1406	)		8.5617			6.2740			4.5591			0.4129
Change in net asset value from operations		(2.9827	)		(7.3584	)		8.2534			5.8499			4.4384			0.2730
Net asset value, at June 30, 2011	$	33.3896		$	42.6433		$	77.4697		$	83.9930		$	30.2028		$	33.7648

Market value per share, at December 31, 2010†	$	36.27		$	49.98		$	70.72		$	79.30		$	25.86		$	33.29
Market value per share, at June 30, 2011†	$	33.38		$	42.18		$	76.78		$	82.47		$	30.16		$	33.78

Total Return, at net asset value^		(8.2	)%		(14.7	)%		11.9	%		7.5	%		17.2	%		0.8	%
Total Return, at market value^		(8.0	)%		(15.6	)%		8.6	%		4.0	%		16.6	%		1.5	%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.99	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.86	)%		(0.90	)%		(0.86	)%		(0.87	)%		(0.86	)%		(0.86	)%

*	See Note 1 of these Notes to Financial Statements.

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

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

^	Percentages are not annualized for the period ended June 30, 2011.

**	Percentages are annualized.

-165-

UltraShort ProShares

For the Six Months Ended June 30, 2011 (unaudited)


Per Share Operating Performance	UltraShort DJ-UBS Commodity*			UltraShort DJ-UBS Crude Oil*			UltraShort Gold			UltraShort Silver*			UltraShort Euro			UltraShort Yen*
Net asset value, at December 31, 2010	$	47.9976		$	50.8516		$	28.3706		$	199.4634		$	20.2928		$	47.0232

Net investment income (loss)		(0.2072	)		(0.2032	)		(0.1127	)		(0.4534	)		(0.0768	)		(0.2004	)
Net realized and unrealized gain (loss)#		0.5636			(2.3679	)		(4.3161	)		(105.6409	)		(3.4656	)		(1.4193	)
Change in net asset value from operations		0.3564			(2.5711	)		(4.4288	)		(106.0943	)		(3.5424	)		(1.6197	)
Net asset value, at June 30, 2011	$	48.3540		$	48.2805		$	23.9418		$	93.3691		$	16.7504		$	45.4035

Market value per share, at December 31, 2010†	$	48.30		$	50.85		$	27.80		$	196.40		$	20.31		$	47.01
Market value per share, at June 30, 2011†	$	48.67		$	48.80		$	24.14		$	94.95		$	16.76		$	45.39

Total Return, at net asset value^		0.7	%		(5.1	)%		(15.6	)%		(53.2	)%		(17.5	)%		(3.4	)%
Total Return, at market value^		0.8	%		(4.0	)%		(13.2	)%		(51.7	)%		(17.5	)%		(3.4	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(0.99	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Expense ratio, excluding brokerage commissions		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%		(0.95	)%
Net investment income (loss)		(0.92	)%		(0.91	)%		(0.86	)%		(0.88	)%		(0.85	)%		(0.86	)%

*	See Note 1 of these Notes to Financial Statements.

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

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

^	Percentages are not annualized for the period ended June 30, 2011.

**	Percentages are annualized.

-166-

VIX ProShares

For the Six Months Ended June 30, 2011 (unaudited)


Per Share Operating Performance	VIX Short- Term Futures ETF			VIX Mid- Term Futures ETF
Net asset value, at December 31, 2010	$	80.0000		$	80.0000

Net investment income (loss)		(0.2111	)		(0.2538	)
Net realized and unrealized gain (loss)		(34.3234	)		(17.9888	)
Change in net asset value from operations		(34.5345	)		(18.2426	)
Net asset value, at June 30, 2011	$	45.4655		$	61.7574

Market value per share, at December 31, 2010†	$	80.00		$	80.00
Market value per share, at June 30, 2011†	$	45.68		$	61.78

Total Return, at net asset value^		(43.2	)%		(22.8	)%
Total Return, at market value^		(42.9	)%		(22.8	)%

Ratios to Average Net Assets**

Expense ratio		(0.85	)%		(0.85	)%
Expense ratio, excluding brokerage commissions		(0.85	)%		(0.85	)%
Net investment income (loss)		(0.79	)%		(0.78	)%

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

^	Percentages are not annualized for the period ended June 30, 2011.

**	Percentages are annualized.

-167-

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 one day (as measured from NAV calculation time to NAV calculation time), and not for any other period. The return of a Geared Fund for a period longer than a day is the result of its return for each day compounded over the period and usually will differ from the multiple (3x or 2x), the inverse (-1x) or the inverse multiple (-3x or -2x) of the return of the Geared Fund’s benchmark for the period. A Fund will lose money if its index performance is flat over time, and it is possible for a Geared Fund to lose money over time even if its index’s performance increases (or decreases in the case of UltraPro Short, UltraShort or Short Funds), as a result of daily rebalancing, the benchmark’s volatility and compounding. Longer holding periods, higher index volatility 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 index. The Matching VIX Funds and Managed Futures Funds seek to achieve their stated investment objective both over a single day and over time.

Each UltraPro, Ultra, UltraPro Short or 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 twice 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 an UltraShort Fund with a -2x multiple is designed to return twice 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 instruments held by a Fund, such as swaps, futures contracts and/or forward contracts, and the performance of the applicable underlying indices, commodities or currencies in the cash market; (3) bid-ask spreads; (4) fees, expenses, transaction costs, financing costs associated with the use of derivatives 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 over- or under-exposed to the benchmark may prevent such 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 (e.g., 2x or -2x) to its benchmark at the end of each day, and the likelihood of being materially under- or over-exposed is higher on days when the benchmark levels are volatile near the close of the trading day.

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Counterparty Risk

Certain of the Funds will use swap agreements and/or forward contracts as a means to achieve their respective investment objectives. Such Funds will use either swap agreements and/or forward contracts referencing their respective benchmarks. These Funds may also invest in other swap agreements or forward contracts if such instruments tend to exhibit trading prices or returns that correlate with the benchmark or a component of the benchmark and will further the investment objective of the Fund. Certain Funds may invest in swap agreements 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.

Swap agreements and forward contracts are generally traded over the counter and are essentially unregulated by the CFTC. Investors, therefore, do not receive the protection of CFTC regulation or the statutory scheme of 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.

Unlike in futures contracts, the counterparty to 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 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. 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 large, well-capitalized and well established financial institutions.

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.

Leverage Risk

The Funds use investment techniques that may be considered aggressive, including the use of futures contracts, swap agreements and forward agreements. The Funds’ investment in Financial Instruments may involve a small investment relative to the amount of investment exposure assumed and may result in losses exceeding the amounts invested. Such instruments, particularly when used to create leverage, may expose the Funds to potentially dramatic changes (losses or gains) in the value of the instruments.

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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 2011 may specify an October 2011 expiration. For an Ultra Fund and a Matching VIX Fund, as that contract nears expiration, it may be replaced by selling the October 2011 contract and purchasing the contract expiring in December 2011. 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 2011 contract would take place at a price that is higher than the price at which the December 2011 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 UltraPro Fund, an Ultra Fund or a Matching VIX Fund that invests in such futures and positively affect a Short Fund, an UltraShort Fund or an UltraPro Short 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, UltraShort Funds and UltraPro Short Funds and positively affect the UltraPro Funds, Ultra Funds and existing Matching VIX Funds.

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

The Trust and certain principals of the Sponsor are defendants (along with several other parties) in a consolidated class action lawsuit styled In re ProShares Trust Securities Litigation, Civ. No. 09-cv-6935, filed in the United States District Court for the Southern District of New York. The complaint, as amended, alleges that the defendants violated Sections 11 and 15 of the Securities Act of 1933 by including untrue statements of material fact and omitting material facts in the Registration Statement for one or more ProShares ETFs and allegedly failing to adequately disclose the Funds’ investment objectives and risks. The six Funds of the Trust named in the complaint are ProShares Ultra Silver, ProShares UltraShort Gold, ProShares Ultra Gold, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra DJ-UBS Crude Oil and ProShares UltraShort Silver. The Trust believes the complaint is without merit and that the anticipated outcome will not adversely impact the operation of the Trust or any of its Funds. Accordingly, no loss contingency has been recorded in the balance sheet and the amount of loss, if any, cannot be reasonably estimated at this time.

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NOTE 10 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Trust’s and the Funds’ financial statements through the date the financial statements were issued. The subsequent events were as follows:

On July 17, 2012, ProShares Ultra Australian Dollar and ProShares UltraShort Australian Dollar commenced investment operations.

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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

The Trust has also registered shares for thirty-four additional series: (i) ProShares Short DJ-UBS Natural Gas and ProShares Short Gold (each, a “Short Fund” and 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 (each, a “New Geared VIX Fund” and collectively, the “New Geared VIX Funds”); (iii) ProShares Managed Futures Strategy, ProShares Commodity Managed Futures Strategy and ProShares Financial Managed Futures Strategy (each, a “Managed Futures Fund” and collectively, the “Managed Futures Funds”); (iv) ProShares UltraPro Australian Dollar, ProShares Ultra Australian Dollar, ProShares Short Australian Dollar, ProShares UltraShort 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 (each, a “New Currency Fund” and collectively, the “New Currency Funds”); and (v) 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 (each, a “Currency Index Fund” and collectively, the “Currency Index Funds”). The Short Funds, the New Geared VIX Funds, the Managed Futures Funds, the New Currency Funds and the Currency Index Funds are collectively referred to as the “New Funds” in this Quarterly Report on Form 10-Q. The Geared VIX Funds, the New 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 Leveraged Funds, the Short Euro Fund, the Short Funds, the Geared VIX Funds, the New Geared VIX Funds, the New Currency Funds and the Currency Index Funds are collectively referred to as the “Geared Funds” in this Quarterly Report on Form 10-Q.

As of June 30, 2012, each of the New Funds had seed capital, but none of the New Funds had commenced investment operations; therefore, this Quarterly Report on Form 10-Q does not include Schedules of Investments, Statements of Operations, Statements of Changes in Shareholders’ Equity, Statements of Cash Flows, results of operations or any other financial information for the New Funds.

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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 of each Leveraged Fund at an aggregate purchase price of $350 in each of the following Funds: ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver, ProShares UltraShort Silver, ProShares Ultra Euro, ProShares UltraShort Euro, ProShares Ultra Yen and ProShares UltraShort Yen.

Eight of the Funds, ProShares Ultra DJ-UBS Commodity, ProShares UltraShort DJ-UBS Commodity, ProShares Ultra DJ-UBS Crude Oil, ProShares UltraShort DJ-UBS Crude Oil, ProShares Ultra Euro, ProShares UltraShort Euro, ProShares Ultra Yen and ProShares UltraShort Yen, commenced trading on the NYSE Arca on November 25, 2008. Four of the Funds, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver and ProShares UltraShort 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 Ultra DJ-UBS Natural Gas and ProShares UltraShort 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.

ProShare Capital Management LLC serves as the Trust’s Sponsor (the “Sponsor”), commodity pool operator and commodity trading advisor. Wilmington Trust Company serves as the Trustee of the Trust (the “Trustee”). The Funds are commodity pools, as defined under the Commodity Exchange Act 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 “UltraPro Funds” “Ultra Funds,” “Short Funds”, “UltraShort Funds” and “UltraPro Short 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,” “Currency Index 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. References to “Managed Futures Funds” refer to the different Funds according to which index the Fund intends to gain exposure.

Each of the Geared Funds generally invests or will invest in Financial Instruments (i.e., commodity-based, currency-based or equity market volatility-based instruments whose value is derived from the value of an underlying asset, rate or index, including futures contracts and options on futures contracts, swap agreements, forward contracts and other commodity-based or currency-based options contracts) as a substitute for investing directly in commodities, currencies or equity market volatility products in order to gain exposure to the commodity index, currency benchmark, commodity, currency or to an equity market volatility index. Financial Instruments also are used to

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produce economically “leveraged” or “inverse” investment results for the Funds. Each “Matching VIX Fund” seeks daily investment results (before fees and expenses) that match the performance of a benchmark. Each “Geared VIX Fund” and each “New Geared VIX Fund” seeks or will seek daily investment results (before fees and expenses) that correspond to a multiple, the inverse or inverse multiple of the daily performance of a benchmark. Each VIX Fund intends to obtain exposure to its benchmark by investing in futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange (“CBOE”) Volatility Index (the “VIX”). The Managed Futures Funds will seek to provide investment results (before fees and expenses) that correspond to the performance of the S&P Dynamic Futures Index (“DFI”), the S&P Dynamic Commodities Futures Index (“DCFI”) or the S&P Dynamic Financial Futures Index (“DFFI”). Each Managed Futures Fund intends to obtain exposure to the DFI, DCFI or the DFFI, as applicable, by primarily investing in unleveraged positions in Commodities Futures Contracts or Financials Futures Contracts.

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 3x, 2x, -1x, -2x or -3x 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 inverse investment results. Shareholders should actively monitor their investments. The Geared VIX Funds do not seek to achieve their stated objective over a period greater than one day. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time. The Managed Futures Funds seek to achieve their stated investment objective over time.

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

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Liquidity and Capital Resources

In order to collateralize derivatives positions in indices, commodities or currencies, a significant portion of the NAV of each Fund is held in cash and/or U.S. Treasury Securities, agency securities, or other high credit quality short-term fixed-income or similar securities (such as shares of money market funds, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. dollars or the applicable foreign currency with respect to a Currency Fund). A portion of these investments may be posted as collateral in connection with swap agreements and each Fund’s trading in futures and forward contracts. The percentage that U.S. Treasury bills and other short-term fixed-income securities bear to the shareholders’ equity of each Fund varies from period to period as the market values of the underlying swaps, futures contracts and forward contracts change. During the three and six months ended June 30, 2012 and 2011, each of the Funds earned interest income as follows:


Fund	Interest Income Three Months Ended June 30, 2012		Interest Income Three Months Ended June 30, 2011		Interest Income Six Months Ended June 30, 2012		Interest Income Six Months Ended June 30, 2011
ProShares Ultra DJ-UBS Commodity	$	1,404	$	3,412	$	1,929	$	9,271
ProShares UltraShort DJ-UBS Commodity		978		2,051		1,659		2,791
ProShares Ultra DJ-UBS Crude Oil		50,164		39,410		63,252		137,728
ProShares UltraShort DJ-UBS Crude Oil		20,652		25,984		30,777		62,434
ProShares Ultra DJ-UBS Natural Gas		6,879		—		8,998		—
ProShares UltraShort DJ-UBS Natural Gas		2,166		—		3,029		—
ProShares Ultra Gold		61,509		46,720		88,900		118,504
ProShares UltraShort Gold		24,2236		12,751		31,155		44,027
ProShares Ultra Silver		125,529		172,821		177,264		358,916
ProShares UltraShort Silver		29,103		57,651		44,427		104,548
ProShares Ultra Euro		1,087		1,431		1,575		3,842
ProShares Short Euro		—		—		—		—
ProShares UltraShort Euro		151,290		74,406		199,019		218,767
ProShares Ultra Yen		872		470		1,244		1,495
ProShares UltraShort Yen		42,631		63,492		63,202		152,103
ProShares Ultra VIX Short-Term Futures ETF		14,866		—		17,781		—
ProShares VIX Short-Term Futures ETF		19,273		6,917		26,077		9,937
ProShares Short VIX Short-Term Futures ETF		3,301		—		4,195		—
ProShares VIX Mid-Term Futures ETF		12,164		1,738		18,250		3,015

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 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).

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Results of Operations for the Three Months Ended June 30, 2012 Compared to the Three Months Ended June 30, 2011

ProShares Ultra DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	9,135,820		$	21,701,887
NAV end of period	$	8,231,731		$	16,695,263
Percentage change in NAV		(9.9	)%		(23.1	)%
Shares outstanding beginning of period		350,014			550,014
Shares outstanding end of period		350,014			500,014
Percentage change in shares outstanding		0.0	%		(9.1	)%
Shares created		—			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	26.10		$	39.46
Per share NAV end of period	$	23.52		$	33.39
Percentage change in per share NAV		(9.9	)%		(15.4	)%
Percentage change in benchmark		(4.6	)%		(6.7	)%
Benchmark annualized volatility		15.7	%		18.8	%

During the three months ended June 30, 2012, 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 Dow Jones-UBS Commodity Index. There was no net change in the Fund’s outstanding Shares from March 31, 2012 to June 30, 2012. By comparison, during the three months ended June 30, 2011, the decrease in the Fund’s NAV resulted in part from a decrease from 550,014 outstanding Shares at March 31, 2011 to 500,014 outstanding Shares at June 30, 2011. 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 2x of the daily performance of the Dow Jones-UBS Commodity Index.

For the three months ended June 30, 2012 and 2011, 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 9.9% for the period ended June 30, 2012, as compared to the decrease of 15.4% for the period ended June 30, 2011, was primarily due to a lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 2, 2012 at $26.78 per Share and reached its low for the period on June 1, 2012 at $20.71 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on April 29, 2011 at $41.87 per Share and reached its low for the period on June 27, 2011 at $32.21 per Share.

The benchmark’s decline of 4.6% for the three months ended June 30, 2012, as compared to the benchmark’s decline of 6.7% for the three months ended June 30, 2011, can be attributed to a lesser depreciation of the underlying components of the index during the three months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(18,004	)		(45,024	)
Management fee		19,408			48,436
Net realized gain (loss)		(1,858,138	)		(1,213,831	)
Change in net unrealized appreciation/depreciation		972,052			(2,137,781	)
Net income (loss)		(904,090	)		(3,396,636	)

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The Fund’s net income increased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to a lesser decrease in the Fund’s benchmark index and a decrease in shares outstanding from the three months ended June 30, 2011 to the three months ended June 30, 2012.

ProShares UltraShort DJ-UBS Commodity*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	8,801,218		$	2,560,673
NAV end of period	$	3,543,535		$	29,495,769
Percentage change in NAV		(59.7	)%		1,051.9	%
Shares outstanding beginning of period		159,997			59,997
Shares outstanding end of period		59,997			609,997
Percentage change in shares outstanding		(62.5	)%		916.7	%
Shares created		—			1,750,000
Shares redeemed		100,000			1,200,000
Per share NAV beginning of period	$	55.01		$	42.68
Per share NAV end of period	$	59.06		$	48.35
Percentage change in per share NAV		7.4	%		13.3	%
Percentage change in benchmark		(4.6	)%		(6.7	)%
Benchmark annualized volatility		15.7	%		18.8	%

During the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 159,997 outstanding shares at March 31, 2012 to 59,997 outstanding shares at June 30, 2012. 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 Dow Jones-UBS Commodity Index. By comparison, during the three months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 59,997 outstanding Shares at March 31, 2011 to 609,997 outstanding Shares at June 30, 2011. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Dow Jones-UBS Commodity Index.

For the three months ended June 30, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV increase of 7.4% for the three months ended June 30, 2012, as compared to the increase of 13.3% for the three months ended June 30, 2011, was primarily due to a lesser appreciation in the value of the assets of the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on June 1, 2012 at $68.06 per Share and reached its low for the period on April 2, 2012 at $53.55 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on June 27, 2011 at $50.24 per Share and reached its low for the period on April 29, 2011 at $39.91 per Share.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(14,834	)		(71,509	)
Management fee		15,812			73,560
Net realized gain (loss)		1,440,679			(5,130,520	)
Change in net unrealized appreciation/depreciation		(529,884	)		2,333,807
Net income (loss)		895,961			(2,868,222	)

The Fund’s net income increased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to a lesser decrease in the Fund’s benchmark index, in conjunction with a significant decrease in shares outstanding from the three months ended June 30, 2011 to the three months ended June 30, 2012.

*	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 Commodity Fund.

ProShares Ultra DJ-UBS Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	271,822,707		$	271,225,000
NAV end of period	$	489,111,964		$	426,397,238
Percentage change in NAV		79.9	%		57.2	%
Shares outstanding beginning of period		6,349,170			4,749,170
Shares outstanding end of period		17,649,170			9,999,170
Percentage change in shares outstanding		178.0	%		110.5	%
Shares created		12,700,000			7,900,000
Shares redeemed		1,400,000			2,650,000
Per share NAV beginning of period	$	42.81		$	57.11
Per share NAV end of period	$	27.71		$	42.64
Percentage change in per share NAV		(35.3	)%		(25.3	)%
Percentage change in benchmark		(18.5	)%		(12.0	)%
Benchmark annualized volatility		30.2	%		35.9	%

During the three months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 6,349,170 outstanding Shares at March 31, 2012 to 17,649,170 outstanding Shares at June 30, 2012. 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 Dow Jones-UBS WTI Crude Oil Sub-Index. By comparison, during the three months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 4,749,170 outstanding Shares at March 31, 2011 to 9,999,170 outstanding Shares at June 30, 2011. 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 Dow Jones-UBS WTI Crude Oil Sub-Index.

For the three months ended June 30, 2012 and 2011, 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 35.3% for the three months ended June 30, 2012, as compared to the decrease of 25.3% for the three months ended June 30, 2011, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 1, 2012 at $44.69 per Share and reached its low for the period on June 28, 2012 at $23.36 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on April 29, 2011 at $63.90 per Share and reached its low for the period on June 27, 2011 at $38.53 per Share.

-178-

The benchmark’s decline of 18.5% for the three months ended June 30, 2012, as compared to the benchmark’s decline of 12.0% for the three months ended June 30, 2011, can be attributed to a greater decrease in the price of WTI Crude Oil during the three months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(679,477	)		(642,875	)
Management fee		705,397			657,181
Brokerage commissions		24,244			25,104
Net realized gain (loss)		(112,156,901	)		(7,838,499	)
Change in net unrealized appreciation/depreciation		16,390,926			(34,185,786	)
Net income (loss)		(96,445,452	)		(42,667,160	)

The Fund’s net income decreased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to a greater decrease in the price of WTI Crude Oil during the three months ended June 30, 2012.

*	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 DJ-UBS Crude Oil Fund.

ProShares UltraShort DJ-UBS Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	154,017,609		$	136,813,100
NAV end of period	$	82,211,941		$	160,288,442
Percentage change in NAV		(46.6	)%		17.2	%
Shares outstanding beginning of period		4,369,944			3,319,944
Shares outstanding end of period		1,669,944			3,319,944
Percentage change in shares outstanding		(61.8	)%		0.0	%
Shares created		1,300,000			4,350,000
Shares redeemed		4,000,000			4,350,000
Per share NAV beginning of period	$	35.24		$	41.21
Per share NAV end of period	$	49.23		$	48.28
Percentage change in per share NAV		39.7	%		17.2	%
Percentage change in benchmark		(18.5	)%		(12.0	)%
Benchmark annualized volatility		30.2	%		35.9	%

During the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 4,369,944 outstanding Shares at March 31, 2012 to 1,669,944 outstanding Shares at June 30, 2012. 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 Dow Jones-UBS WTI Crude Oil Sub-Index. By comparison, during the three months ended June 30, 2011, 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 WTI Crude Oil Sub-Index. There was no net change in the Fund’s outstanding Shares from March 31, 2011 to June 30, 2011.

-179-

For the three months ended June 30, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV increase of 39.7% for the three months ended June 30, 2012, as compared to the increase of 17.2% for the three months ended June 30, 2011, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on June 28, 2012 at $60.49 per Share and reached its low for the period on May 1, 2012 at $33.30 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on June 27, 2011 at $53.66 per Share and reached its low for the period on April 29, 2011 at $36.11 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(268,706	)		(392,008	)
Management fee		278,920			401,339
Brokerage commissions		10,438			16,653
Net realized gain (loss)		54,334,541			31,538,827
Change in net unrealized appreciation/depreciation		(4,691,207	)		12,896,567
Net income (loss)		49,374,628			44,043,386

The Fund’s net income increased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to a greater decrease in the price of WTI Crude Oil during the three months ended June 30, 2012.

*	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 Crude Oil Fund.

ProShares Ultra DJ-UBS Natural Gas*

Since the Fund commenced investment operations on October 4, 2011, a comparison of the Fund’s results of operations for the three months ended June 30, 2011 has not been provided.

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012:


	Three Months Ended June 30, 2012
NAV beginning of period	$	36,185,805
NAV end of period	$	62,595,441
Percentage change in NAV		73.0	%
Shares outstanding beginning of period		960,002
Shares outstanding end of period		1,369,941
Percentage change in shares outstanding		42.7	%
Shares created		460,000
Shares redeemed		50,061
Per share NAV beginning of period	$	37.69
Per share NAV end of period	$	45.69
Percentage change in per share NAV		21.2	%
Percentage change in benchmark		14.0	%
Benchmark annualized volatility		51.8	%

-180-

During the three months ended June 30, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 960,002 outstanding Shares at March 31, 2012 to 1,369,941 outstanding Shares at June 30, 2012. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the Dow Jones-UBS Natural Gas Sub-index^SM.

For the three months ended June 30, 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 18, 2012 at $51.41 per Share and reached its low for the period on April 19, 2012 at $29.42 per Share.

The benchmark’s rise of 14.0% for the three months ended June 30, 2012, can be attributed to an increase in the price of Henry Hub Natural Gas during the three months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012:


	Three Months Ended June 30, 2012
Net investment income (loss)		(151,025	)
Management fee		75,830
Brokerage commissions		43,045
Offering Costs		39,029
Net realized gain (loss)		(21,503,069	)
Change in net unrealized appreciation/depreciation		34,961,144
Net income (loss)		13,307,050

*	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 DJ-UBS Natural Gas Fund.

ProShares UltraShort DJ-UBS Natural Gas*

Since the Fund commenced investment operations on October 4, 2011, a comparison of the Fund’s results of operations for the three months ended June 30, 2011 has not been provided.

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012:


	Three Months Ended June 30, 2012
NAV beginning of period	$	22,025,304
NAV end of period	$	13,643,687
Percentage change in NAV		(38.1	)%
Shares outstanding beginning of period		450,030
Shares outstanding end of period		450,030
Percentage change in shares outstanding		0.0	%
Shares created		250,000
Shares redeemed		250,000
Per share NAV beginning of period	$	48.94
Per share NAV end of period	$	30.32
Percentage change in per share NAV		(38.1	)%
Percentage change in benchmark		14.0	%
Benchmark annualized volatility		51.8	%

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During the three months ended June 30, 2012, 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 Natural Gas Sub-index^SM. There was no net change in the Fund’s outstanding Shares from March 31, 2012 to June 30, 2012.

For the three months ended June 30, 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 29, 2012 at $61.42 per Share and reached its low for the period on June 29, 2012 at $30.31 per Share.

The benchmark’s rise of 14.0% for the three months ended June 30, 2012, can be attributed to an increase in the price of Henry Hub Natural Gas during the three months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012:


	Three Months Ended June 30, 2012
Net investment income (loss)		(64,525	)
Brokerage commissions		27,710
Offering costs		39,029
Limitation by Sponsor		(48	)
Net realized gain (loss)		1,866,072
Change in net unrealized appreciation/depreciation		(11,132,414	)
Net income (loss)		(9,330,867	)

*	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 UltraShort DJ-UBS Natural Gas Fund.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	381,887,918		$	250,762,400
NAV end of period	$	331,012,682		$	282,765,412
Percentage change in NAV		(13.3	)%		12.8	%
Shares outstanding beginning of period		4,350,014			3,500,014
Shares outstanding end of period		4,150,014			3,650,014
Percentage change in shares outstanding		(4.6	)%		4.3	%
Shares created		—			300,000
Shares redeemed		200,000			150,000
Per share NAV beginning of period	$	87.79		$	71.65
Per share NAV end of period	$	79.76		$	77.47
Percentage change in per share NAV		(9.1	)%		8.1	%
Percentage change in benchmark		(3.9	)%		4.6	%
Benchmark annualized volatility		19.9	%		13.7	%

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During the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 4,350,014 outstanding Shares at March 31, 2012 to 4,150,014 outstanding Shares at June 30, 2012. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. Dollar P.M. fixing price for delivery in London. By comparison, during the three months ended June 30, 2011, the increase 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 2x of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. The increase in the Fund’s NAV resulted in part from an increase from 3,500,014 outstanding Shares at March 31, 2011 to 3,650,014 outstanding Shares at June 30, 2011.

For the three months ended June 30, 2012 and 2011, 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 9.1% for the three months ended June 30, 2012, as compared to the increase of 8.1% for the three months ended June 30, 2011, was primarily due to a depreciation in the value of the assets of the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 2, 2012 at $89.35 per Share and reached its low for the period on May 30, 2012 at $74.51 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on June 22, 2011 at $82.49 per Share and reached its low for the period on April 1, 2011 at $69.54 per Share.

The benchmark’s decline of 3.9% for the three months ended June 30, 2012, as compared to the benchmark’s rise of 4.6% for the three months ended June 30, 2011, can be attributed to a decrease in the price of spot gold in U.S. Dollar terms during the three months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(753,951	)		(609,284	)
Management fee		815,451			655,099
Brokerage commissions		9			905
Net realized gain (loss)		(20,402,023	)		42,611,365
Change in net unrealized appreciation/depreciation		(12,225,205	)		(22,456,635	)
Net income (loss)		(33,381,179	)		19,545,446

The Fund’s net income decreased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to a decrease in the price of spot gold in U.S. Dollar terms during the three months ended June 30, 2012.

-183-

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	147,165,003		$	81,086,510
NAV end of period	$	129,376,591		$	95,525,554
Percentage change in NAV		(12.1	)%		17.8	%
Shares outstanding beginning of period		8,689,901			3,039,901
Shares outstanding end of period		7,289,901			3,989,901
Percentage change in shares outstanding		(16.1	)%		31.3	%
Shares created		—			950,000
Shares redeemed		1,400,000			—
Per share NAV beginning of period	$	16.94		$	26.67
Per share NAV end of period	$	17.75		$	23.94
Percentage change in per share NAV		4.8	%		(10.2	)%
Percentage change in benchmark		(3.9	)%		4.6	%
Benchmark annualized volatility		19.9	%		13.7	%

During the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 8,689,901 outstanding Shares at March 31, 2012 to 7,289,901 outstanding Shares at June 30, 2012. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. By comparison, during the three months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 3,039,901 outstanding Shares at March 31, 2011 to 3,989,901 outstanding Shares at June 30, 2011. 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 gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London.

For the three months ended June 30, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV increase of 4.8% for the three months ended June 30, 2012, as compared to the decrease of 10.2% for the three months ended June 30, 2011, was primarily due to an appreciation in the value of the assets of the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 30, 2012 at $19.37 per Share and reached its low for the period on April 2, 2012 at $16.63 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on April 1, 2011 at $27.46 per Share and reached its low for the period on June 22, 2011 at $22.56 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(302,804	)		(189,137	)
Management fee		327,032			201,127
Brokerage commissions		8			761
Net realized gain (loss)		3,259,056			(15,435,723	)
Change in net unrealized appreciation/depreciation		4,384,516			7,090,628
Net income (loss)		7,340,768			(8,534,232	)

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The Fund’s net income increased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to a decrease in the price of spot gold in U.S. Dollar terms during the three months ended June 30, 2012.

ProShares Ultra Silver*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	845,367,293		$	1,057,075,755
NAV end of period	$	661,009,190		$	881,928,826
Percentage change in NAV		(21.8	)%		(16.6	)%
Shares outstanding beginning of period		15,400,028			9,300,028
Shares outstanding end of period		17,850,028			10,500,028
Percentage change in shares outstanding		15.9	%		12.9	%
Shares created		3,250,000			3,600,000
Shares redeemed		800,000			2,400,000
Per share NAV beginning of period	$	54.89		$	113.66
Per share NAV end of period	$	37.03		$	83.99
Percentage change in per share NAV		(32.5	)%		(26.1	)%
Percentage change in benchmark		(16.5	)%		(7.5	)%
Benchmark annualized volatility		30.5	%		73.7	%

During the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase from 15,400,028 outstanding Shares at March 31, 2012 to 17,850,028 outstanding Shares at June 30, 2012. By comparison, during the three months ended June 30, 2011, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The decrease in the Fund’s NAV was offset by an increase from 9,300,028 outstanding Shares at March 31, 2011 to 10,500,028 outstanding Shares at June 30, 2011.

For the three months ended June 30, 2012 and 2011, 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 32.5% for the three months ended June 30, 2012, as compared to the decrease of 26.1% for the three months ended June 30, 2011, was primarily due to a greater depreciation in the value of the assets of the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 3, 2012 at $56.69 per Share and reached its low for the period on June 25, 2012 at $36.12 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on April 28, 2011 at $184.61 per Share and reached its low for the period on May 12, 2011 at $75.23 per Share.

The benchmark’s decline of 16.5% for the three months ended June 30, 2012, as compared to the benchmark’s decline of 7.5% for the three months ended June 30, 2011, can be attributed to a greater decrease in the price of spot silver in U.S. Dollar terms during the three months ended June 30, 2012.

-185-

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(1,610,787	)		(2,429,975	)
Management fee		1,736,295			2,599,506
Brokerage commissions		21			3,290
Net realized gain (loss)		(219,391,213	)		(206,293,344	)
Change in net unrealized appreciation/depreciation		(68,866,623	)		(104,960,182	)
Net income (loss)		(289,868,623	)		(313,683,501	)

The Fund’s net income increased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to a significant decrease in NAV in conjunction with a greater decrease in the price of spot silver in U.S. Dollar terms during the three months ended June 30, 2012.

*	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 Ultra Silver Fund.

ProShares UltraShort Silver*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	199,196,161		$	130,258,741
NAV end of period	$	161,421,100		$	657,213,365
Percentage change in NAV		(19.0	)%		404.5	%
Shares outstanding beginning of period		3,798,874			1,128,874
Shares outstanding end of period		2,308,489			7,038,874
Percentage change in shares outstanding		(39.2	)%		523.5	%
Shares created		970,000			8,220,000
Shares redeemed		2,460,385			2,310,000
Per share NAV beginning of period	$	52.44		$	115.39
Per share NAV end of period	$	69.93		$	93.37
Percentage change in per share NAV		33.4	%		(19.1	)%
Percentage change in benchmark		(16.5	)%		(7.5	)%
Benchmark annualized volatility		30.5	%		73.7	%

During the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease of 3,798,874 outstanding Shares at March 31, 2012 to 2,308,489 outstanding Shares at June 30, 2012. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. By comparison, during the three months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 1,128,874 outstanding Shares at March 31, 2011 to 7,038,874 outstanding Shares at June 30, 2011. The increase in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London.

For the three months ended June 30, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV increase of 33.4% for the three months ended June 30, 2012, as compared to the decrease of 19.1% for the three months ended June 30, 2011 was primarily due to a greater appreciation in the value of the assets of the Fund during the three months ended June 30, 2012.

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During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 16, 2012 at $72.27 per Share and reached its low for the period on April 3, 2012 at $50.67 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on May 6, 2011 at $123.77 per Share and reached its low for the period on April 28, 2011 at $66.45 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(371,361	)		(1,087,002	)
Management fee		400,447			1,142,997
Brokerage commissions		17			1,656
Net realized gain (loss)		39,064,507			28,945,685
Change in net unrealized appreciation/depreciation		13,283,202			25,763,871
Net income (loss)		51,976,348			53,622,554

The Fund’s net income decreased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to a greater decrease in the price of spot silver in U.S. Dollar terms during the three months ended June 30, 2012 in conjunction with significant fluctuations in outstanding shares during the three months ended June 30, 2011.

*	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 UltraShort Silver Fund.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	7,574,096		$	8,665,331
NAV end of period	$	5,659,156		$	9,061,264
Percentage change in NAV		(25.3	)%		4.6	%
Shares outstanding beginning of period		300,014			300,014
Shares outstanding end of period		250,014			300,014
Percentage change in shares outstanding		(16.7	)%		0.0	%
Shares created		—			—
Shares redeemed		50,000			—
Per share NAV beginning of period	$	25.25		$	28.88
Per share NAV end of period	$	22.64		$	30.20
Percentage change in per share NAV		(10.3	)%		4.6	%
Percentage change in benchmark		(5.1	)%		2.3	%
Benchmark annualized volatility		8.3	%		11.4	%

During the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,014 outstanding Shares at March 31, 2012 to 250,014 outstanding Shares at June 30, 2012. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results

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(before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the three months ended June 30, 2011, 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 Euro versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from March 31, 2011 to June 30, 2011.

For the three months ended June 30, 2012 and 2011, 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 10.3% for the three months ended June 30, 2012, as compared to the increase of 4.6% for the three months ended June 30, 2011 was primarily due to a decrease in the value of the assets held by the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 2, 2012 at $25.21 per Share and reached its low for the period on May 31, 2012 at $21.64 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on May 3, 2011 at $31.63 per Share and reached its low for the period on May 23, 2011 at $28.35 per Share.

The benchmark’s decline of 5.1% for the three months ended June 30, 2012, as compared to the benchmark’s rise of 2.3% for the three months ended June 30, 2011, can be attributed to a decrease in the value of the Euro versus the U.S. Dollar during the three months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(14,414	)		(19,703	)
Management fee		15,501			21,134
Net realized gain (loss)		(617,180	)		688,738
Change in net unrealized appreciation/depreciation		(171,578	)		(273,102	)
Net income (loss)		(803,172	)		395,933

The Fund’s net income decreased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to a decline in the value of the Euro versus the U.S. Dollar during the three months ended June 30, 2012.

ProShares Short Euro

Since the Fund commenced investment operations on June 26, 2012, a comparison of the Fund’s results of operations for the three months ended June 30, 2011 has not been provided. In addition, since the Fund commenced investment operations on June 26, 2012, the Fund’s results of operations for the period ended June 30, 2012 may not be meaningful.

Fund Performance

The following table provides summary performance information for the Fund from commencement of operations to June 30, 2012:


	Period Ended June 30, 2012
NAV beginning of period	$	200
NAV end of period	$	3,947,410
Percentage change in NAV		1,973,605.0	%
Shares outstanding beginning of period		5
Shares outstanding end of period		100,005
Percentage change in shares outstanding		2,000,000.0	%
Shares created		100,000
Shares redeemed		—
Per share NAV beginning of period	$	40.00
Per share NAV end of period	$	39.47
Percentage change in per share NAV		(1.3	)%
Percentage change in benchmark		1.3	%
Benchmark annualized volatility (for the three months ended June 30, 2012)		8.3	%

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During the period ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 5 outstanding Shares at June 26, 2012 to 100,005 outstanding Shares at June 30, 2012. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the period ended June 30, 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark.

During the period ended June 30, 2012, the Fund’s per share NAV reached its high for the period on June 28, 2012 at $40.15 per Share and reached its low for the period on June 30, 2012 at $39.47 per Share.

The benchmark’s rise of 1.3% for the period ended June 30, 2012, can be attributed to an increase in the price of the Euro versus the U.S. Dollar during the period ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to June 30, 2012:


	Period Ended June 30, 2012

Net investment income (loss)	$	(477	)
Brokerage commission		63
Offering costs		562
Limitation by Sponsor		(148	)
Net realized gain (loss)		(2,000	)
Change in net unrealized appreciation/depreciation		(52,313	)
Net income (loss)	$	(52,790	)

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	819,560,440		$	390,773,778
NAV end of period	$	896,915,348		$	632,327,167
Percentage change in NAV		9.4	%		61.8	%
Shares outstanding beginning of period		43,200,014			21,900,014
Shares outstanding end of period		42,900,014			37,750,014
Percentage change in shares outstanding		(0.7	)%		72.4	%
Shares created		8,200,000			16,200,000
Shares redeemed		8,500,000			350,000
Per share NAV beginning of period	$	18.97		$	17.84
Per share NAV end of period	$	20.91		$	16.75
Percentage change in per share NAV		10.2	%		(6.1	)%
Percentage change in benchmark		(5.1	)%		2.3	%
Benchmark annualized volatility		8.3	%		11.4	%

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During the three months ended June 30, 2012, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. The increase in the Fund’s NAV was offset by a decrease from 43,200,014 outstanding Shares at March 31, 2012 to 42,900,014 outstanding Shares at June 30, 2012. By comparison, during the three months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 21,900,014 outstanding Shares at March 31, 2011 to 37,750,014 outstanding Shares at June 30, 2011. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the three months ended June 30, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV increase of 10.2% for the three months ended June 30, 2012, as compared to the per share NAV decrease of 6.1% for the three months ended June 30, 2011 was primarily due to an appreciation in the value of the assets held by the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 31, 2012 at $21.98 per Share and reached its low for the period on April 2, 2012 at $19.00 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on May 23, 2011 at $17.99 per Share and reached its low for the period on May 3, 2011 at $16.22 per Share.

The benchmark’s decline of 5.1% for the three months ended June 30, 2012, as compared to the benchmark’s rise of 2.3% for the three months ended June 30, 2011, can be attributed to a decline in the value of the Euro versus the U.S. Dollar during the three months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(1,941,599	)		(1,012,362	)
Management fee		2,092,889			1,086,768
Net realized gain (loss)		82,142,813			(39,283,147	)
Change in net unrealized appreciation/depreciation		8,478,199			6,448,199
Net income (loss)		88,679,413			(33,847,310	)

The Fund’s net income increased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to a decline in the value of the Euro versus the U.S. Dollar for the three months ended June 30, 2012.

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ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	4,705,580		$	3,176,821
NAV end of period	$	5,024,268		$	3,376,952
Percentage change in NAV		6.8	%		6.3	%
Shares outstanding beginning of period		150,014			100,014
Shares outstanding end of period		150,014			100,014
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			—
Shares redeemed		—			—
Per share NAV beginning of period	$	31.37		$	31.76
Per share NAV end of period	$	33.49		$	33.76
Percentage change in per share NAV		6.8	%		6.3	%
Percentage change in benchmark		3.6	%		3.3	%
Benchmark annualized volatility		8.3	%		7.6	%

During the three months ended June 30, 2012, 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 March 31, 2012 to June 30, 2012. By comparison, during the three months ended June 30, 2011, 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 March 31, 2011 to June 30, 2011.

For the three months ended June 30, 2012 and 2011, 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 6.8% for the three months ended June 30, 2012, as compared to the increase of 6.3% for the three months ended June 30, 2011, was primarily due to a greater appreciation in the value of the assets held by the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on June 1, 2012 at $35.08 per Share and reached its low for the period on April 3, 2012 at $31.33 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on June 8, 2011 at $34.31 per Share and reached its low for the period on April 6, 2011 at $30.09 per Share.

The benchmark’s rise of 3.6% for the three months ended June 30, 2012, as compared to the benchmark’s rise of 3.3% for the three months ended June 30, 2011, can be attributed to a greater increase in the value of the Japanese Yen versus the U.S. Dollar during the three months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(10,964	)		(7,343	)
Management fee		11,836			7,813
Net realized gain (loss)		204,026			70,476
Change in net unrealized appreciation/depreciation		125,626			136,998
Net income (loss)		318,688			200,131

The Fund’s net income increased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to a greater increase in the value of the Japanese Yen versus the U.S. Dollar during the three months ended June 30, 2012.

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ProShares UltraShort Yen*

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	279,884,802		$	368,431,315
NAV end of period	$	230,703,599		$	356,417,645
Percentage change in NAV		(17.6	)%		(3.3	)%
Shares outstanding beginning of period		5,949,294			7,550,005
Shares outstanding end of period		5,299,294			7,850,005
Percentage change in shares outstanding		(10.9	)%		4.0	%
Shares created		450,000			916,667
Shares redeemed		1,100,000			616,667
Per share NAV beginning of period	$	47.05		$	48.80
Per share NAV end of period	$	43.53		$	45.40
Percentage change in per share NAV		(7.5	)%		(7.0	)%
Percentage change in benchmark		3.6	%		3.3	%
Benchmark annualized volatility		8.3	%		7.6	%

During the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 5,949,294 outstanding Shares at March 31, 2012 to 5,299,294 outstanding Shares at June 30, 2012. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. By comparison, during the three months ended June 30, 2011, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. The decrease in the Fund’s NAV was offset by an increase from 7,550,005 outstanding Shares at March 31, 2011 to 7,850,005 outstanding Shares at June 30, 2011.

For the three months ended June 30, 2012 and 2011, 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 7.5% for the three months ended June 30, 2012, as compared to the decrease of 7.0% for the three months ended June 30, 2011 was primarily due to a greater depreciation in the value of the assets held by the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 3, 2012 at $47.06 per Share and reached its low for the period on June 1, 2012 at $41.71 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on April 6, 2011 at $51.44 per Share and reached its low for the period on June 8, 2011 at $44.79 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(529,790	)		(789,356	)
Management fee		572,421			852,848
Brokerage commissions		—			—
Net realized gain (loss)		(10,399,199	)		(4,066,983	)
Change in net unrealized appreciation/depreciation		(8,997,695	)		(19,662,413	)
Net income (loss)		(19,926,684	)		(24,518,752	)

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*	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 Yen Fund.

ProShares Ultra VIX Short-Term Futures ETF*

Since the Fund commenced investment operations on October 3, 2011, a comparison of the Fund’s results of operations for the three months ended June 30, 2011 has not been provided.

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012:


	Three Months Ended June 30, 2012
NAV beginning of period	$	119,978,881
NAV end of period	$	299,133,075
Percentage change in NAV		149.3	%
Shares outstanding beginning of period		8,391,512
Shares outstanding end of period		31,091,512
Percentage change in shares outstanding		270.5	%
Shares created		41,950,000
Shares redeemed		19,250,000
Per share NAV beginning of period	$	14.30
Per share NAV end of period	$	9.62
Percentage change in per share NAV		(32.7	)%
Percentage change in benchmark		(9.7	)%
Benchmark annualized volatility		87.1	%

During the three months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 8,391,512 outstanding Shares at March 31, 2012 to 31,091,512 outstanding Shares at June 30, 2012. 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 June 30, 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 18, 2012 at $25.17 per Share and reached its low for the period on June 30, 2012 at $9.62 per Share.

The benchmark’s decline of 9.7% for the three months ended June 30, 2012, can be attributed to decreasing prices of the near-term futures contracts on the VIX futures curve.

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Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012:


	Three Months Ended June 30, 2012
Net investment income (loss)		(933,216	)
Management fee		475,752
Brokerage commissions		429,454
Offering costs		42,876
Net realized gain (loss)		(59,479,028	)
Change in net unrealized appreciation/depreciation		(25,813,101	)
Net income (loss)		(86,225,345	)

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

ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	126,899,583		$	32,034,957
NAV end of period	$	137,638,067		$	46,602,361
Percentage change in NAV		8.5	%		45.5	%
Shares outstanding beginning of period		3,575,005			500,005
Shares outstanding end of period		4,300,005			1,025,005
Percentage change in shares outstanding		20.3	%		105.0	%
Shares created		5,550,000			1,450,000
Shares redeemed		4,825,000			925,000
Per share NAV beginning of period	$	35.50		$	64.07
Per share NAV end of period	$	32.01		$	45.47
Percentage change in per share NAV		(9.8	)%		(29.0	)%
Percentage change in benchmark		(9.7	)%		(28.6	)%
Benchmark annualized volatility		87.0	%		46.7	%

During the three months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 3,575,005 outstanding Shares at March 31, 2012 to 4,300,005 outstanding Shares at June 30, 2012. 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. By comparison, during the three months ended June 30, 2011, the increase in the Fund’s NAV resulted from an increase from 500,005 outstanding Shares at March 31, 2011 to 1,025,005 outstanding Shares at June 30, 2011. 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 June 30, 2012 and 2011, 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 9.8% for the three months ended June 30, 2012, as compared to the decrease of 29.0% for the three months ended June 30, 2011, was primarily due to a relatively lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 18, 2012 at $48.84 per Share and reached its low for the period on June 30, 2012 at $32.01 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on April 1, 2011 at $63.27 per Share and reached its low for the period on June 30, 2011 at $45.47 per Share.

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The benchmark’s decline of 9.7% for the three months ended June 30, 2012, as compared to the benchmark’s decline of 28.6% for the three months ended June 30, 2011, can be attributed to declining prices of the near-term futures contracts on the VIX futures curve during the three months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(306,475	)		(100,295	)
Management fee		325,748			57,326
Offering costs		—			49,886
Net realized gain (loss)		(9,360,794	)		(12,440,654	)
Change in net unrealized appreciation/depreciation		1,034,069			(1,970,694	)
Net income (loss)		(8,633,200	)		(14,511,643	)

The Fund’s net income increased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to the lesser decrease in the Fund’s benchmark during the three months ended June 30, 2012.

ProShares Short VIX Short-Term Futures ETF

Since the Fund commenced investment operations on October 3, 2011, a comparison of the Fund’s results of operations for the three months ended June 30, 2011 has not been provided.

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012:


	Three Months Ended June 30, 2012
NAV beginning of period	$	29,692,478
NAV end of period	$	13,585,406
Percentage change in NAV		(54.2	)%
Shares outstanding beginning of period		300,010
Shares outstanding end of period		150,010
Percentage change in shares outstanding		(50.0	)%
Shares created		1,100,000
Shares redeemed		1,250,000
Per share NAV beginning of period	$	98.97
Per share NAV end of period	$	90.56
Percentage change in per share NAV		(8.5	)%
Percentage change in benchmark		(9.7	)%
Benchmark annualized volatility		87.1	%

During the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 300,010 outstanding Shares at March 31, 2012 to 150,010 outstanding Shares at June 30, 2012. 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 S&P 500 VIX Short-Term Futures Index.

For the three months ended June 30, 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 2, 2012 at $98.67 per Share and reached its low for the period on June 1, 2012 at $65.26 per Share.

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The benchmark’s decline of 9.7% for the three months ended June 30, 2012, can be attributed to declining prices of the near-term futures contracts on the VIX Futures curve.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012:


	Three Months Ended June 30, 2012
Net investment income (loss)		(95,652	)
Management fee		17,034
Brokerage commissions		39,043
Offering Costs		42,876
Net realized gain (loss)		(2,780,595	)
Change in net unrealized appreciation/depreciation		(229,455	)
Net income (loss)		(3,105,702	)

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
NAV beginning of period	$	102,109,475		$	6,739,633
NAV end of period	$	85,305,861		$	13,895,731
Percentage change in NAV		(16.5	)%		106.2	%
Shares outstanding beginning of period		1,825,005			100,005
Shares outstanding end of period		1,550,005			225,005
Percentage change in shares outstanding		(15.1	)%		125.0	%
Shares created		125,000			325,000
Shares redeemed		400,000			200,000
Per share NAV beginning of period	$	55.95		$	67.39
Per share NAV end of period	$	55.04		$	61.76
Percentage change in per share NAV		(1.6	)%		(8.4	)%
Percentage change in benchmark		(1.5	)%		(8.0	)%
Benchmark annualized volatility		41.0	%		23.4	%

During the three months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 1,825,005 outstanding Shares at March 31, 2012 to 1,550,005 outstanding Shares at June 30, 2012. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. By comparison, during the three months ended June 30, 2011, the increase in the Fund’s NAV resulted from an increase from 100,005 outstanding Shares at March 31, 2011 to 225,005 outstanding Shares at June 30, 2011. 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 June 30, 2012 and 2011, 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 1.6% for the three months ended June 30, 2012, as compared to the decrease of 8.4% for the three months ended June 30, 2011, was primarily due to a relatively lesser depreciation in the value of the assets of the Fund during the three months ended June 30, 2012.

During the three months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on June 4, 2012 at $66.17 per Share and reached its low for the period on May 2, 2012 at $54.44 per Share. By comparison, during the three months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on April 18, 2011 at $69.20 per Share and reached its low for the period on May 31, 2011 at $61.06 per Share.

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The benchmark’s decline of 1.5% for the three months ended June 30, 2012, as compared to the benchmark’s decline of 8.0% for the three months ended June 30, 2011, can be attributed to declining prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the three months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the three months ended June 30, 2012 and 2011:


	Three Months Ended June 30, 2012			Three Months Ended June 30, 2011
Net investment income (loss)		(209,003	)		(20,454	)
Management fee		221,167			—
Offering costs		—			31,179
Limitation by Sponsor		—			(8,987	)
Net realized gain (loss)		(3,325,390	)		(1,172,411	)
Change in net unrealized appreciation/depreciation		5,019,242			(331,292	)
Net income (loss)		(1,484,849	)		(1,524,157	)

The Fund’s net income increased for the three months ended June 30, 2012, as compared to the three months ended June 30, 2011, primarily due to a lesser decline in the Fund’s benchmark during the three months ended June 30, 2012.

Results of Operations for the Six Months Ended June 30, 2012 Compared to the Six Months Ended June 30, 2011

ProShares Ultra DJ-UBS Commodity

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	9,058,529		$	18,186,658
NAV end of period	$	8,231,731		$	16,695,263
Percentage change in NAV		(9.1	)%		(8.2	)%
Shares outstanding beginning of period		350,014			500,014
Shares outstanding end of period		350,014			500,014
Percentage change in shares outstanding		0.0	%		0.0	%
Shares created		—			50,000
Shares redeemed		—			50,000
Per share NAV beginning of period	$	25.88		$	36.37
Per share NAV end of period	$	23.52		$	33.39
Percentage change in per share NAV		(9.1	)%		(8.2	)%
Percentage change in benchmark		(3.7	)%		(2.6	)%
Benchmark annualized volatility		14.3	%		17.4	%

During the six months ended June 30, 2012, 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 Dow Jones-UBS Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2011 to June 30, 2012. By comparison, during the six months ended June 30, 2011, 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 Dow Jones-UBS Commodity Index. There was no net change in the Fund’s outstanding Shares from December 31, 2010 to June 30, 2011.

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For the six months ended June 30, 2012 and 2011, 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 9.1% for the period ended June 30, 2012, as compared to the decrease of 8.2% for the period ended June 30, 2011, was primarily due to a relatively greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2012.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on February 24, 2012 at $29.02 per Share and reached its low for the period on June 1, 2012 at $20.71 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on April 29, 2011 at $41.87 per Share and reached its low for the period on June 27, 2011 at $32.21 per Share.

The benchmark’s decline of 3.7% for the six months ended June 30, 2012, as compared to the benchmark’s decline of 2.6% for the six months ended June 30, 2011, can be attributed to a relatively greater depreciation of the underlying components of the index during the six months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(40,017	)	$	(85,278	)
Management fee		41,946			94,549
Net realized gain (loss)		(2,180,586	)		1,990,290
Change in net unrealized appreciation/depreciation		1,393,804			(3,569,175	)
Net income (loss)	$	(826,799	)	$	(1,664,163	)

The Fund’s net income increased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to a decrease in the Fund’s benchmark index in conjunction with a significant decrease in shares outstanding from the six months ended June 30, 2011 to the six months ended June 30, 2012.

ProShares UltraShort DJ-UBS Commodity*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	9,107,146		$	1,440,073
NAV end of period	$	3,543,535		$	29,495,769
Percentage change in NAV		(61.1	)%		1,948.2	%
Shares outstanding beginning of period		159,997			30,003
Shares outstanding end of period		59,997			609,997
Percentage change in shares outstanding		(62.5	)%		1,933.1	%
Shares created		—			1,780,000
Shares redeemed		100,000			1,200,006
Per share NAV beginning of period	$	56.92		$	48.00
Per share NAV end of period	$	59.06		$	48.35
Percentage change in per share NAV		3.8	%		0.7	%
Percentage change in benchmark		(3.7	)%		(2.6	)%
Benchmark annualized volatility		14.3	%		17.4	%

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During the six months ended June 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 159,997 outstanding Shares at December 31, 2011 to 59,997 outstanding Shares at June 30, 2012. 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 Dow Jones-UBS Commodity Index. By comparison, during the six months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 30,003 outstanding Shares at December 31, 2010 to 609,997 outstanding Shares at June 30, 2011. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Dow Jones-UBS Commodity Index.

For the six months ended June 30, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV increase of 3.8% for the six months ended June 30, 2012, as compared to the increase of 0.7% for the six months ended June 30, 2011, was primarily due to a relatively greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2012.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on June 1, 2012 at $68.06 per Share and reached its low for the period on February 24, 2012 at $50.01 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on January 7, 2011 at $50.71 per Share and reached its low for the period on April 29, 2011 at $39.91 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(34,337	)	$	(76,246	)
Management fee		35,996			79,037
Net realized gain (loss)		1,514,989			(5,514,836	)
Change in net unrealized appreciation/depreciation		(890,619	)		2,416,899
Net income (loss)	$	590,033		$	(3,174,183	)

The Fund’s net income increased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to a decrease in the Fund’s benchmark index, during the six months ended June 30, 2011 to the six months ended June 30, 2012.

*	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 Commodity Fund.

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ProShares Ultra DJ-UBS Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	251,395,322		$	228,133,077
NAV end of period	$	489,111,964		$	426,397,238
Percentage change in NAV		94.6	%		86.9	%
Shares outstanding beginning of period		6,149,170			4,562,504
Shares outstanding end of period		17,649,170			9,999,170
Percentage change in shares outstanding		187.0	%		119.2	%
Shares created		15,900,000			17,475,000
Shares redeemed		4,400,000			12,038,334
Per share NAV beginning of period	$	40.88		$	50.00
Per share NAV end of period	$	27.71		$	42.64
Percentage change in per share NAV		(32.2	)%		(14.7	)%
Percentage change in benchmark		(16.0	)%		(5.0	)%
Benchmark annualized volatility		26.3	%		31.9	%

During the six months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 6,149,170 outstanding Shares at December 31, 2011 to 17,649,170 outstanding Shares at June 30, 2012. 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 Dow Jones-UBS WTI Crude Oil Sub-Index. By comparison, during six months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 4,562,504 outstanding Shares at December 31, 2010 to 9,999,170 outstanding Shares at June 30, 2011. 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 Dow Jones-UBS Crude Oil Sub-Index.

For the six months ended June 30, 2012 and 2011, 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 32.2% for the six months ended June 30, 2012, as compared to the decrease of 14.7% for the six months ended June 30, 2011, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2012.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on February 24, 2012 at $49.25 per Share and reached its low for the period on June 28, 2012 at $23.36 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on April 29, 2011 at $63.90 per Share and reached its low for the period on June 27, 2011 at $38.53 per Share.

The benchmark’s decline of 16.0% for the six months ended June 30, 2012, as compared to the benchmark’s decline of 5.0% for the six months ended June 30, 2011, can be attributed to a greater decrease in the price of WTI Crude Oil during the six months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(1,323,795	)	$	(1,373,269	)
Management fee		1,353,126			1,456,224
Brokerage commission		33,921			54,773
Net realized gain (loss)		(96,612,908	)		74,350,857
Change in net unrealized appreciation/depreciation		25,492,054			(29,311,347	)
Net income (loss)	$	(72,444,649	)	$	43,666,241

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The Fund’s net income decreased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to a greater decrease in the price of WTI Crude Oil during the six months ended June 30, 2012.

*	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 DJ-UBS Crude Oil Fund.

ProShares UltraShort DJ-UBS Crude Oil*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	144,389,893		$	132,214,257
NAV end of period	$	82,211,941		$	160,288,442
Percentage change in NAV		(43.1	)%		21.2	%
Shares outstanding beginning of period		3,719,944			2,600,003
Shares outstanding end of period		1,669,944			3,319,944
Percentage change in shares outstanding		(55.1	)%		27.7	%
Shares created		3,600,000			7,080,000
Shares redeemed		5,650,000			6,360,059
Per share NAV beginning of period	$	38.82		$	50.85
Per share NAV end of period	$	49.23		$	48.28
Percentage change in per share NAV		26.8	%		(5.1	)%
Percentage change in benchmark		(16.0	)%		(5.0	)%
Benchmark annualized volatility		26.3	%		31.9	%

During the six months ended June 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 3,719,944 outstanding Shares at December 31, 2011 to 1,669,944 outstanding Shares at June 30, 2012. 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 Dow Jones-UBS WTI Crude Oil Sub-Index. By comparison, during the six months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 2,600,003 outstanding Shares at December 31, 2010 to 3,319,944 outstanding Shares at June 30, 2011. The increase in the Fund’s NAV also resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index.

For the six months ended June 30, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV increase of 26.8% for the six months ended June 30, 2012, as compared to the decrease of 5.1% for the six months ended June 30, 2011, was primarily due to a relatively greater appreciation in the value of the assets of the Fund during the six months ended June 30, 2012.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on June 28, 2012 at $60.49 per Share and reached its low for the period on February 24, 2012 at $31.27 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s NAV reached its high for the period on February 15, 2011 at $58.77 per Share and reached its low for the period on April 29, 2011 at $36.11 per Share.

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(604,631	)	$	(669,419	)
Management fee		619,066			699,551
Brokerage commission		16,342			32,302
Net realized gain (loss)		50,502,139			17,604,025
Change in net unrealized appreciation/depreciation		(5,585,868	)		15,679,185
Net income (loss)	$	44,311,640		$	32,613,791

The Fund’s net income increased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to a greater decrease in the price of WTI Crude Oil during the six months ended June 30, 2012.

*	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 Crude Oil Fund.

ProShares Ultra DJ-UBS Natural Gas*

Since the Fund commenced investment operations on October 4, 2011, a comparison of the Fund’s results of operations for the six months ended June 30, 2011 has not been provided.

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012:


	Six Months Ended June 30, 2012
NAV beginning of period	$	4,079,349
NAV end of period	$	62,595,441
Percentage change in NAV		1,434.4	%
Shares outstanding beginning of period		40,002
Shares outstanding end of period		1,369,941
Percentage change in shares outstanding		3,324.7	%
Shares created		1,380,000
Shares redeemed		50,061
Per share NAV beginning of period	$	101.98
Per share NAV end of period	$	45.69
Percentage change in per share NAV		(55.2	)%
Percentage change in benchmark		(28.2	)%
Benchmark annualized volatility		51.9	%

During the six months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 40,002 outstanding Shares at December 31, 2011 to 1,369,941 outstanding Shares at June 30, 2012. 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 Dow Jones-UBS Natural Gas Sub-index^SM.

For the six months ended June 30, 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on January 4, 2012 at $109.49 per Share and reached its low for the period on April 19, 2012 at $29.42 per Share.

The benchmark’s decline of 28.2% for the six months ended June 30, 2012, can be attributed to a decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2012.

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012:


	Six Months Ended June 30, 2012

Net investment income (loss)	$	(218,971	)
Management fee		123,202
Brokerage commission		59,119
Offering costs		45,648
Net realized gain (loss)		(26,661,521	)
Change in net unrealized appreciation/depreciation		19,418,664
Net income (loss)	$	(7,461,828	)

*	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 DJ-UBS Natural Gas Fund.

ProShares UltraShort DJ-UBS Natural Gas*

Since the Fund commenced investment operations on October 4, 2011, a comparison of the Fund’s results of operations for the six months ended June 30, 2011 has not been provided.

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012:


	Six Months Ended June 30, 2012
NAV beginning of period	$	7,142,310
NAV end of period	$	13,643,687
Percentage change in NAV		91.0	%
Shares outstanding beginning of period		300,030
Shares outstanding end of period		450,030
Percentage change in shares outstanding		50.0	%
Shares created		700,000
Shares redeemed		550,000
Per share NAV beginning of period	$	23.81
Per share NAV end of period	$	30.32
Percentage change in per share NAV		27.4	%
Percentage change in benchmark		(28.2	)%
Benchmark annualized volatility		51.9	%

During the six months ended June 30, 2012, the increase in the Fund’s NAV resulted primarily from an increase from 300,030 at December 31, 2011 to 450,030 outstanding Shares at June 30, 2012. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the Dow Jones-UBS Natural Gas Sub-index^SM.

For the six months ended June 30, 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on April 19, 2012 at $61.42 per Share and reached its low for the period on January 4, 2012 at $22.06 per Share.

The benchmark’s decline of 28.2% for the six months ended June 30, 2012, can be attributed to a decrease in the price of Henry Hub Natural Gas during the six months ended June 30, 2012.

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012:


	Six Months Ended June 30, 2012

Net investment income (loss)	$	(109,068	)
Management fee		24,973
Brokerage commission		41,476
Offering costs		45,648
Net realized gain (loss)		6,303,016
Change in net unrealized appreciation/depreciation		(5,201,066	)
Net income (loss)	$	992,882

*	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 UltraShort DJ-UBS Natural Gas Fund.

ProShares Ultra Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	326,399,360		$	259,562,075
NAV end of period	$	331,012,682		$	282,765,412
Percentage change in NAV		1.4	%		8.9	%
Shares outstanding beginning of period		4,300,014			3,750,014
Shares outstanding end of period		4,150,014			3,650,014
Percentage change in shares outstanding		(3.5	)%		(2.7	)%
Shares created		400,000			350,000
Shares redeemed		550,000			450,000
Per share NAV beginning of period	$	75.91		$	69.22
Per share NAV end of period	$	79.76		$	77.47
Percentage change in per share NAV		5.1	%		11.9	%
Percentage change in benchmark		4.4	%		7.1	%
Benchmark annualized volatility		20.2	%		13.2	%

During the six months ended June 30, 2012, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. Dollar P.M. fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 4,300,014 outstanding Shares at December 31, 2011 to 4,150,014 outstanding Shares at June 30, 2012. By comparison, during the six months ended June 30, 2011, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease from 3,750,014 outstanding Shares at December 31, 2010 to 3,650,014 outstanding Shares at June 30, 2011.

For the six months ended June 30, 2012 and 2011, 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 5.1% for the six months ended June 30, 2012, as compared to the increase of 11.9% for the six months ended June 30, 2011, was primarily due to a relatively lesser appreciation in the value of the assets of the Fund during the six months ended June 30, 2012.

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During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on February 28, 2012 at $101.40 per Share and reached its low for the period on May 30, 2012 at $74.51 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on June 22, 2011 at $82.49 per Share and reached its low for the period on January 28, 2011 at $60.68 per Share.

The benchmark’s rise of 4.4% for the six months ended June 30, 2012, as compared to the benchmark’s rise of 7.1% for the six months ended June 30, 2011, can be attributed to a relatively lesser increase in the price of spot gold in U.S. Dollar terms during the six months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(1,632,300	)	$	(1,091,740	)
Management fee		1,721,175			1,208,434
Brokerage commission		25			1,810
Net realized gain (loss)		(50,260,706	)		50,632,624
Change in net unrealized appreciation/depreciation		64,249,893			(23,927,312	)
Net income (loss)	$	12,356,887		$	25,613,572

The Fund’s net income decreased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to a lesser increase in the price of spot gold in U.S. Dollar terms during the six months ended June 30, 2012.

ProShares UltraShort Gold

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	198,298,571		$	77,732,507
NAV end of period	$	129,376,591		$	95,525,554
Percentage change in NAV		(34.8	)%		22.9	%
Shares outstanding beginning of period		9,589,901			2,739,901
Shares outstanding end of period		7,289,901			3,989,901
Percentage change in shares outstanding		(24.0	)%		45.6	%
Shares created		—			2,000,000
Shares redeemed		2,300,000			750,000
Per share NAV beginning of period	$	20.68		$	28.37
Per share NAV end of period	$	17.75		$	23.94
Percentage change in per share NAV		(14.2	)%		(15.6	)%
Percentage change in benchmark		4.4	%		7.1	%
Benchmark annualized volatility		20.2	%		13.2	%

During the six months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 9,589,901 outstanding Shares at December 31, 2011 to 7,289,901 outstanding Shares at June 30, 2012. 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 six months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 2,739,901 outstanding

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Shares at December 31, 2010 to 3,989,901 outstanding Shares at June 30, 2011. 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 gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London.

For the six months ended June 30, 2012 and 2011, 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 14.2% for the six months ended June 30, 2012, as compared to the decrease of 15.6% for the six months ended June 30, 2011, was primarily due to a relatively lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2012.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 30, 2012 at $19.37 per Share and reached its low for the period on February 28, 2012 at $14.91 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on January 28, 2011 at $32.10 per Share and reached its low for the period on June 22, 2011 at $22.56 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(645,671	)	$	(388,467	)
Management fee		676,801			430,641
Brokerage commission		25			1,853
Net realized gain (loss)		1,713,095			(23,388,790	)
Change in net unrealized appreciation/depreciation		(28,676,849	)		7,771,249
Net income (loss)	$	(27,609,425	)	$	(16,006,008	)

ProShares Ultra Silver*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	606,824,420		$	547,003,919
NAV end of period	$	661,009,190		$	881,928,826
Percentage change in NAV		8.9	%		61.2	%
Shares outstanding beginning of period		14,050,028			7,000,028
Shares outstanding end of period		17,850,028			10,500,028
Percentage change in shares outstanding		27.0	%		50.0	%
Shares created		5,800,000			7,400,000
Shares redeemed		2,000,000			3,900,000
Per share NAV beginning of period	$	43.19		$	78.14
Per share NAV end of period	$	37.03		$	83.99
Percentage change in per share NAV		(14.3	)%		7.5	%
Percentage change in benchmark		(3.9	)%		14.3	%
Benchmark annualized volatility		33.1	%		58.6	%

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During the six months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 14,050,028 outstanding Shares at December 31, 2011 to 17,850,028 outstanding Shares at June 30, 2012. 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 silver bullion as measured by the U.S. Dollar fixing price for delivery in London. By comparison, during the six months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 7,000,028 outstanding Shares at December 31, 2010 to 10,500,028 outstanding Shares at June 30, 2011. The increase in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London.

For the six months ended June 30, 2012 and 2011, 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 14.3% for the six months ended June 30, 2012, as compared to the increase of 7.5% for the six months ended June 30, 2011, was primarily due to a depreciation in the value of the assets of the Fund during the six months ended June 30, 2012.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on February 29, 2012 at $73.52 per Share and reached its low for the period on June 25, 2012 at $36.12 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s NAV reached its high for the period on April 28, 2011 at $184.61 per Share and reached its low for the period on January 28, 2011 at $58.40 per Share.

The benchmark’s decline of 3.9% for the six months ended June 30, 2012, as compared to the benchmark’s rise of 14.3% for the six months ended June 30, 2011, can be attributed to a decrease in the price of spot silver in U.S. Dollar terms during the six months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(3,444,114	)	$	(3,753,681	)
Management fee		3,621,349			4,107,369
Brokerage commission		29			5,228
Net realized gain (loss)		(211,284,072	)		67,052,747
Change in net unrealized appreciation/depreciation		64,073,147			(79,979,685	)
Net income (loss)	$	(150,655,039	)	$	(16,680,619	)

The Fund’s net income decreased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to a decrease in the price of spot silver in U.S. Dollar terms during the six months ended June 30, 2012.

*	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 Ultra Silver Fund.

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ProShares UltraShort Silver*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	246,813,921		$	99,032,781
NAV end of period	$	161,421,101		$	657,213,365
Percentage change in NAV		(34.6	)%		563.6	%
Shares outstanding beginning of period		3,218,874			496,496
Shares outstanding end of period		2,308,489			7,038,874
Percentage change in shares outstanding		(28.3	)%		1,317.7	%
Shares created		4,160,000			9,137,500
Shares redeemed		5,070,385			2,595,122
Per share NAV beginning of period	$	76.68		$	199.46
Per share NAV end of period	$	69.93		$	93.37
Percentage change in per share NAV		(8.8	)%		(53.2	)%
Percentage change in benchmark		(3.9	)%		14.3	%
Benchmark annualized volatility		33.1	%		58.6	%

During the six months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 3,218,874 outstanding Shares at December 31, 2011 to 2,308,489 outstanding Shares at June 30, 2012. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. By comparison, during the six months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 496,496 outstanding Shares at December 31, 2010 to 7,038,874 outstanding Shares at June 30, 2011. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London.

For the six months ended June 30, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV decrease of 8.8% for the six months ended June 30, 2012, as compared to the decrease of 53.2% for the six months ended June 30, 2011 was primarily due to a lesser depreciation in the value of the assets of the Fund during the six months ended June 30, 2012.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on January 3, 2012 at $73.38 per Share and reached its low for the period on February 29, 2012 at $41.17 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on January 25, 2011 at $255.54 per Share and reached its low for the period on April 28, 2011 at $66.45 per Share.

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Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(859,192	)	$	(1,380,998	)
Management fee		903,594			1,483,259
Brokerage commission		25			2,287
Net realized gain (loss)		3,378,419			(52,341,860	)
Change in net unrealized appreciation/depreciation		(21,048,743	)		27,009,796
Net income (loss)	$	(18,529,516	)	$	(26,713,062	)

The Fund’s net income increased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to a decrease in the price of spot silver in U.S. Dollar terms in conjunction with significant fluctuations in outstanding shares during the six months ended June 30, 2012.

*	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 UltraShort Silver Fund.

ProShares Ultra Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	9,554,748		$	7,729,684
NAV end of period	$	5,659,156		$	9,061,264
Percentage change in NAV		(40.8	)%		17.2	%
Shares outstanding beginning of period		400,014			300,014
Shares outstanding end of period		250,014			300,014
Percentage change in shares outstanding		(37.5	)%		0.0	%
Shares created		50,000			—
Shares redeemed		200,000			—
Per share NAV beginning of period	$	23.89		$	25.76
Per share NAV end of period	$	22.64		$	30.20
Percentage change in per share NAV		(5.2	)%		17.2	%
Percentage change in benchmark		(2.2	)%		8.5	%
Benchmark annualized volatility		8.9	%		10.7	%

During the six months ended June 30, 2012, the decrease in the Fund’s NAV resulted primarily from a decrease from 400,014 outstanding Shares at December 31, 2011 to 250,014 outstanding Shares at June 30, 2012. The decrease in the Fund’s NAV also resulted in part from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Euro versus the U.S. Dollar. By comparison, during the six months ended June 30, 2011, 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 Euro versus the U.S. Dollar. There was no net change in the Fund’s outstanding Shares from December 31, 2010 to June 30, 2011.

For the six months ended June 30, 2012 and 2011, 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 5.2% for the six months ended June 30, 2012, as compared to the increase of 17.2% for the six months ended June 30, 2011 was primarily due to a decrease in the value of the assets held by the Fund during the six months ended June 30, 2012.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on February 24, 2012 at $25.78 per Share and reached its low for the period on May 31, 2012 at $21.64 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s NAV reached its high for the period on May 3, 2011 at $31.63 per Share and reached its low for the period on January 7, 2011 at $24.01 per Share.

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The benchmark’s decline of 2.2% for the six months ended June 30, 2012, as compared to the benchmark’s rise of 8.5% for the six months ended June 30, 2011, can be attributed to a decline in the value of the Euro versus the U.S. Dollar during the six months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(37,243	)	$	(36,218	)
Management fee		38,818			40,060
Net realized gain (loss)		(866,755	)		1,607,107
Change in net unrealized appreciation/depreciation		640,606			(239,309	)
Net income (loss)	$	(263,392	)	$	1,331,580

The Fund’s net income decreased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to a decline in the value of the Euro versus the U.S. Dollar during the six months ended June 30, 2012.

ProShares Short Euro

Since the Fund commenced investment operations on June 26, 2012, a comparison of the Fund’s results of operations for the six months ended June 30, 2011 has not been provided. In addition, since the Fund commenced investment operations on June 26, 2012, the Fund’s results of operations for the period ended June 30, 2012 may not be meaningful.

Fund Performance

The following table provides summary performance information for the Fund from commencement of operations to June 30, 2012:


	Period Ended June 30, 2012
NAV beginning of period	$	200
NAV end of period	$	3,947,410
Percentage change in NAV		1,973,605.0	%
Shares outstanding beginning of period		5
Shares outstanding end of period		100,005
Percentage change in shares outstanding		2,000,000.0	%
Shares created		100,000
Shares redeemed		—
Per share NAV beginning of period	$	40.00
Per share NAV end of period	$	39.47
Percentage change in per share NAV		(1.3	)%
Percentage change in benchmark		1.3	%
Benchmark annualized volatility (for the six months ended June 30, 2012)		8.9	%

For the period ended June 30, 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark.

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The benchmark’s rise of 1.3% for the period ended June 30, 2012, can be attributed to an increase in the value of the Euro versus the U.S. Dollar during the period ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund from commencement of operations to June 30, 2012:


	Period Ended June 30, 2012

Net investment income (loss)	$	(477	)
Brokerage commission		63
Offering costs		562
Limitation by Sponsor		(148	)
Net realized gain (loss)		(2,000	)
Change in net unrealized appreciation/depreciation		(52,313	)
Net income (loss)	$	(52,790	)

ProShares UltraShort Euro

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	1,100,159,546		$	444,412,995
NAV end of period	$	896,915,348		$	632,327,167
Percentage change in NAV		(18.5	)%		42.3	%
Shares outstanding beginning of period		54,100,014			21,900,014
Shares outstanding end of period		42,900,014			37,750,014
Percentage change in shares outstanding		(20.7	)%		72.4	%
Shares created		10,350,000			20,050,000
Shares redeemed		21,550,000			4,200,000
Per share NAV beginning of period	$	20.34		$	20.29
Per share NAV end of period	$	20.91		$	16.75
Percentage change in per share NAV		2.8	%		(17.5	)%
Percentage change in benchmark		(2.2	)%		8.5	%
Benchmark annualized volatility		8.9	%		10.7	%

During the six months ended June 30, 2012, the decrease in the Fund’s NAV resulted from a decrease from 54,100,014 outstanding Shares at December 31, 2011 to 42,900,014 outstanding Shares at June 30, 2012. 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. By comparison, during the six months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 21,900,014 outstanding Shares at December 31, 2010 to 37,750,014 outstanding Shares at June 30, 2011. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar.

For the six months ended June 30, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV increase of 2.8% for the six months ended June 30, 2012, as compared to the per share NAV decrease of 17.5% for the six months ended June 30, 2011 was primarily due to an appreciation in the value of the assets held by the Fund during the six months ended June 30, 2012.

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During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on May 31, 2012 at $21.98 per Share and reached its low for the period on February 24, 2012 at $18.67 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on January 7, 2011 at $21.74 per Share and reached its low for the period on May 3, 2011 at $16.22 per Share.

The benchmark’s decline of 2.2% for the six months ended June 30, 2012, as compared to the benchmark’s rise of 8.5% for the six months ended June 30, 2011, can be attributed to decline in the value of the Euro versus the U.S. Dollar during the six months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(4,094,137	)	$	(1,901,910	)
Management fee		4,293,156			2,120,677
Net realized gain (loss)		120,953,665			(101,430,775	)
Change in net unrealized appreciation/depreciation		(89,972,911	)		10,618,659
Net income (loss)	$	26,886,617		$	(92,714,026	)

The Fund’s net income increased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to a decline in the value of the Euro versus the U.S. Dollar during the six months ended June 30, 2012.

ProShares Ultra Yen

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	5,471,075		$	5,024,240
NAV end of period	$	5,024,268		$	3,376,952
Percentage change in NAV		(8.2	)%		(32.8	)%
Shares outstanding beginning of period		150,014			150,014
Shares outstanding end of period		150,014			100,014
Percentage change in shares outstanding		0.0	%		(33.3	)%
Shares created		—			—
Shares redeemed		—			50,000
Per share NAV beginning of period	$	36.47		$	33.49
Per share NAV end of period	$	33.49		$	33.76
Percentage change in per share NAV		(8.2	)%		0.8	%
Percentage change in benchmark		(3.7	)%		0.8	%
Benchmark annualized volatility		8.5	%		8.9	%

During the six months ended June 30, 2012, 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, 2011 to June 30, 2012. By comparison, during the six months ended June 30, 2011, the

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decrease in the Fund’s NAV resulted primarily from a decrease from 150,014 outstanding Shares at December 31, 2010 to 100,014 outstanding Shares at June 30, 2011. The decrease in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar.

For the six months ended June 30, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark. The Fund’s per share NAV decrease of 8.2% for the six months ended June 30, 2012, as compared to the increase of 0.8% for the six months ended June 30, 2011, was primarily due to a depreciation in the value of the assets held by the Fund during the six months ended June 30, 2012.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on February 2, 2012 at $37.15 per Share and reached its low for the period on March 14, 2012 at $30.68 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on March 17, 2011 at $35.34 per Share and reached its low for the period on April 6, 2011 at $30.09 per Share.

The benchmark’s decline of 3.7% for the six months ended June 30, 2012, as compared to the benchmark’s rise of 0.8% for the six months ended June 30, 2011, can be attributed to a decline in the value of the Japanese Yen versus the U.S. Dollar during the six months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(22,775	)	$	(14,422	)
Management fee		24,019			15,917
Net realized gain (loss)		(221,168	)		226,199
Change in net unrealized appreciation/depreciation		(202,864	)		(265,476	)
Net income (loss)	$	(446,807	)	$	(53,699	)

The Fund’s net income decreased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to a decrease in the value of the Japanese Yen versus the U.S. Dollar during the six months ended June 30, 2012.

ProShares UltraShort Yen*

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	221,131,994		$	207,685,813
NAV end of period	$	230,703,599		$	356,417,645
Percentage change in NAV		4.3	%		71.6	%
Shares outstanding beginning of period		5,399,294			4,416,671
Shares outstanding end of period		5,299,294			7,850,005
Percentage change in shares outstanding		(1.9	)%		77.7	%
Shares created		2,300,000			6,533,334
Shares redeemed		2,400,000			3,100,000
Per share NAV beginning of period	$	40.96		$	47.02
Per share NAV end of period	$	43.53		$	45.40
Percentage change in per share NAV		6.3	%		(3.4	)%
Percentage change in benchmark		(3.7	)%		0.8	%
Benchmark annualized volatility		8.5	%		8.9	%

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During the six months ended June 30, 2012, the increase 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 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 5,399,294 outstanding Shares at December 31, 2011 to 5,299,294 outstanding Shares at June 30, 2012. By comparison, during the six months ended June 30, 2011, the increase in the Fund’s NAV resulted primarily from an increase from 4,416,671 outstanding Shares at December 31, 2010 to 7,850,005 outstanding Shares at June 30, 2011. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to 2x of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar.

For the six months ended June 30, 2012 and 2011, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the inverse of the daily performance of its benchmark. The Fund’s per share NAV increase of 6.3% for the six months ended June 30, 2012, as compared to the decrease of 3.4% for the six months ended June 30, 2011 was primarily due to an appreciation in the value of the assets held by the Fund during the six months ended June 30, 2012.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on March 14, 2012 at $48.20 per Share and reached its low for the period on February 2, 2012 at $40.08 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on April 6, 2011 at $51.44 per Share and reached its low for the period on March 17, 2011 at $44.06 per Share.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(1,099,015	)	$	(1,375,798	)
Management fee		1,162,217			1,527,901
Net realized gain (loss)		10,453,500			(21,725,210	)
Change in net unrealized appreciation/depreciation		8,445,930			13,711,620
Net income (loss)	$	17,800,415		$	(9,389,388	)

The Fund’s net income increased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to a decrease in the value of the Japanese Yen versus the U.S. Dollar during the six months ended June 30, 2012.

*	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 Yen Fund.

ProShares Ultra VIX Short-Term Futures ETF*

Since the Fund commenced investment operations on October 3, 2011, a comparison of the Fund’s results of operations for the six months ended June 30, 2011 has not been provided.

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Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012:


	Six Months Ended June 30, 2012
NAV beginning of period	$	9,881,113
NAV end of period	$	299,133,075
Percentage change in NAV		2,927.3	%
Shares outstanding beginning of period		133,335
Shares outstanding end of period		31,091,512
Percentage change in shares outstanding		23,218.3	%
Shares created		54,475,000
Shares redeemed		23,516,823
Per share NAV beginning of period	$	74.11
Per share NAV end of period	$	9.62
Percentage change in per share NAV		(87.0	)%
Percentage change in benchmark		(57.9	)%
Benchmark annualized volatility		76.9	%

During the six months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 133,335 outstanding Shares at December 31, 2011 to 31,091,512 outstanding Shares at June 30, 2012. 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 six months ended June 30, 2012, the Fund’s daily performance had a statistical correlation over 0.99 to 2x of the daily performance of its benchmark.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on January 3, 2012 at $64.90 per Share and reached its low for the period on June 30, 2012 at $9.62 per Share.

The benchmark’s decline of 57.9% for the six months ended June 30, 2012, can be attributed to decreasing prices of the near-term futures contracts on the VIX futures curve.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012:


	Six Months Ended June 30, 2012

Net investment income (loss)	$	(1,274,828	)
Management fee		630,453
Brokerage commission		612,128
Offering costs		50,028
Net realized gain (loss)		(178,724,736	)
Change in net unrealized appreciation/depreciation		(59,423,482	)
Net income (loss)	$	(239,423,046	)

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

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ProShares VIX Short-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	30,549,903		$	400
NAV end of period	$	137,638,067		$	46,602,361
Percentage change in NAV		350.5	%		11,650,490.3	%
Shares outstanding beginning of period		400,005			5
Shares outstanding end of period		4,300,005			1,025,005
Percentage change in shares outstanding		975.0	%		20,500,000.0	%
Shares created		9,500,000			2,125,000
Shares redeemed		5,600,000			1,100,000
Per share NAV beginning of period	$	76.37		$	80.00
Per share NAV end of period	$	32.01		$	45.47
Percentage change in per share NAV		(58.1	)%		(43.2	)%
Percentage change in benchmark		(57.9	)%		(43.8	)%
Benchmark annualized volatility		76.9	%		53.3	%

During the six months ended June 30, 2012, the increase in the Fund’s NAV resulted from an increase from 400,005 outstanding Shares at December 31, 2011 to 4,300,005 outstanding Shares at June 30, 2012. 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. By comparison, during the six months ended June 30, 2011, the increase in the Fund’s NAV resulted from an increase from 5 outstanding Shares at December 31, 2010 to 1,025,005 outstanding Shares at June 30, 2011. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Short-Term Futures Index.

For the six months ended June 30, 2012 and 2011, 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 58.1% for the six months ended June 30, 2012, as compared to the decrease of 43.2% for the six months ended June 30, 2011, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2012.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on January 3, 2012 at $71.63 per Share and reached its low for the period on June 29, 2012 at $32.01 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s per share NAV reached its high for the period March 16, 2011 at $81.40 per Share and reached its low for the period on June 30, 2011 at $45.47 per Share.

The benchmark’s decline of 57.9% for the six months ended June 30, 2012, as compared to the benchmark’s decline of 43.8% for the six months ended June 30, 2011, can be attributed to a greater decline in prices of the near-term futures contracts on the VIX futures curve during the six months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(448,030	)	$	(124,479	)
Management fee		473,017			36,288
Offering costs		1,090			98,128
Net realized gain (loss)		(52,093,077	)		(12,792,140	)
Change in net unrealized appreciation/depreciation		(16,309,275	)		(4,452,017	)
Net income (loss)	$	(68,850,382	)	$	(17,368,636	)

-216-

The Fund’s net income decreased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to the greater decrease in the Fund’s benchmark during the six months ended June 30, 2012.

ProShares Short VIX Short-Term Futures ETF

Since the Fund commenced investment operations on October 3, 2011, a comparison of the Fund’s results of operations for the six months ended June 30, 2011 has not been provided.

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012:


	Six Months Ended June 30, 2012
NAV beginning of period	$	7,760,424
NAV end of period	$	13,585,406
Percentage change in NAV		75.1	%
Shares outstanding beginning of period		150,010
Shares outstanding end of period		150,010
Percentage change in shares outstanding		0.0	%
Shares created		2,350,000
Shares redeemed		2,350,000
Per share NAV beginning of period	$	51.73
Per share NAV end of period	$	90.56
Percentage change in per share NAV		75.1	%
Percentage change in benchmark		(57.9	)%
Benchmark annualized volatility		76.9	%

During the six months ended June 30, 2012, the increase in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the inverse of the daily performance of the S&P 500 VIX Short-Term Futures Index. There was no net change in the Fund’s outstanding Shares from December 31, 2011 to June 30, 2012.

For the six months ended June 30, 2012, the Fund’s daily performance had a statistical correlation over 0.99 of the inverse of the daily performance of its benchmark.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on March 26, 2012 at $107.36 per Share and reached its low for the period on January 3, 2012 at $54.97 per Share.

The benchmark’s decline of 57.9% for the six months ended June 30, 2012, can be attributed to declining prices of the near-term futures contracts on the VIX Futures curve.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012:


	Six Months Ended June 30, 2012

Net investment income (loss)	$	(149,683	)
Management fee		35,978
Brokerage commission		67,872
Offering costs		50,028
Net realized gain (loss)		4,077,098
Change in net unrealized appreciation/depreciation		586,346
Net income (loss)	$	4,513,761

-217-

ProShares VIX Mid-Term Futures ETF

Fund Performance

The following table provides summary performance information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011
NAV beginning of period	$	90,821,428		$	400
NAV end of period	$	85,305,861		$	13,895,731
Percentage change in NAV		(6.1	)%		3,473,832.8	%
Shares outstanding beginning of period		1,225,005			5
Shares outstanding end of period		1,550,005			225,005
Percentage change in shares outstanding		26.5	%		4,500,000.0	%
Shares created		925,000			475,000
Shares redeemed		600,000			250,000
Per share NAV beginning of period	$	74.14		$	80.00
Per share NAV end of period	$	55.04		$	61.76
Percentage change in per share NAV		(25.8	)%		(22.8	)%
Percentage change in benchmark		(25.6	)%		(23.4	)%
Benchmark annualized volatility		35.2	%		27.1	%

During the six months ended June 30, 2012, the decrease in the Fund’s NAV resulted from the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index. The decrease in the Fund’s NAV was offset by an increase from 1,225,005 outstanding Shares at December 31, 2011 to 1,550,005 outstanding Shares at June 30, 2012. By comparison, during the six months ended June 30, 2011, the increase in the Fund’s NAV resulted from an increase from 5 outstanding Shares at December 31, 2010 to 225,005 outstanding Shares at June 30, 2011. The increase in the Fund’s NAV was offset by the cumulative effect of the Fund seeking daily investment results (before fees and expenses) that correspond to the daily performance of the S&P 500 VIX Mid-Term Futures Index.

For the six months ended June 30, 2012 and 2011, 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 25.8% for the six months ended June 30, 2012, as compared to the decrease of 22.8% for the six months ended June 30, 2011, was primarily due to a greater depreciation in the value of the assets of the Fund during the six months ended June 30, 2012.

During the six months ended June 30, 2012, the Fund’s per share NAV reached its high for the period on January 3, 2012 at $71.93 per Share and reached its low for the period on May 2, 2012 at $54.44 per Share. By comparison, during the six months ended June 30, 2011, the Fund’s per share NAV reached its high for the period on January 3, 2011 at $80.00 per Share and reached its low for the period on May 31, 2011 at $61.06 per Share.

The benchmark’s decline of 25.6% for the six months ended June 30, 2012, as compared to the benchmark’s decline of 23.4% for the six months ended June 30, 2011, can be attributed to a greater decline in prices of the futures contracts that made up the S&P 500 VIX Mid-Term Futures Index during the six months ended June 30, 2012.

Net Income/Loss

The following table provides summary income information for the Fund for the six months ended June 30, 2012 and 2011:


	Six Months Ended June 30, 2012			Six Months Ended June 30, 2011

Net investment income (loss)	$	(413,863	)	$	(31,763	)
Management fee		431,431			—
Offering costs		682			61,330
Limitation by Sponsor		—			(26,552	)
Net realized gain (loss)		(25,745,480	)		(1,860,602	)
Change in net unrealized appreciation/depreciation		(16,257	)		(414,073	)
Net income (loss)	$	(26,175,600	)	$	(2,306,438	)

-218-

The Fund’s net income decreased for the six months ended June 30, 2012, as compared to the six months ended June 30, 2011, primarily due to a greater decline in the Fund’s benchmark during the six months ended June 30, 2012.

Off-Balance Sheet Arrangements and Contractual Obligations

As of August 9, 2012, 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.

Market Risk

Trading in futures contracts involves each Fund entering into contractual commitments to purchase or sell a commodity underlying the Fund’s benchmark at a specified date and price, should it hold such futures contract into the deliverable period. Should a Fund enter into a contractual commitment to sell a physical commodity, it would be 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.

Each Fund’s exposure to market risk is 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.

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

Credit Risk

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

The counterparty for futures contracts traded on United States and most foreign futures exchanges 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.

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.

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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 a swap agreement defaults, the Fund’s risk of loss 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;

•

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.

The FCM for each Fund, in accepting orders for the purchase or sale of domestic futures contracts, is required by CFTC regulations to separately account for and segregate as belonging to the Fund, all assets of the Fund relating to domestic futures trading, and the FCM is not allowed to commingle such assets with other assets of the FCM. In addition, CFTC regulations also require the FCM to hold in a secure account assets of each Fund related to foreign futures trading.

The Funds could lose money if the issuer of a debt security is unable to meet its financial obligations or goes bankrupt. The Funds could also lose money if the issuer of a debt security in which it has a short position is upgraded or generally improves its standing. Changes in an issuer’s financial strength or in an issuer’s or debt security’s credit rating also may affect a security’s value and thus have an impact on a Fund’s performance. Credit risk usually applies to most debt securities, but generally is not a factor for U.S. government obligations.

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).

-220-

For financial reporting purposes, the Leveraged Funds and the VIX Funds value or will value transactions based upon the final closing price in their primary markets. Accordingly, the investment valuations in these financial statements differ from those used in the calculation of some Leveraged Funds’ and VIX Funds’ final creation/redemption NAV for the three and six months ended June 30, 2012.

Short-term investments are valued at market price. Treasury securities having a maturity of greater than sixty days are valued at market price.

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 and Silver 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 and Silver Funds are valued at the last sales price prior to the time at which the NAV per Share of a Fund is determined. 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 value an asset of a Fund pursuant to the policies the Sponsor has adopted, which are consistent with normal industry standards.

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

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

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

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

Each Fund pays or will pay 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.

-221-

Item 3.

Quantitative and Qualitative Disclosures About Market Risk.

Since the ProShares Ultra DJ-UBS Natural Gas Fund, ProShares UltraShort DJ-UBS Natural Gas Fund, ProShares Ultra VIX Short-Term Futures ETF, ProShares Short VIX Short-Term Futures ETF and ProShares Short Euro were not conducting operations as of June 30, 2011, comparisons of the positions in certain Financial Instruments for those Funds as of June 30, 2011 have not been provided. As of June 30, 2012, each of the New Funds had not commenced investment operations; therefore, these quantitative and qualitative disclosures about market risk do not include comparisons of positions in certain Financial Instruments for the New Funds.

Quantitative Disclosure

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which were sensitive to commodity price risk. As of June 30, 2012 and 2011, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares Ultra DJ-UBS Commodity:

As of June 30, 2012 and 2011, 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 June 31, 2012 and 2011, which were sensitive to commodity price risk.

Swap Agreements as of June 30, 2012

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Dow Jones-UBS Commodity Index

Goldman Sachs International

Long

135.4213

11,453,852

Dow Jones-UBS Commodity Index

UBS AG

Long

135.4213

4,988,984

Swap Agreements as of June 30, 2011

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Dow Jones-UBS Commodity Index

Goldman Sachs International

Long

157.5247

8,152,130

Dow Jones-UBS Commodity Index

UBS AG

Long

157.5247

25,337,039

The June 30, 2012 and 2011 swap notional amounts are calculated by multiplying units times the closing level of the Index. These notional amounts 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 amount, before accounting for spreads or financing costs associated with the swaps. 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.

-222-

See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2011 filed with the U.S. Securities and Exchange Commission (“SEC”) on February 29, 2012 (“the Form 10-K”), for additional information regarding performance for periods longer than one 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 Commodity:

As of June 30, 2012 and 2011, 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 June 30, 2012 and 2011, which were sensitive to commodity price risk.

Swap Agreements as of June 30, 2012


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS Commodity Index	Goldman Sachs International	Short	$	135.4213	$	(6,247,978	)
Dow Jones-UBS Commodity Index	UBS AG	Short		135.4213		(839,312	)

Swap Agreements as of June 30, 2011


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS Commodity Index	Goldman Sachs International	Short	$	157.5247	$	(14,458,798	)
Dow Jones-UBS Commodity Index	UBS AG	Short		157.5247		(44,002,256	)

The June 30, 2012 and 2011 short swap notional amounts are calculated by multiplying units times the closing level of the Index. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the level of the Index. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amounts, before accounting for any spreads or financing costs associated with the swaps. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $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 negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one 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 June 30, 2012 and 2011, 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 Sub-Index. The following tables provide information about the Fund’s positions in these Financial Instruments as June 30, 2012 and 2011, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2012

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Crude Oil (NYMEX)

Long

September 2012

4,525

85.37

1,000

386,299,250

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Swap Agreements as of June 30, 2012

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at Value

Dow Jones-UBS WTI Crude Oil Sub-Index

Goldman Sachs International

Long

218.0585

189,823,923

Dow Jones-UBS WTI Crude Oil Sub-Index

Societe Generale S.A

Long

218.0585

187,236,795

Dow Jones-UBS WTI Crude Oil Sub-Index

UBS AG

Long

218.0585

214,979,837

Futures Positions as of June 30, 2011

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Crude Oil (NYMEX)

Long

September 2011

3,681

95.96

1,000

353,228,760

Swap Agreements as of June 30, 2011

Reference Index

Counterparty

Long or
Short

Index Close

Notional
Amount at
Value

Dow Jones-UBS Crude Oil Sub-Index

Goldman Sachs International

Long

256.1940

167,208,929

Dow Jones-UBS Crude Oil Sub-Index

UBS AG

Long

256.1940

332,370,201

The June 30, 2012 and 2011 futures notional amounts are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2012 and 2011 swap notional amounts are calculated by multiplying the number of units times the closing level of the Index. These notional amounts 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 amount, 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 one 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 June 30, 2012 and 2011, 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 Sub-Index. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2012 and 2011, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2012


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Crude Oil (NYMEX)	Short	September 2012		902	$	85.37		1,000	$	(77,003,740	)

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Swap Agreements as of June 30, 2012


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS WTI Crude Oil Sub-Index	Goldman Sachs International	Short	$	218.0585	$	(35,717,240	)
Dow Jones-UBS WTI Crude Oil Sub-Index	Societe Generale S.A.	Short		218.0585		(37,072,664	)
Dow Jones-UBS WTI Crude Oil Sub-Index	UBS AG	Short		218.0585		(14,593,741	)

Futures Positions as of June 30, 2011


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Crude Oil (NYMEX)	Short	September 2011		1,146	$	95.96		1,000	$	(109,970,160	)

Swap Agreements as of June 30, 2011


Reference Index	Counterparty	Long or Short	Index Close		Notional Amount at Value
Dow Jones-UBS Crude Oil Sub-Index	Goldman Sachs International	Short	$	256.1940	$	(73,730,860	)
Dow Jones-UBS Crude Oil Sub-Index	UBS AG	Short		256.1940		(136,879,095	)

The June 30, 2012 and 2011 short futures notional amounts are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2012 and 2011 short swap notional amounts are calculated by multiplying the number of units times the closing level of the Index. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or the level of the Index, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amount, 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 negative $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 negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one 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 June 30, 2012, the ProShares 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 June 30, 2012, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2012

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Natural Gas (NYMEX)

Long

September 2012

4,419

2.833

10,000

125,190,270

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The June 30, 2012 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amount, 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 one day.

ProShares UltraShort DJ-UBS Natural Gas:

As of June 30, 2012, 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 June 30, 2012, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2012


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Natural Gas (NYMEX)	Short	September 2012		963	$	2.833		10,000	$	(27,281,790	)

The June 30, 2012 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amount, 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 negative $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 negative two. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day.

ProShares Ultra Gold:

As of June 30, 2012 and 2011, the ProShares Ultra Gold Fund was exposed to commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2012 and 2011, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2012

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

August 2012

1,604.20

100

320,840

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Forward Agreements as of June 30, 2012

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Goldman Sachs International

Long

1,598.60

171,401,892

0.995 Fine Troy Ounce Gold

Societe Generale S.A.

Long

1,598.60

169,451,600

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,598.60

320,839,020

Futures Positions as of June 30, 2011

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

August 2011

1,502.80

100

12,623,520

Forward Agreements as of June 30, 2011

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.995 Fine Troy Ounce Gold

Goldman Sachs International

Long

1,505.55

141,401,256

0.995 Fine Troy Ounce Gold

UBS AG

Long

1,505.55

411,466,815

The June 30, 2012 and 2011 futures notional amounts are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2012 and 2011 forward notional amounts equal units multiplied by the forward price. These notional amounts 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 amount, 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 one 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 Gold:

As of June 30, 2012 and 2011, the ProShares UltraShort Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2012 and 2011, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2012


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	August 2012		2	$	1,604.20		100	$	(320,840	)

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Forward Agreements as of June 30, 2012


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short	$	1,598.60	$	(57,706,263	)
0.995 Fine Troy Ounce Gold	Societe Generale S.A.	Short		1,598.60		(103,909,000	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,598.60		(96,795,230	)

Futures Positions as of June 30, 2011


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Gold Futures (COMEX)	Short	August 2011		32	$	1,502.80		100	$	(4,808,960	)

Forward Agreements as of June 30, 2011


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short	$	1,505.55	$	(45,916,264	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		1,505.55		(140,317,260	)

The June 30, 2012 and 2011 short futures notional amounts are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2012 and 2011 short forward notional amounts equal units multiplied by the forward price. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in notional amounts, 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 negative $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 one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Silver:

As of June 30, 2012 and 2011, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2012 and 2011, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2012

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

September 2012

27.612

5,000

276,120

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Forward Agreements as of June 30, 2012

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Goldman Sachs International

Long

27.0826

446,261,666

0.999 Fine Troy Ounce Silver

Societe Generale S.A.

Long

27.0826

528,246,113

0.999 Fine Troy Ounce Silver

UBS AG

Long

27.0826

347,226,015

Futures Positions as of June 30, 3011

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

September 2011

287

34.832

5,000

49,983,920

Forward Agreements as of June 30, 3011

Reference Index

Counterparty

Long or
Short

Valuation
Price

Notional Amount
at Value

0.999 Fine Troy Ounce Silver

Goldman Sachs International

Long

35.0210

421,855,962

0.999 Fine Troy Ounce Silver

UBS AG

Long

35.0210

1,292,765,194

The June 30, 2012 and 2011 futures notional amounts are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2012 and 2011 forward notional amounts equal units multiplied by the forward price. These notional amounts 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 amounts, 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 one day. Counterparty risk related to the forward agreements is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares UltraShort Silver:

As of June 30, 2012 and 2011, the ProShares UltraShort Silver Fund was exposed to inverse commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2012 and 2011, which were sensitive to commodity price risk.

Futures Positions as of June 30, 2012


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	September 2012		2	$	27.612		5,000	$	(276,120	)

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Forward Agreements as of June 30, 2012


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short	$	27.0826	$	(120,612,359	)
0.999 Fine Troy Ounce Silver	Societe Generale S.A.	Short		27.0826		(115,967,693	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		27.0826		(86,014,338	)

Futures Positions as of June 30, 2011


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Silver Futures (COMEX)	Short	September 2011		207	$	34.832		5,000	$	(36,051,120	)

Forward Agreements as of June 30, 2011


Reference Index	Counterparty	Long or Short	Valuation Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short	$	35.0210	$	(312,825,083	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		35.0210		(964,933,613	)

The June 30, 2012 and 2011 short futures notional amounts are calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The June 30, 2012 and 2011 short forward notional amounts equal units multiplied by the forward price. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the price of the futures contract or forward price, as applicable. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amounts, 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 negative $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 one 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.

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Exchange Rate Sensitivity

Each of the Currency Funds is exposed to exchange rate risk through its holdings of Financial Instruments. The following tables provide information about each of the Currency Fund’s Financial Instruments, which are sensitive to changes in exchange rates. As of June 30, 2012 and 2011, each of the Currency Fund’s positions were as follows:

ProShares Ultra Euro:

As of June 30, 2012 and 2011, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2012 and 2011, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2012


Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/13/12		3,111,925			1.2657	$	3,938,712
Euro	UBS AG	Long	07/13/12		6,099,200			1.2657		7,719,657
Euro	Goldman Sachs International	Short	07/13/12		(94,100	)		1.2657		(119,101	)
Euro	UBS AG	Short	07/13/12		(175,000	)		1.2657		(221,494	)

Foreign Currency Forward Contracts as of June 30, 2011


Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/08/11		6,308,625			1.4500	$	9,147,615
Euro	UBS AG	Long	07/08/11		6,990,900			1.4500		10,136,925
Euro	Goldman Sachs International	Short	07/08/11		(248,800	)		1.4500		(360,764	)
Euro	UBS AG	Short	07/08/11		(551,400	)		1.4500		(799,540	)

The June 30, 2012 and 2011 USD market value equals the number of Euros multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. 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 one 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 Short Euro:

As of June 30, 2012, the ProShares Short Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency futures contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2012, which were sensitive to exchange rate price risk.

Futures Positions as of June 30, 2012


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
Euro Fx Currency Futures (CME)	Short	September 2012		25	$	1.2666		125,000	$	(3,958,125	)

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The June 30, 2012 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The short notional amount will increase (decrease) proportionally with increases (decreases) in the price of the futures contract. Additional losses (gains) associated with these contracts will be equal to any such subsequent increases (decreases) in short notional amounts, 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 negative $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 one day.

ProShares UltraShort Euro:

As of June 30, 2012 and 2011, the ProShares UltraShort Euro Fund was exposed to inverse exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2012 and 2011, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2012


Reference Currency	Counterparty	Long or Short	Settlement Date		Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long		07/13/12		63,067,500			1.2657	$	79,823,488
Euro	UBS AG	Long		07/13/12		223,693,100			1.2657		283,124,643
Euro	Goldman Sachs International	Short		07/13/12		(791,263,425	)		1.2657		(1,001,488,982	)
Euro	UBS AG	Short		07/13/12		(912,940,100	)		1.2657		(1,155,493,129	)

Foreign Currency Forward Contracts as of June 30, 2011


Reference Currency	Counterparty	Long or Short	Settlement Date	Euro			Forward Rate		Market Value USD
Euro	Goldman Sachs International	Long	07/08/11		12,347,800			1.4500	$	17,904,522
Euro	UBS AG	Long	07/08/11		105,580,800			1.4500		153,093,974
Euro	Goldman Sachs International	Short	07/08/11		(438,423,925	)		1.4500		(635,722,225	)
Euro	UBS AG	Short	07/08/11		(550,659,000	)		1.4500		(798,465,012	)

The June 30, 2012 and 2011 USD market values equal the number of Euros multiplied by the forward rate. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $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

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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 one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

ProShares Ultra Yen:

As of June 30, 2012 and 2011, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of June 30, 2012 and 2011, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2012


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/13/12		382,717,100			0.012513	$	4,788,865
Yen	UBS AG	Long	07/13/12		449,100,000			0.012513		5,619,502
Yen	Goldman Sachs International	Short	07/13/12		(4,462,700	)		0.012513		(55,841	)
Yen	UBS AG	Short	07/13/12		(24,415,100	)		0.012513		(305,501	)

Foreign Currency Forward Contracts as of June 30, 2011


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/08/11		324,120,000			0.012421	$	4,025,945
Yen	UBS AG	Long	07/08/11		234,410,000			0.012421	$	2,911,643
Yen	Goldman Sachs International	Short	07/08/11		(4,300,000	)		0.012421		(53,411	)
Yen	UBS AG	Short	07/08/11		(10,490,000	)		0.012421		(130,298	)

The June 30, 2012 and 2011 USD market values equal the number of Yen multiplied by the forward rate. These notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. 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 one 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.

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ProShares UltraShort Yen:

As of June 30, 2012 and 2011, the ProShares UltraShort Yen Fund was exposed to inverse exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2012 and 2011, which were sensitive to exchange rate price risk.

Foreign Currency Forward Contracts as of June 30, 2012


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/13/12		2,305,597,000			0.012513	$	28,849,490
Yen	UBS AG	Long	07/13/12		909,777,700			0.012513		11,383,873
Yen	Goldman Sachs International	Short	07/13/12		(14,551,033,100	)		0.012513		(182,074,269	)
Yen	UBS AG	Short	07/13/12		(25,555,231,200	)		0.012513		(319,767,676	)

Foreign Currency Forward Contracts as of June 30, 2011


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen			Forward Rate		Market Value USD
Yen	Goldman Sachs International	Long	07/08/11		2,235,880,000			0.012421	$	27,772,213
Yen	UBS AG	Long	07/08/11		6,524,880,000			0.012421		81,046,549
Yen	Goldman Sachs International	Short	07/08/11		(31,837,740,000	)		0.012421		(395,461,518	)
Yen	UBS AG	Short	07/08/11		(34,312,880,000	)		0.012421		(426,205,617	)

The June 30, 2012 and 2011 USD market values equal the number of Yen multiplied by the forward rate. These short notional amounts will increase (decrease) proportionally with increases (decreases) in the forward price. The Fund will generally attempt to adjust its positions in Financial Instruments each day to have negative $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 one day. Counterparty risk related to foreign currency forward contracts is generally limited to the amount of any unrealized gains, although in the event of a counterparty bankruptcy, there could be delays and costs associated with recovering collateral posted in segregated tri-party accounts at the Fund’s custodian bank.

Equity Market Volatility Sensitivity

Each of the VIX Funds is exposed to equity market volatility risk through its holdings of Financial Instruments. The following tables provide information about each of the VIX Funds’ Financial Instruments, which are sensitive to changes in equity market volatility indexes. As of June 30, 2012 and, as applicable, June 30, 2011, each of the VIX Funds’ positions were as follows:

ProShares Ultra VIX Short-Term Futures ETF

As of June 30, 2012, the ProShares Ultra VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts and its holding of swap agreements linked to the S&P 500 VIX Short-Term Futures Index. The following tables provide information about the Fund’s positions in these Financial Instruments as of June 30, 2012, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2012


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2012		16,212	$	19.55		1,000	$	316,944,600
VIX Futures (CBOE)	Long	August 2012		11,781		21.95		1,000		258,592,950

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Swap Agreements as of June 30, 2012

Reference Index

Counterparty

Long or
Short

Index Close

Notional Amount
at Value

S&P 500 VIX Short-Term Futures Index

Societe Generale S.A.

Long

5,515.55

25,923,085

ProShares VIX Short-Term Futures ETF

As of June 30, 2012 and 2011, the ProShares VIX Short-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2012 and 2011, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2012


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	July 2012		3,904	$	19.55		1,000	$	76,323,200
VIX Futures (CBOE)	Long	August 2012		2,855		21.95		1,000		62,667,250

Futures Positions as of June 30, 2011


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX (CBOE)	Long	July 2011		1,280	$	17.70		1,000	$	22,656,000
VIX (CBOE)	Long	August 2011		1,278		18.75		1,000		23,962,500

ProShares Short VIX Short-Term Futures ETF

As of June 30, 2012, the ProShares Short VIX Short-Term Futures ETF Fund was exposed to inverse equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2012, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2012


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Short	July 2012		383	$	19.55		1,000	$	(7,487,650	)
VIX Futures (CBOE)	Short	August 2012		273		21.95		1,000		(5,992,350	)

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ProShares VIX Mid-Term Futures ETF

As of June 30, 2012 and 2011, the ProShares VIX Mid-Term Futures ETF Fund was exposed to equity market volatility risk through its holding of VIX futures contracts. The following table provides information about the Fund’s positions in VIX futures contracts as of June 30, 2012 and 2011, which were sensitive to equity market volatility risk.

Futures Positions as of June 30, 2012


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX Futures (CBOE)	Long	October 2012		639	$	24.60		1,000	$	15,719,400
VIX Futures (CBOE)	Long	November 2012		1,103		25.45		1,000		28,071,350
VIX Futures (CBOE)	Long	December 2012		1,103		26.00		1,000		28,678,000
VIX Futures (CBOE)	Long	January 2013		465		27.65		1,000		12,857,250

Futures Positions as of June 30, 2011


Contract	Long or Short	Expiration	Contracts		Valuation Price		Contract Multiplier		Notional Amount at Value
VIX (CBOE)	Long	October 2011		101	$	22.00		1,000	$	2,222,000
VIX (CBOE)	Long	November 2011		203		22.55		1,000		4,577,650
VIX (CBOE)	Long	December 2011		204		22.70		1,000		4,630,800
VIX (CBOE)	Long	January 2012		101		24.30		1,000		2,454,300

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 UltraPro Fund will seek daily investment results (before fees and expenses) that correspond to three times (3x) the daily performance of its corresponding benchmark. Each Ultra Fund seeks or will seek daily investment results (before fees and expenses) that correspond to twice (2x) the daily performance of its corresponding benchmark. Each Short Fund will seek 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 or will seek daily investment results (before fees and expenses) that correspond to twice the inverse (-2x) of the daily performance of its corresponding benchmark. Each UltraPro Fund will seek daily investment results (before fees and expenses) that correspond to three times the inverse (-3x) of the daily performance of its corresponding benchmark. Each Matching VIX Fund seeks investment results (before fees and expenses) 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 one 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. Investors should monitor their ProShares holdings consistent with their strategies, as frequently as daily. See “Item 1A. Risk Factors” in the Form 10-K for additional information regarding performance for periods longer than one day. The Matching VIX Funds seek to achieve their stated investment objective both over a single day and over time. The Managed Futures Funds will seek to achieve their stated investment objective over time.

Primary Market Risk Exposure

Each Fund’s investment objective and corresponding benchmark defines the primary market risks that the Funds are exposed to. For example, the primary market risk that the ProShares Ultra DJ-UBS Crude Oil and the ProShares UltraShort DJ-UBS Crude Oil Funds are exposed to are direct and inverse 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).

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

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

Commodity Price Sensitivity

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

Equity Market Volatility Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each VIX Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund

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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, 3x, -1x, -2x or -3x), 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 UltraPro Fund or 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 UltraPro Fund or 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 or UltraPro Short 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 or an UltraPro Short Fund’s assets should rise. As a result, its short exposure may need to be increased.

The use of certain Financial Instruments introduces counterparty risk. A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments entered into by the Fund. A Fund may be negatively impacted if a counterparty becomes bankrupt or otherwise fails to perform its obligations due to financial difficulties. Each Fund intends to enter into swap and forward agreements only with large, established and well capitalized 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 June 30, 2012, 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.

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Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s or the Funds’ internal control over financial reporting that occurred during the quarter ended June 30, 2012, 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.

Item 1A.

Risk Factors.

Except as noted below, there has not been a material change to the Risk Factors previously disclosed in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2011, filed on February 29, 2012.

Risks Related to All VIX Funds

The VIX Funds are benchmarked to either the S&P 500 VIX Short-Term Futures Index or the S&P VIX Mid-Term Futures Index (together “VIX Funds Indexes”). They are not benchmarked to the VIX or actual realized volatility of the S&P 500.

The level of the VIX Funds Indexes are based on the value of the relevant futures contracts (“VIX futures contracts”) based on the Chicago Board Options Exchange, Incorporated (“CBOE”) Volatility Index (the “VIX”) comprising the applicable VIX Funds Index. Each VIX Fund is benchmarked to its respective VIX Funds Index and the VIX Funds are not linked to the VIX (which is a measure of implied volatility of the S&P 500 over the next 30 days derived from option prices), to realized volatility of the S&P 500 or to the options that underlie the VIX calculation. Each VIX Fund should be expected to perform very differently from the VIX over all periods of time. In many cases the VIX Fund Indexes will significantly underperform the VIX. Furthermore, because each VIX Fund may invest in VIX futures contracts other than the VIX futures contracts comprising the Fund’s VIX Funds Index, the VIX Funds may perform differently than their respective VIX Funds Indexes.

Risks Related to All Funds

Credit and liquidity risks associated with collateralized repurchase agreements.

A portion of each Fund’s assets may be 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 and collateralized repurchase agreements). These securities may be used for direct investment or serve as collateral for such Fund’s trading in Financial Instruments, as applicable, and may include collateralized repurchase agreements. Collateralized repurchase agreements involve an agreement to purchase a security and to sell that security back to the original seller at an agreed-upon price. The resale price reflects the purchase price plus an agreed-upon incremental amount which is unrelated to the coupon rate or maturity of the purchased security. As protection against the risk that the original seller will not fulfill its obligation, the buyer receives collateral marked-to-market daily, and maintained at a value at least equal to the sale price plus the accrued incremental amount. Although the collateralized repurchase agreements that the Funds enter into require that counterparties (which act as original sellers) over-collateralize the amount owed to a Fund with U.S. Treasury securities and/or agency securities, there is a risk that such collateral could decline in price at the same time that the counterparty defaults on its obligation to repurchase the security. If this occurs, a Fund may incur losses or delays in receiving proceeds. To minimize these risks, the Funds typically enter into transactions only with large, well-capitalized and well established financial institutions.

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The Funds may be subject to counterparty risks.

As of the date of this report, the Funds’ counterparties for swap agreements and forward contracts are: Deutsche Bank AG, UBS AG, Goldman Sachs International and Société Générale. The Sponsor regularly reviews the performance of its counterparties for, among other things, creditworthiness and execution quality. In addition, the Sponsor periodically considers the addition of new counterparties. Thus, the list of counterparties noted above may change at any time. Each day, the Funds disclose their portfolio holdings as of the prior business day. Each Fund’s portfolio holdings identifies its counterparties, as applicable. This portfolio holdings information may be accessed through the web on the Sponsor’s website at www.proshares.com.

More information about Deutsche Bank AG, including its current financial statements, may be found on the SEC’s EDGAR website under Central Index Key No (“CIK No.”) 0001159508 (for Deutsche Bank AG). More information about UBS AG, including its current financial statements, may also be found on the SEC’s EDGAR website under CIK No. 0001114446 (for UBS AG). More information about Goldman Sachs International, a U.K. broker-dealer and subsidiary of The Goldman Sachs Group, Inc., may also be found on the SEC’s EDGAR website under CIK No.

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0000886982 (for The Goldman Sachs Group, Inc.). The Goldman Sachs Group, Inc. consolidates the financial statements of each of its subsidiaries, including Goldman Sachs International, with its own. More information about Société Générale, a French public limited company, including its current financial statements as filed with the AMF (the French securities regulator), may be found on Société Générale’s website. Please note that the references to third-party websites have been provided solely for informational purposes. Neither the Funds nor the Sponsor endorses or is responsible for the content or information contained on any third-party website, including with respect to any financial statements. In addition, neither the Funds nor the Sponsor makes any warranty, express or implied or assumes any legal liability or responsibility for the accuracy, completeness or usefulness of any such information.

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

Shareholders will receive partner information tax returns on Schedule K-1, which could increase the complexity of tax returns.

The partner information tax returns on Schedule K-1 which the Funds will distribute to shareholders will contain information regarding the income items and expense items of the Funds. If you have not received Schedule K-1s from other investments, you may find that preparing your tax return may require additional time, or it may be necessary for you to retain an accountant or other tax preparer, at an additional expense to you, to assist you in the preparation of your return.

Investors could be adversely affected if the current treatment of long-term capital gains under current U.S. federal income tax law is changed or repealed in the future.

Under current law, long-term capital gains are taxed to non-corporate investors at a maximum U.S. federal income tax rate of 15%. This tax treatment may be adversely affected, changed or repealed by future changes in tax laws at any time and is currently scheduled to increase to 20% for tax years beginning after December 31, 2012.

Regulatory and exchange position accountability levels may restrict the creation of Creation Units and the operation of the Trust.

Many U.S. commodities exchanges and boards of trade limit the amount of fluctuation permitted in futures contract prices during a single trading day by regulations referred to as “daily price fluctuation limits” or “daily limits.” 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 periods during the trading day.

In addition, CFTC and the U.S. futures exchanges and certain non-U.S. exchanges have established limits referred to as “speculative position limits” or “accountability levels” on the maximum net long or short futures positions that any person may hold or control in derivatives traded on such exchanges.

In connection with these limits, the Dodd-Frank Act has required the CFTC to adopt regulations establishing speculative position limits applicable to regulated futures and over-the-counter derivatives across regulated U.S. futures, over-the-counter positions and certain futures contracts traded on non-U.S. exchanges. In accordance with this mandate, in October 2011, the CFTC finalized rules that establish position limits with respect to 28 physical delivery commodity futures and options contracts, as well as to swaps that are economically equivalent to such contracts. The new position limits established by the CFTC apply with respect to contracts traded on all U.S. and certain foreign exchanges on an aggregate basis. In addition, the CFTC has required the U.S. commodities exchanges to establish corresponding speculative position limits. Under the recently adopted CFTC regulations, all accounts owned or managed by commodity trading advisors, such as the Sponsor, their principals and their affiliates would be combined for position limit purposes.

In order to comply with any such limits established by the CFTC and the relevant exchanges, the Sponsor may in the future be required to reduce the size of outstanding positions, not enter into new positions that would otherwise be taken for the Funds or not trade certain markets on behalf of the Funds. Futures contract prices could move to a limit for several consecutive trading days with little or no trading, thereby preventing prompt liquidation of futures positions and potentially subjecting the Funds to substantial losses or periods in which such funds do not create additional Creation Units.

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Modification of trades made by the Trust, if required, could adversely affect the Trust’s operations and profitability and significantly limit the Trust’s ability to reinvest income in additional contracts, create additional Creation Units, or add to existing positions in the desired amount.

In addition, the Sponsor may be required to liquidate certain open positions in order to ensure compliance with position accountability levels at unfavorable prices, which may result in substantial losses for the relevant Funds. There also can be no assurance that the Sponsor will liquidate positions held on behalf of all the Sponsor’s accounts, including any proprietary accounts, in a proportionate manner. In the event the Sponsor chooses to liquidate a disproportionate number of positions held on behalf of any of the Funds at unfavorable prices, such Funds may incur substantial losses and the value of the Shares may be adversely affected.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

(a)

None.

(b)

The Trust initially registered Shares 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 Shares registered and re-allocated the remaining amount of the Shares registered among the Funds listed on its Registration Statement on Form S-3 (No. 333-163511), which became effective on December 4, 2009 and registered additional Shares and/or added Funds pursuant to Post-Effective Amendments to that Registration Statement, 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 other Funds. New offerings for certain of those Funds were registered on an accompanying Registration Statement on Form S-1 (No. 333-176878), which was also declared effective on June 26, 2012. Additional amounts were registered pursuant to Prospectus Supplements to the Registration Statement on Form S-3 (333-163511), which aggregate total amounts are reflected in the “Amount Registered” column below. 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 or will continuously offer and redeem and each Managed Futures Fund will continuously offer and redeem its Shares in blocks of 50,000 Shares, and each Matching VIX Fund continuously offers and redeems shares in blocks of 25,000 Shares. The New Funds have not yet commenced investment operations.

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Title of Securities Registered	Amount Registered As of June 30, 2012		Shares Sold For the Three Months Ended June 30, 2012		Sale Price of Shares Sold For the Three Months Ended June 30, 2012
ProShares Ultra DJ-UBS Commodity Common Units of Beneficial Interest	$	300,000,000		—	$	—
ProShares UltraShort DJ-UBS Commodity Common Units of Beneficial Interest	$	500,000,000		—	$	—
ProShares Ultra DJ-UBS Crude Oil Common Units of Beneficial Interest	$	3,375,000,000		12,700,000	$	366,322,941
ProShares UltraShort DJ-UBS Crude Oil Common Units of Beneficial Interest	$	1,675,000,000		1,300,000	$	59,496,548
ProShares Ultra DJ-UBS Natural Gas Common Units of Beneficial Interest	$	500,000,000		460,000	$	15,389,826
ProShares Short DJ-UBS Natural Gas Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraShort DJ-UBS Natural Gas Common Units of Beneficial Interest	$	500,000,000		250,000	$	12,284,640
ProShares Ultra Gold Common Units of Beneficial Interest	$	1,000,000,000		—	$	—
ProShares Short Gold Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraShort Gold Common Units of Beneficial Interest	$	1,000,000,000		—	$	—
ProShares Ultra Silver Common Units of Beneficial Interest	$	2,300,000,000		3,250,000	$	148,388,258
ProShares UltraShort Silver Common Units of Beneficial Interest	$	2,100,000,000		970,000	$	64,383,301
ProShares UltraPro Australian Dollar Common Units of Beneficial Interest	$	—		—	$	—
ProShares Ultra Australian Dollar Common Units of Beneficial Interest	$	200,000,000		—	$	—
ProShares Short Australian Dollar Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraShort Australian Dollar Common Units of Beneficial Interest	$	200,000,000		—	$	—
ProShares UltraPro Short Australian Dollar Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraPro Canadian Dollar Common Units of Beneficial Interest	$	—		—	$	—
ProShares Ultra Canadian Dollar Common Units of Beneficial Interest	$	50,000,000		—	$	—
ProShares Short Canadian Dollar Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraShort Canadian Dollar Common Units of Beneficial Interest	$	50,000,000		—	$	—
ProShares UltraPro Short Canadian Dollar Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraPro Euro Common Units of Beneficial Interest	$	—		—	$	—
ProShares Ultra Euro Common Units of Beneficial Interest	$	500,000,000		—	$	—
ProShares Short Euro Common Units of Beneficial Interest	$	200,000,000		100,000	$	4,000,000
ProShares UltraShort Euro Common Units of Beneficial Interest	$	2,353,506,872		8,200,000	$	169,250,799
ProShares UltraPro Short Euro Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraPro Swiss Franc Dollar Common Units of Beneficial Interest	$	—		—	$	—
ProShares Ultra Swiss Franc Common Units of Beneficial Interest	$	50,000,000		—	$	—
ProShares Short Swiss Franc Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraShort Swiss Franc Common Units of Beneficial Interest	$	50,000,000		—	$	—

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ProShares UltraPro Short Swiss Franc Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraPro U.S. Dollar Common Units of Beneficial Interest	$	—		—	$	—
ProShares Ultra U.S. Dollar Common Units of Beneficial Interest	$	—		—	$	—
ProShares Short U.S. Dollar Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraShort U.S. Dollar Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraPro Short U.S. Dollar Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraPro Yen Common Units of Beneficial Interest	$	—		—	$	—
ProShares Ultra Yen Common Units of Beneficial Interest	$	500,000,000		—	$	—
ProShares Short Yen Common Units of Beneficial Interest	$	50,000,000		—	$	—
ProShares UltraShort Yen Common Units of Beneficial Interest	$	1,300,000,000		450,000	$	19,633,482
ProShares UltraPro Short Yen Common Units of Beneficial Interest	$	—		—	$	—
ProShares Ultra VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	1,700,000,000		41,950,000	$	587,296,920
ProShares VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	1,200,000,000		5,550,000	$	209,344,209
ProShares Short VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	500,000,000		1,100,000	$	90,633,235
ProShares UltraShort VIX Short-Term Futures ETF Common Units of Beneficial Interest	$	—		—	$	—
ProShares Ultra VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	—		—	$	—
ProShares VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	700,000,000		125,000	$	7,143,712
ProShares Short VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	—		—	$	—
ProShares UltraShort VIX Mid-Term Futures ETF Common Units of Beneficial Interest	$	—		—	$	—
ProShares Managed Futures Strategy Common Units of Beneficial Interest	$	1,000,000	¹	—	$	—
ProShares Commodity Managed Futures Strategy Common Units of Beneficial Interest	$	1,000,000	¹	—	$	—
ProShares Financial Managed Futures Strategy Common Units of Beneficial Interest	$	1,000,000	¹	—	$	—
Total:	$	22,856,506,872		76,405,000	$	1,753,567,871

¹	A registration statement on Form S-1 was filed with the SEC on November 29, 2011 and February 14, 2012, registering this amount. However, the registration statements had not yet been declared effective as of June 30, 2012.

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(c)

From April 1, 2012 through June 30, 2012, 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 Ultra DJ-UBS Commodity
04/01/12 to 04/30/12		—	$	—
05/01/12 to 05/31/12		—		—
06/01/12 to 06/30/12		—		—
ProShares UltraShort DJ-UBS Commodity
04/01/12 to 04/30/12		50,000		56.85
05/01/12 to 05/31/12		—		—
06/01/12 to 06/30/12		50,000		66.22
ProShares Ultra DJ-UBS Crude Oil
04/01/12 to 04/30/12		900,000		43.16
05/01/12 to 05/31/12		—		—
06/01/12 to 06/30/12		500,000		27.49
ProShares UltraShort DJ-UBS Crude Oil
04/01/12 to 04/30/12		450,000		34.57
05/01/12 to 05/31/12		2,200,000		41.05
06/01/12 to 06/30/12		1,350,000		55.41
ProShares Ultra DJ-UBS Natural Gas
04/01/12 to 04/30/12		—		—
05/01/12 to 05/31/12		61		46.54
06/01/12 to 06/30/12		50,000		45.69
ProShares UltraShort DJ-UBS Natural Gas
04/01/12 to 04/30/12		150,000		47.74
05/01/12 to 05/31/12		100,000		41.75
06/01/12 to 06/30/12		—		—
ProShares Ultra Gold
04/01/12 to 04/30/12		200,000		87.47
05/01/12 to 05/31/12		—		—
06/01/12 to 06/30/12		—		—
ProShares UltraShort Gold
04/01/12 to 04/30/12		600,000		17.53
05/01/12 to 05/31/12		500,000		18.97
06/01/12 to 06/30/12		300,000		17.10
ProShares Ultra Silver
04/01/12 to 04/30/12		800,000		53.60
05/01/12 to 05/31/12		—		—
06/01/12 to 06/30/12		—		—
ProShares UltraShort Silver
04/01/12 to 04/30/12		910,000		54.84
05/01/12 to 05/31/12		1,000,385		67.12
06/01/12 to 06/30/12		550,000		67.42
ProShares Ultra Euro
04/01/12 to 04/30/12		—		—
05/01/12 to 05/31/12		50,000		22.24
06/01/12 to 06/30/12		—		—
ProShares Short Euro
04/01/12 to 04/30/12		—		—
05/01/12 to 05/31/12		—		—
06/01/12 to 06/30/12		—		—
ProShares UltraShort Euro
04/01/12 to 04/30/12		400,000		19.27
05/01/12 to 05/31/12		1,700,000		20.96
06/01/12 to 06/30/12		6,400,000		21.44
ProShares Ultra Yen
04/01/12 to 04/30/12		—		—
05/01/12 to 05/31/12		—		—
06/01/12 to 06/30/12		—		—

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ProShares UltraShort Yen
04/01/12 to 04/30/12	550,000	45.93
05/01/12 to 05/31/12	300,000	43.99
06/01/12 to 06/30/12	250,000	41.71
ProShares Ultra VIX Short-Term Futures ETF
04/01/12 to 04/30/12	2,450,000	17.40
05/01/12 to 05/31/12	11,400,000	16.94
06/01/12 to 06/30/12	5,400,000	15.96
ProShares VIX Short-Term Futures ETF
04/01/12 to 04/30/12	500,000	37.69
05/01/12 to 05/31/12	1,775,000	41.21
06/01/12 to 06/30/12	2,550,000	38.43
ProShares Short VIX Short-Term Futures ETF
04/01/12 to 04/30/12	100,000	97.48
05/01/12 to 05/31/12	200,000	82.27
06/01/12 to 06/30/12	950,000	81.51
ProShares VIX Mid-Term Futures ETF
04/01/12 to 04/30/12	—	—
05/01/12 to 05/31/12	175,000	62.03
06/01/12 to 06/30/12	225,000	64.79
Total:	46,035,446	29.63

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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 406T 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.

-248-

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/ Louis Mayberg

By: Louis Mayberg

Principal Executive Officer

Date: August 9, 2012

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: August 9, 2012