ProShares Trust II - Quarter Report: 2009 September (Form 10-Q)

Large accelerated filer

Accelerated filer

Non-accelerated filer

x (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 September 30, 2009.

¨	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). ¨ 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.		77

Item 3. Quantitative and Qualitative Disclosures About Market Risk.		87

Item 4. Controls and Procedures.		97

Part II. OTHER INFORMATION

Item 1. Legal Proceedings.		98

Item 1A. Risk Factors.		98

Item 2. Unregistered Sales of Equity Securities and Use of Proceeds.		98

Item 3. Defaults Upon Senior Securities.		100

Item 4. Submission of Matters to a Vote of Security Holders.		100

Item 5. Other Information.		100

Item 6. Exhibits.		100

Part I. FINANCIAL INFORMATION

Item 1.

Condensed Financial Statements.

Index


		Page
Documents
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		2
ProShares UltraShort DJ-UBS Commodity		7
ProShares Ultra DJ-UBS Crude Oil		12
ProShares UltraShort DJ-UBS Crude Oil		17
ProShares Ultra Gold		22
ProShares UltraShort Gold		27
ProShares Ultra Silver		32
ProShares UltraShort Silver		37
ProShares Ultra Euro		42
ProShares UltraShort Euro		47
ProShares Ultra Yen		52
ProShares UltraShort Yen		57
Notes to Financial Statements		62

-1-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2009 (unaudited)		December 31, 2008
Assets
Cash	$	5,830,423	$	1,745,354
Segregated cash balances for swap agreements		8,570,000		1,335,000
Short-term U.S. government agency obligations (Note 3)		4,488,979		—
Unrealized appreciation on swap agreements		481,000		184,583
Receivable from Sponsor		—		33,411
Offering costs (Note 5)		11,677		69,640

Total assets		19,382,079		3,367,988

Liabilities and shareholders’ equity
Liabilities
Accounts payable		—		42,977
Payable to Sponsor		25,715		—

Total liabilities		25,715		42,977

Shareholders’ equity
Paid-in capital		17,486,071		3,551,075
Accumulated earnings (deficit)		1,870,293		(226,064	)

Total shareholders’ equity		19,356,364		3,325,011

Total liabilities and shareholders’ equity	$	19,382,079	$	3,367,988


Shares outstanding		800,014		150,014


Net asset value per share	$	24.20	$	22.16


Market value per share (Note 2)	$	24.07	$	22.15

See accompanying notes to financial statements.

-2-

PROSHARES ULTRA DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)


	Principal Amount		Value
Short-term U.S. government agency obligations (23% of shareholders’ equity)
Federal Home Loan Bank, Discount Notes:
0.04% due 10/01/09	$	500,000	$	500,000
0.03% due 10/02/09		1,617,000		1,616,999
0.02% due 10/07/09		500,000		499,998
0.03% due 10/13/09		1,672,000		1,671,983
0.01% due 10/19/09		200,000		199,999

Total short-term U.S. government agency obligations			$	4,488,979

Swap Agreements^


	Termination Date	Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index	10/06/09	$	8,232,734	$	53,415
Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index	10/06/09		30,355,281		427,585

				$	481,000

^	The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

-3-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)


	Three months ended September 30, 2009			Nine months ended September 30, 2009
Investment Income
Interest	$	1,738		$	4,012

Expenses
Management fee		32,623			59,126
Offering costs		19,533			57,963

Total expenses		52,156			117,089

Net investment income (loss)		(50,418	)		(113,077	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(1,842,980	)		1,913,017

Change in net unrealized appreciation/depreciation on
Swap agreements		2,374,398			296,417

Net realized and unrealized gain (loss)		531,418			2,209,434

Net income (loss)	$	481,000		$	2,096,357

Net income (loss) per weighted-average share	$	0.51		$	2.82

Weighted-average shares outstanding		938,601			742,688

See accompanying notes to financial statements.

-4-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Shareholders’ equity, at December 31, 2008	$	3,325,011

Addition of 1,200,000 shares		25,899,594
Redemption of 550,000 shares		(11,964,598	)

Net addition (redemption) of 650,000 shares		13,934,996


Net investment income (loss)		(113,077	)
Net realized gain (loss)		1,913,017
Change in net unrealized appreciation/depreciation		296,417

Net income (loss)		2,096,357


Shareholders’ equity, at September 30, 2009	$	19,356,364

See accompanying notes to financial statements.

-5-

PROSHARES ULTRA DJ-UBS COMMODITY

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Cash flow from operating activities
Net income (loss)	$	2,096,357
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Increase in segregated cash balances for swap agreements		(7,235,000	)
Net purchase of short-term U.S. government agency obligations		(4,488,979	)
Change in unrealized appreciation/depreciation on swap agreements		(296,417	)
Decrease in receivable from Sponsor		33,411
Increase in payable to Sponsor		25,715
Amortization of offering cost		57,963
Decrease in accounts payable		(42,977	)

Net cash provided by (used in) operating activities		(9,849,927	)

Cash flow from financing activities
Proceeds from addition of shares		25,899,594
Payment on shares redeemed		(11,964,598	)

Net cash provided by (used in) financing activities		13,934,996

Net increase (decrease) in cash		4,085,069
Cash, at December 31, 2008		1,745,354

Cash, at September 30, 2009	$	5,830,423

See accompanying notes to financial statements.

-6-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2009 (unaudited)			December 31, 2008
Assets
Cash	$	2,205,732		$	1,579,140
Segregated cash balances for swap agreements		2,575,000			1,400,000
Short-term U.S. government agency obligations (Note 3)		599,997			—
Receivable from Sponsor		262,895			56,576
Offering costs (Note 5)		46,685			278,414

Total assets		5,690,309			3,314,130

Liabilities and shareholders’ equity
Liabilities
Accounts payable		—			208,046
Unrealized depreciation on swap agreements		264,668			426,201

Total liabilities		264,668			634,247

Shareholders’ equity
Paid-in capital		6,646,411			2,500,900
Accumulated earnings (deficit)		(1,220,770	)		178,983

Total shareholders’ equity		5,425,641			2,679,883

Total liabilities and shareholders’ equity	$	5,690,309		$	3,314,130

Shares outstanding		300,014			100,014

Net asset value per share	$	18.08		$	26.80

Market value per share (Note 2)	$	18.12		$	27.58

See accompanying notes to financial statements.

-7-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)


	Principal Amount		Value
Short-term U.S. government agency obligations (11% of shareholders’ equity)
Federal Home Loan Bank, Discount Notes:
0.02% due 10/07/09	$	500,000	$	499,998
0.03% due 10/13/09		100,000		99,999

Total short-term U.S. government agency obligations			$	599,997

Swap Agreements^


	Termination Date	Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Commodity Index	10/06/09	$	(1,774,643	)	$	(75,251	)
Swap agreement with UBS AG based on Dow Jones-UBS Commodity Index	10/06/09		(9,192,397	)		(189,417	)

					$	(264,668	)

^	The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

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

See accompanying notes to financial statements.

-8-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)


	Three months ended September 30, 2009			Nine months ended September 30, 2009
Investment Income
Interest	$	320		$	710

Expenses
Offering costs		78,092			231,729
Limitation by Sponsor		(65,602	)		(206,319	)

Total expenses		12,490			25,410

Net investment income (loss)		(12,170	)		(24,700	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Swap agreements		(457,048	)		(1,536,586	)

Change in net unrealized appreciation/depreciation on
Swap agreements		(310,626	)		161,533

Net realized and unrealized gain (loss)		(767,674	)		(1,375,053	)

Net income (loss)	$	(779,844	)	$	(1,399,753	)

Net income (loss) per weighted-average share	$	(2.95	)	$	(8.77	)

Weighted-average shares outstanding		264,688			159,538

See accompanying notes to financial statements.

-9-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Shareholders’ equity, at December 31, 2008	$	2,679,883

Addition of 200,000 shares		4,145,511


Net investment income (loss)		(24,700	)
Net realized gain (loss)		(1,536,586	)
Change in net unrealized appreciation/depreciation		161,533

Net income (loss)		(1,399,753	)


Shareholders’ equity, at September 30, 2009	$	5,425,641

See accompanying notes to financial statements.

-10-

PROSHARES ULTRASHORT DJ-UBS COMMODITY

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Cash flow from operating activities
Net income (loss)	$	(1,399,753	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Increase in segregated cash balances for swap agreements		(1,175,000	)
Net purchase of short-term U.S. government agency obligations		(599,997	)
Change in unrealized appreciation/depreciation on swap agreements		(161,533	)
Increase in receivable from Sponsor		(206,319	)
Amortization of offering cost		231,729
Decrease in accounts payable		(208,046	)

Net cash provided by (used in) operating activities		(3,518,919	)

Cash flow from financing activities
Proceeds from addition of shares		4,145,511

Net increase (decrease) in cash		626,592
Cash, at December 31, 2008		1,579,140

Cash, at September 30, 2009	$	2,205,732

See accompanying notes to financial statements.

-11-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2009 (unaudited)		December 31, 2008
Assets
Cash	$	99,010,664	$	40,341,120
Segregated cash balances for swap agreements		93,010,000		—
Segregated cash balances with brokers for futures contracts		24,506,550		37,425,038
Short-term U.S. government agency obligations (Note 3)		79,999,294		—
Receivable from capital shares sold		16,830,510		8,810,344
Receivable on open futures contracts		11,909,407		20,527,738
Unrealized appreciation on swap agreements		6,914,359		—
Receivable from Sponsor		—		16,192
Offering costs (Note 5)		23,346		139,226

Total assets		332,204,130		107,259,658

Liabilities and shareholders’ equity
Liabilities
Accounts payable		—		97,742
Payable for capital shares redeemed		—		7,388,973
Payable to Sponsor		364,190		—

Total liabilities		364,190		7,486,715

Shareholders’ equity
Paid-in capital		252,763,492		89,856,620
Accumulated earnings (deficit)		79,076,448		9,916,323

Total shareholders’ equity		331,839,940		99,772,943

Total liabilities and shareholders’ equity	$	332,204,130	$	107,259,658

Shares outstanding		29,250,014		6,750,014

Net asset value per share	$	11.34	$	14.78

Market value per share (Note 2)	$	11.21	$	13.69

See accompanying notes to financial statements.

-12-

PROSHARES ULTRA DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)


	Principal Amount		Value
Short-term U.S. government agency obligations (24% of shareholders’ equity)
Federal Home Loan Bank, Discount Notes:
0.04% due 10/01/09	$	5,000,000	$	5,000,000
0.11% due 10/05/09		35,000,000		34,999,572
0.06% due 10/06/09		5,000,000		4,999,958
0.05% due 10/09/09		10,000,000		9,999,889
0.01% due 10/19/09		25,000,000		24,999,875

Total short-term U.S. government agency obligations			$	79,999,294

Futures Contracts Purchased


	Number of Contracts	Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil – NYMEX, expires November 2009	4,034	$	284,840,740	$	4,559,140

Swap Agreements^


	Termination Date	Notional Amount at Value*		Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Crude Oil Sub-Index	10/06/09	$	150,708,713	$	2,130,387
Swap agreement with UBS AG based on Dow Jones-UBS Crude Oil Sub-Index	10/06/09		228,134,667		4,783,972

				$	6,914,359

^	The positions and counterparties herein are as of September 30, 2009. 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.

-13-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)


	Three months ended September 30, 2009			Nine months ended September 30, 2009
Investment Income
Interest	$	23,424		$	93,245

Expenses
Management fee		471,329			1,870,800
Brokerage commissions		28,849			215,355
Offering costs		39,051			115,880

Total expenses		539,229			2,202,035

Net investment income (loss)		(515,805	)		(2,108,790	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(7,204,860	)		34,127,108
Swap agreements		(869,437	)		38,346,708

Net realized gain (loss)		(8,074,297	)		72,473,816

Change in net unrealized appreciation/depreciation on
Futures contracts		8,493,570			(8,119,260	)
Swap agreements		2,158,920			6,914,359

Change in net unrealized appreciation/depreciation		10,652,490			(1,204,901	)

Net realized and unrealized gain (loss)		2,578,193			71,268,915

Net income (loss)	$	2,062,388		$	69,160,125

Net income (loss) per weighted-average share	$	0.11		$	2.40

Weighted-average shares outstanding		18,583,166			28,850,380

See accompanying notes to financial statements.

-14-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Shareholders’ equity, at December 31, 2008	$	99,772,943

Addition of 104,400,000 shares		985,639,092
Redemption of 81,900,000 shares		(822,732,220	)

Net addition (redemption) of 22,500,000 shares		162,906,872


Net investment income (loss)		(2,108,790	)
Net realized gain (loss)		72,473,816
Change in net unrealized appreciation/depreciation		(1,204,901	)

Net income (loss)		69,160,125


Shareholders’ equity, at September 30, 2009	$	331,839,940

See accompanying notes to financial statements.

-15-

PROSHARES ULTRA DJ-UBS CRUDE OIL

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Cash flow from operating activities
Net income (loss)	$	69,160,125
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Increase in segregated cash balances for swap agreements		(93,010,000	)
Decrease in segregated cash balances with brokers for futures contracts		12,918,488
Net purchase of short-term U.S. government agency obligations		(79,999,294	)
Decrease in receivable on futures contracts		8,618,331
Change in unrealized appreciation/depreciation on swap agreements		(6,914,359	)
Decrease in receivable from Sponsor		16,192
Increase in payable to Sponsor		364,190
Amortization of offering cost		115,880
Decrease in accounts payable		(97,742	)

Net cash provided by (used in) operating activities		(88,828,189	)

Cash flow from financing activities
Proceeds from addition of shares		977,618,926
Payment on shares redeemed		(830,121,193	)

Net cash provided by (used in) financing activities		147,497,733

Net increase (decrease) in cash		58,669,544
Cash, at December 31, 2008		40,341,120

Cash, at September 30, 2009	$	99,010,664

See accompanying notes to financial statements.

-16-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2009 (unaudited)			December 31, 2008
Assets
Cash	$	27,211,656		$	7,925,214
Segregated cash balances for swap agreements		28,570,000			—
Segregated cash balances with brokers for futures contracts		4,726,350			5,449,275
Short-term U.S. government agency obligations (Note 3)		25,082,792			—
Receivable from capital shares sold		—			7,269,858
Unrealized appreciation on swap agreements		871,693			—
Receivable from Sponsor		—			53,143
Offering costs (Note 5)		46,685			278,414

Total assets		86,509,176			20,975,904

Liabilities and shareholders’ equity
Liabilities
Accounts payable		—			208,046
Payable for capital shares redeemed		—			1,999,561
Payable on open futures contracts		2,743,387			4,265,898
Payable to Sponsor		196,363			—

Total liabilities		2,939,750			6,473,505

Shareholders’ equity
Paid-in capital		93,578,035			15,231,359
Accumulated earnings (deficit)		(10,008,609	)		(728,960	)

Total shareholders’ equity		83,569,426			14,502,399

Total liabilities and shareholders’ equity	$	86,509,176		$	20,975,904

Shares outstanding		5,050,014			500,014

Net asset value per share	$	16.55		$	29.00

Market value per share (Note 2)	$	16.67		$	31.66

See accompanying notes to financial statements.

-17-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)


	Principal Amount		Value
Short-term U.S. government agency obligations (30% of shareholders’ equity)
Federal Home Loan Bank, Discount Notes:
0.03% due 10/02/09	$	1,200,000	$	1,199,999
0.06% due 10/06/09		5,569,000		5,568,953
0.02% due 10/07/09		5,100,000		5,099,983
0.05% due 10/09/09		10,000,000		9,999,889
0.03% due 10/13/09		3,214,000		3,213,968

Total short-term U.S. government agency obligations			$	25,082,792

Futures Contracts Sold


	Number of Contracts	Notional Amount at Value		Unrealized Appreciation (Depreciation)
Crude Oil – NYMEX, expires November 2009	778	$	54,934,580	$	(909,530	)

Swap Agreements^


	Termination Date	Notional Amount at Value*			Unrealized Appreciation (Depreciation)
Swap agreement with Goldman Sachs International based on Dow Jones-UBS Crude Oil Sub-Index	10/06/09	$	(39,192,852	)	$	127,845
Swap agreement with UBS AG based on Dow Jones-UBS Crude Oil Sub-Index	10/06/09		(73,009,295	)		743,848

					$	871,693

^	The positions and counterparties herein are as of September 30, 2009. 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.

-18-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)


	Three months ended September 30, 2009			Nine months ended September 30, 2009
Investment Income
Interest	$	11,290		$	20,679

Expenses
Management fee		186,922			249,506
Brokerage commissions		18,359			71,428
Offering costs		78,092			231,729

Total expenses		283,373			552,663

Net investment income (loss)		(272,083	)		(531,984	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		8,197,190			(2,040,631	)
Swap agreements		5,850,541			(10,219,787	)

Net realized gain (loss)		14,047,731			(12,260,418	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(2,004,540	)		2,641,060
Swap agreements		2,730,237			871,693

Change in net unrealized appreciation/depreciation		725,697			3,512,753

Net realized and unrealized gain (loss)		14,773,428			(8,747,665	)

Net income (loss)	$	14,501,345		$	(9,279,649	)

Net income (loss) per weighted-average share	$	2.33		$	(2.70	)

Weighted-average shares outstanding		6,225,014			3,437,010

See accompanying notes to financial statements.

-19-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Shareholders’ equity, at December 31, 2008	$	14,502,399

Addition of 15,550,000 shares		380,310,343
Redemption of 11,000,000 shares		(301,963,667	)

Net addition (redemption) of 4,550,000 shares		78,346,676


Net investment income (loss)		(531,984	)
Net realized gain (loss)		(12,260,418	)
Change in net unrealized appreciation/depreciation		3,512,753

Net income (loss)		(9,279,649	)


Shareholders’ equity, at September 30, 2009	$	83,569,426

See accompanying notes to financial statements.

-20-

PROSHARES ULTRASHORT DJ-UBS CRUDE OIL

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Cash flow from operating activities
Net income (loss)	$	(9,279,649	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Increase in segregated cash balances for swap agreements		(28,570,000	)
Decrease in segregated cash balances with brokers for futures contracts		722,925
Net purchase of short-term U.S. government agency obligations		(25,082,792	)
Change in unrealized appreciation/depreciation on swap agreements		(871,693	)
Decrease in receivable from Sponsor		53,143
Decrease in payable on futures contracts		(1,522,511	)
Increase in payable to Sponsor		196,363
Amortization of offering cost		231,729
Decrease in accounts payable		(208,046	)

Net cash provided by (used in) operating activities		(64,330,531	)

Cash flow from financing activities
Proceeds from addition of shares		387,580,201
Payment on shares redeemed		(303,963,228	)

Net cash provided by (used in) financing activities		83,616,973

Net increase (decrease) in cash		19,286,442
Cash, at December 31, 2008		7,925,214

Cash, at September 30, 2009	$	27,211,656

See accompanying notes to financial statements.

-21-

PROSHARES ULTRA GOLD

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2009 (unaudited)		December 31, 2008
Assets
Cash	$	49,564,523	$	23,435,796
Segregated cash balances for forward agreements		28,140,000		—
Segregated cash balances with brokers for futures contracts		220,969		102,966
Short-term U.S. government agency obligations (Note 3)		58,584,646		—
Receivable from capital shares sold		—		4,661,921
Receivable on open futures contracts		80,747		2,885
Unrealized appreciation on forward agreements		1,043,873		—
Receivable from Sponsor		—		43,098
Offering costs (Note 5)		52,627		284,355

Total assets		137,687,385		28,531,021

Liabilities and shareholders’ equity
Liabilities
Accounts payable		—		208,045
Unrealized depreciation on forward agreements		—		586,254
Payable to Sponsor		277,407		—

Total liabilities		277,407		794,299

Shareholders’ equity
Paid-in capital		121,943,244		26,025,918
Accumulated earnings (deficit)		15,466,734		1,710,804

Total shareholders’ equity		137,409,978		27,736,722

Total liabilities and shareholders’ equity	$	137,687,385	$	28,531,021

Shares outstanding		3,650,014		900,014

Net asset value per share	$	37.65	$	30.82

Market value per share (Note 2)	$	38.53	$	31.60

See accompanying notes to financial statements.

-22-

PROSHARES ULTRA GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)


	Principal Amount		Value
Short-term U.S. government agency obligations (43% of shareholders’ equity)
Federal Home Loan Bank, Discount Notes:
0.04% due 10/01/09	$	3,000,000	$	3,000,000
0.03% due 10/02/09		9,064,000		9,063,992
0.11% due 10/05/09		4,000,000		3,999,951
0.06% due 10/06/09		8,680,000		8,679,928
0.02% due 10/07/09		14,141,000		14,140,953
0.05% due 10/09/09		10,100,000		10,099,888
0.03% due 10/13/09		3,600,000		3,599,964
0.01% due 10/19/09		6,000,000		5,999,970

Total short-term U.S. government agency obligations			$	58,584,646

Futures Contracts Purchased


	Number of Contracts	Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures – COMEX, expires December 2009	68	$	6,778,240	$	469,880

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	10/05/09	$	49,120	$	48,913,205	$	190,947
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold	10/05/09		220,100		219,173,379		852,926

						$	1,043,873

^	The positions and counterparties herein are as of September 30, 2009. 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.

-23-

PROSHARES ULTRA GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)


	Three months ended September 30, 2009			Nine months ended September 30, 2009
Investment Income
Interest	$	17,978		$	43,484

Expenses
Management fee		264,269			650,356
Brokerage commissions		823			3,344
Offering costs		78,090			231,728

Total expenses		343,182			885,428

Net investment income (loss)		(325,204	)		(841,944	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		164,607			518,473
Forward agreements		13,352,510			12,019,164

Net realized gain (loss)		13,517,117			12,537,637

Change in net unrealized appreciation/depreciation on
Futures contracts		392,480			430,110
Forward agreements		1,386,595			1,630,127

Change in net unrealized appreciation/depreciation		1,779,075			2,060,237

Net realized and unrealized gain (loss)		15,296,192			14,597,874

Net income (loss)	$	14,970,988		$	13,755,930

Net income (loss) per weighted-average share	$	3.68		$	3.78

Weighted-average shares outstanding		4,067,405			3,636,461

See accompanying notes to financial statements.

-24-

PROSHARES ULTRA GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Shareholders’ equity, at December 31, 2008	$	27,736,722

Addition of 4,350,000 shares		150,197,019
Redemption of 1,600,000 shares		(54,279,693	)

Net addition (redemption) of 2,750,000 shares		95,917,326


Net investment income (loss)		(841,944	)
Net realized gain (loss)		12,537,637
Change in net unrealized appreciation/depreciation		2,060,237

Net income (loss)		13,755,930


Shareholders’ equity, at September 30, 2009	$	137,409,978

See accompanying notes to financial statements.

-25-

PROSHARES ULTRA GOLD

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Cash flow from operating activities
Net income (loss)	$	13,755,930
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Increase in segregated cash balances for forward agreements		(28,140,000	)
Increase in segregated cash balances with brokers for futures contracts		(118,003	)
Net purchase of short-term U.S. government agency obligations		(58,584,646	)
Increase in receivable on futures contracts		(77,862	)
Change in unrealized appreciation/depreciation on forward agreements		(1,630,127	)
Decrease in receivable from Sponsor		43,098
Increase in payable to Sponsor		277,407
Amortization of offering cost		231,728
Decrease in accounts payable		(208,045	)

Net cash provided by (used in) operating activities		(74,450,520	)

Cash flow from financing activities
Proceeds from addition of shares		154,858,940
Payment on shares redeemed		(54,279,693	)

Net cash provided by (used in) financing activities		100,579,247

Net increase (decrease) in cash		26,128,727
Cash, at December 31, 2008		23,435,796

Cash, at September 30, 2009	$	49,564,523

See accompanying notes to financial statements.

-26-

PROSHARES ULTRASHORT GOLD

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2009 (unaudited)			December 31, 2008
Assets
Cash	$	22,562,262		$	3,104,221
Segregated cash balances for forward agreements		7,550,000			540,000
Segregated cash balances with brokers for futures contracts		201,233			27,749
Short-term U.S. government agency obligations (Note 3)		8,894,946			—
Unrealized appreciation on forward agreements		—			86,657
Receivable from Sponsor		—			51,088
Offering costs (Note 5)		52,627			284,355

Total assets		39,261,068			4,094,070

Liabilities and shareholders’ equity
Liabilities
Accounts payable		—			208,046
Payable on open futures contracts		77,521			10,931
Unrealized depreciation on forward agreements		308,164			—
Payable to Sponsor		9,123			—

Total liabilities		394,808			218,977

Shareholders’ equity
Paid-in capital		53,680,449			4,537,070
Accumulated earnings (deficit)		(14,814,189	)		(661,977	)

Total shareholders’ equity		38,866,260			3,875,093

Total liabilities and shareholders’ equity	$	39,261,068		$	4,094,070

Shares outstanding		3,000,014			200,014

Net asset value per share	$	12.96		$	19.37

Market value per share (Note 2)	$	12.66		$	19.10

See accompanying notes to financial statements.

-27-

PROSHARES ULTRASHORT GOLD

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)


	Principal Amount		Value
Short-term U.S. government agency obligations (23% of shareholders’ equity)
Federal Home Loan Bank, Discount Notes:
0.04% due 10/01/09	$	1,000,000	$	1,000,000
0.03% due 10/02/09		2,000,000		1,999,999
0.11% due 10/05/09		1,700,000		1,699,979
0.03% due 10/13/09		2,195,000		2,194,978
0.01% due 10/19/09		2,000,000		1,999,990

Total short-term U.S. government agency obligations			$	8,894,946

Futures Contracts Sold


	Number of Contracts	Notional Amount at Value		Unrealized Appreciation (Depreciation)
Gold Futures – COMEX, expires December 2009	35	$	3,488,800	$	(21,840	)

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	10/05/09	$	(14,998	)	$	(14,934,858	)	$	(60,575	)
Forward agreements with UBS AG based on 0.995 Fine Troy Ounce Gold	10/05/09		(59,600	)		(59,349,084	)		(247,589	)

								$	(308,164	)

^	The positions and counterparties herein are as of September 30, 2009. 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.

-28-

PROSHARES ULTRASHORT GOLD

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)


	Three months ended September 30, 2009			Nine months ended September 30, 2009
Investment Income
Interest	$	4,411		$	13,450

Expenses
Management fee		23,184			60,210
Brokerage commissions		632			2,897
Offering costs		78,091			231,728

Total expenses		101,907			294,835

Net investment income (loss)		(97,496	)		(281,385	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(153,607	)		(375,691	)
Forward agreements		(5,310,023	)		(13,101,165	)

Net realized gain (loss)		(5,463,630	)		(13,476,856	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(7,900	)		850
Forward agreements		(409,537	)		(394,821	)

Change in net unrealized appreciation/depreciation		(417,437	)		(393,971	)

Net realized and unrealized gain (loss)		(5,881,067	)		(13,870,827	)

Net income (loss)	$	(5,978,563	)	$	(14,152,212	)

Net income (loss) per weighted-average share	$	(2.01	)	$	(5.31	)

Weighted-average shares outstanding		2,969,579			2,663,750

See accompanying notes to financial statements.

-29-

PROSHARES ULTRASHORT GOLD

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Shareholders’ equity, at December 31, 2008	$	3,875,093

Addition of 5,700,000 shares		94,412,574
Redemption of 2,900,000 shares		(45,269,195	)

Net addition (redemption) of 2,800,000 shares		49,143,379


Net investment income (loss)		(281,385	)
Net realized gain (loss)		(13,476,856	)
Change in net unrealized appreciation/depreciation		(393,971	)

Net income (loss)		(14,152,212	)


Shareholders’ equity, at September 30, 2009	$	38,866,260

See accompanying notes to financial statements.

-30-

PROSHARES ULTRASHORT GOLD

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Cash flow from operating activities
Net income (loss)	$	(14,152,212	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Increase in segregated cash balances for forward agreements		(7,010,000	)
Increase in segregated cash balances with brokers for futures contracts		(173,484	)
Net purchase of short-term U.S. government agency obligations		(8,894,946	)
Change in unrealized appreciation/depreciation on forward agreements		394,821
Decrease in receivable from Sponsor		51,088
Increase in payable on futures contracts		66,590
Increase in payable to Sponsor		9,123
Amortization of offering cost		231,728
Decrease in accounts payable		(208,046	)

Net cash provided by (used in) operating activities		(29,685,338	)

Cash flow from financing activities
Proceeds from addition of shares		94,412,574
Payment on shares redeemed		(45,269,195	)

Net cash provided by (used in) financing activities		49,143,379

Net increase (decrease) in cash		19,458,041
Cash, at December 31, 2008		3,104,221

Cash, at September 30, 2009	$	22,562,262

See accompanying notes to financial statements.

-31-

PROSHARES ULTRA SILVER

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2009 (unaudited)		December 31, 2008
Assets
Cash	$	28,959,859	$	8,641,327
Segregated cash balances for forward agreements		33,900,000		—
Segregated cash balances with brokers for futures contracts		484,381		73,705
Short-term U.S. government agency obligations (Note 3)		25,957,854		—
Receivable from capital shares sold		—		1,469,530
Receivable on open futures contracts		186,443		24,488
Unrealized appreciation on forward agreements		5,790,951		—
Receivable from Sponsor		—		30,776
Offering costs (Note 5)		13,163		71,126

Total assets		95,292,651		10,310,952

Liabilities and shareholders’ equity
Liabilities
Accounts payable		—		42,976
Unrealized depreciation on forward agreements		—		256,827
Payable to Sponsor		173,433		—

Total liabilities		173,433		299,803

Shareholders’ equity
Paid-in capital		58,430,230		9,881,413
Accumulated earnings (deficit)		36,688,988		129,736

Total shareholders’ equity		95,119,218		10,011,149

Total liabilities and shareholders’ equity	$	95,292,651	$	10,310,952

Shares outstanding		1,700,014		350,014

Net asset value per share	$	55.95	$	28.60

Market value per share (Note 2)	$	57.25	$	31.50

See accompanying notes to financial statements.

-32-

PROSHARES ULTRA SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)


	Principal Amount		Value
Short-term U.S. government agency obligations (27% of shareholders’ equity)
Federal Home Loan Bank, Discount Notes:
0.03% due 10/02/09	$	9,160,000	$	9,159,992
0.11% due 10/05/09		5,109,000		5,108,938
0.06% due 10/06/09		5,100,000		5,099,957
0.01% due 10/19/09		6,589,000		6,588,967

Total short-term U.S. government agency obligations			$	25,957,854

Futures Contracts Purchased


	Number of Contracts	Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures – COMEX, expires December 2009	108	$	8,896,500	$	608,835

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	10/05/09	$	2,055,800	$	33,820,583	$	1,105,221
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver	10/05/09		8,965,000		147,485,905		4,685,730

						$	5,790,951

^	The positions and counterparties herein are as of September 30, 2009. 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.

-33-

PROSHARES ULTRA SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)


	Three months ended September 30, 2009			Nine months ended September 30, 2009
Investment Income
Interest	$	9,926		$	20,640

Expenses
Management fee		205,584			405,532
Brokerage commissions		1,330			3,564
Offering costs		19,533			57,963

Total expenses		226,447			467,059

Net investment income (loss)		(216,521	)		(446,419	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		538,547			1,113,941
Forward agreements		21,549,376			29,227,072

Net realized gain (loss)		22,087,923			30,341,013

Change in net unrealized appreciation/depreciation on
Futures contracts		1,005,165			616,880
Forward agreements		7,281,486			6,047,778

Change in net unrealized appreciation/depreciation		8,286,651			6,664,658

Net realized and unrealized gain (loss)		30,374,574			37,005,671

Net income (loss)	$	30,158,053		$	36,559,252

Net income (loss) per weighted-average share	$	14.65		$	24.39

Weighted-average shares outstanding		2,059,253			1,498,732

See accompanying notes to financial statements.

-34-

PROSHARES ULTRA SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Shareholders’ equity, at December 31, 2008	$	10,011,149

Addition of 2,550,000 shares		104,403,728
Redemption of 1,200,000 shares		(55,854,911	)

Net addition (redemption) of 1,350,000 shares		48,548,817


Net investment income (loss)		(446,419	)
Net realized gain (loss)		30,341,013
Change in net unrealized appreciation/depreciation		6,664,658

Net income (loss)		36,559,252


Shareholders’ equity, at September 30, 2009	$	95,119,218

See accompanying notes to financial statements.

-35-

PROSHARES ULTRA SILVER

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Cash flow from operating activities
Net income (loss)	$	36,559,252
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Increase in segregated cash balances for forward agreements		(33,900,000	)
Increase in segregated cash balances with brokers for futures contracts		(410,676	)
Net purchase of short-term U.S. government agency obligations		(25,957,854	)
Increase in receivable on futures contracts		(161,955	)
Change in unrealized appreciation/depreciation on forward agreements		(6,047,778	)
Decrease in receivable from Sponsor		30,776
Increase in payable to Sponsor		173,433
Amortization of offering cost		57,963
Decrease in accounts payable		(42,976	)

Net cash provided by (used in) operating activities		(29,699,815	)

Cash flow from financing activities
Proceeds from addition of shares		105,873,258
Payment on shares redeemed		(55,854,911	)

Net cash provided by (used in) financing activities		50,018,347

Net increase (decrease) in cash		20,318,532
Cash, at December 31, 2008		8,641,327

Cash, at September 30, 2009	$	28,959,859

See accompanying notes to financial statements.

-36-

PROSHARES ULTRASHORT SILVER

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2009 (unaudited)			December 31, 2008
Assets
Cash	$	28,304,449		$	992,121
Segregated cash balances for forward agreements		15,320,000			820,000
Segregated cash balances with brokers for futures contracts		141,105			22,280
Short-term U.S. government agency obligations (Note 3)		14,202,886			—
Receivable from capital shares sold		2,762,851			—
Unrealized appreciation on forward agreements		—			47,484
Receivable from Sponsor		—			38,902
Offering costs (Note 5)		26,317			142,197

Total assets		60,757,608			2,062,984

Liabilities and shareholders’ equity
Liabilities
Accounts payable		—			97,742
Payable on open futures contracts		—			5,171
Unrealized depreciation on forward agreements		3,758,426			—
Payable to Sponsor		97,861			—

Total liabilities		3,856,287			102,913

Shareholders’ equity
Paid-in capital		86,471,055			2,500,900
Accumulated earnings (deficit)		(29,569,734	)		(540,829	)

Total shareholders’ equity		56,901,321			1,960,071

Total liabilities and shareholders’ equity	$	60,757,608		$	2,062,984

Shares outstanding		10,300,014			100,014

Net asset value per share	$	5.52		$	19.60

Market value per share (Note 2)	$	5.40		$	17.51

See accompanying notes to financial statements.

-37-

PROSHARES ULTRASHORT SILVER

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)


	Principal Amount		Value
Short-term U.S. government agency obligations (25% of shareholders’ equity)
Federal Home Loan Bank, Discount Notes:
0.04% due 10/01/09	$	2,000,000	$	2,000,000
0.03% due 10/02/09		1,188,000		1,187,999
0.11% due 10/05/09		5,834,000		5,833,929
0.05% due 10/09/09		1,000,000		999,989
0.03% due 10/13/09		2,000,000		1,999,980
0.01% due 10/19/09		2,181,000		2,180,989

Total short-term U.S. government agency obligations			$	14,202,886

Futures Contracts Sold


	Number of Contracts	Notional Amount at Value		Unrealized Appreciation (Depreciation)
Silver Futures – COMEX, expires December 2009	25	$	2,059,375	$	(95,805	)

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	10/05/09	$	(1,572,500	)	$	(25,869,669	)	$	(851,301	)
Forward agreements with UBS AG based on 0.999 Fine Troy Ounce Silver	10/05/09		(5,218,000	)		(85,842,883	)		(2,907,125	)

								$	(3,758,426	)

^	The positions and counterparties herein are as of September 30, 2009. 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.

-38-

PROSHARES ULTRASHORT SILVER

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)


	Three months ended September 30, 2009			Nine months ended September 30, 2009
Investment Income
Interest	$	6,330		$	11,491

Expenses
Management fee		98,681			136,762
Brokerage commissions		1,470			3,489
Offering costs		39,051			115,880

Total expenses		139,202			256,131

Net investment income (loss)		(132,872	)		(244,640	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts		(112,815	)		(299,386	)
Forward agreements		(19,461,202	)		(24,583,814	)

Net realized gain (loss)		(19,574,017	)		(24,883,200	)

Change in net unrealized appreciation/depreciation on
Futures contracts		(309,250	)		(95,155	)
Forward agreements		(4,999,690	)		(3,805,910	)

Change in net unrealized appreciation/depreciation		(5,308,940	)		(3,901,065	)

Net realized and unrealized gain (loss)		(24,882,957	)		(28,784,265	)

Net income (loss)	$	(25,015,829	)	$	(29,028,905	)

Net income (loss) per weighted-average share	$	(3.30	)	$	(6.98	)

Weighted-average shares outstanding		7,580,992			4,156,241

See accompanying notes to financial statements.

-39-

PROSHARES ULTRASHORT SILVER

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Shareholders’ equity, at December 31, 2008	$	1,960,071

Addition of 18,250,000 shares		154,138,177
Redemption of 8,050,000 shares		(70,168,022	)

Net addition (redemption) of 10,200,000 shares		83,970,155


Net investment income (loss)		(244,640	)
Net realized gain (loss)		(24,883,200	)
Change in net unrealized appreciation/depreciation		(3,901,065	)

Net income (loss)		(29,028,905	)


Shareholders’ equity, at September 30, 2009	$	56,901,321

See accompanying notes to financial statements.

-40-

PROSHARES ULTRASHORT SILVER

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Cash flow from operating activities
Net income (loss)	$	(29,028,905	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Increase in segregated cash balances for forward agreements		(14,500,000	)
Increase in segregated cash balances with brokers for futures contracts		(118,825	)
Net purchase of short-term U.S. government agency obligations		(14,202,886	)
Change in unrealized appreciation/depreciation on forward agreements		3,805,910
Decrease in receivable from Sponsor		38,902
Decrease in payable on futures contracts		(5,171	)
Increase in payable to Sponsor		97,861
Amortization of offering cost		115,880
Decrease in accounts payable		(97,742	)

Net cash provided by (used in) operating activities		(53,894,976	)

Cash flow from financing activities
Proceeds from addition of shares		151,375,326
Payment on shares redeemed		(70,168,022	)

Net cash provided by (used in) financing activities		81,207,304

Net increase (decrease) in cash		27,312,328
Cash, at December 31, 2008		992,121

Cash, at September 30, 2009	$	28,304,449

See accompanying notes to financial statements.

-41-

PROSHARES ULTRA EURO

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2009 (unaudited)		December 31, 2008
Assets
Cash	$	6,465,883	$	4,467,380
Segregated cash balances for foreign currency forward contracts		830,000		—
Short-term U.S. government agency obligations (Note 3)		701,994		—
Unrealized appreciation on foreign currency forward contracts		34,255		—
Receivable from Sponsor		46,416		32,913
Offering costs (Note 5)		11,677		69,640

Total assets		8,090,225		4,569,933

Liabilities and shareholders’ equity
Liabilities
Accounts payable		—		42,977
Unrealized depreciation on foreign currency forward contracts		193,322		140,545

Total liabilities		193,322		183,522

Shareholders’ equity
Paid-in capital		6,602,808		3,958,670
Accumulated earnings (deficit)		1,294,095		427,741

Total shareholders’ equity		7,896,903		4,386,411

Total liabilities and shareholders’ equity	$	8,090,225	$	4,569,933

Shares outstanding		250,014		150,014

Net asset value per share	$	31.59	$	29.24

Market value per share (Note 2)	$	31.53	$	29.49

See accompanying notes to financial statements.

-42-

PROSHARES ULTRA EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)


	Principal Amount		Value
Short-term U.S. government agency obligations (9% of shareholders’ equity)
Federal Home Loan Bank, Discount Notes:
0.04% due 10/01/09	$	200,000	$	200,000
0.11% due 10/05/09		502,000		501,994

Total short-term U.S. government agency obligations			$	701,994

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency		Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International	10/02/09	4,825,525		$	7,060,229		$	(69,465	)
Euro with UBS AG	10/02/09	6,096,400			8,919,647			(90,162	)
Euro with Goldman Sachs International	10/09/09	4,785,025			7,000,973			19,263
Euro with UBS AG	10/09/09	6,011,300			8,795,137			14,992

							$	(125,372	)

Contracts to Sell
Euro with Goldman Sachs International	10/02/09	(4,825,525	)	$	(7,060,229	)	$	(19,257	)
Euro with UBS AG	10/02/09	(6,096,400	)		(8,919,647	)		(14,438	)

							$	(33,695	)

^	The positions and counterparties herein are as of September 30, 2009. The Funds continually evaluate different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at anytime.

See accompanying notes to financial statements.

-43-

PROSHARES ULTRA EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)


	Three months ended September 30, 2009			Nine months ended September 30, 2009
Investment Income
Interest	$	904		$	2,413

Expenses
Offering costs		19,533			57,963
Limitation by Sponsor		(1,452	)		(13,505	)

Total expenses		18,081			44,458

Net investment income (loss)		(17,177	)		(42,045	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		765,701			926,921

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(143,081	)		(18,522	)

Net realized and unrealized gain (loss)		622,620			908,399

Net income (loss)	$	605,443		$	866,354

Net income (loss) per weighted-average share	$	2.42		$	3.88

Weighted-average shares outstanding		250,014			223,274

See accompanying notes to financial statements.

-44-

PROSHARES ULTRA EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Shareholders’ equity, at December 31, 2008	$	4,386,411

Addition of 150,000 shares		3,982,252
Redemption of 50,000 shares		(1,338,114	)

Net addition (redemption) of 100,000 shares		2,644,138


Net investment income (loss)		(42,045	)
Net realized gain (loss)		926,921
Change in net unrealized appreciation/depreciation		(18,522	)

Net income (loss)		866,354


Shareholders’ equity, at September 30, 2009	$	7,896,903

See accompanying notes to financial statements.

-45-

PROSHARES ULTRA EURO

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Cash flow from operating activities
Net income (loss)	$	866,354
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Increase in segregated cash balances for foreign currency forward contracts		(830,000	)
Net purchase of short-term U.S. government agency obligations		(701,994	)
Change in unrealized appreciation/depreciation on foreign currency forward contracts		18,522
Increase in receivable from Sponsor		(13,503	)
Amortization of offering cost		57,963
Decrease in accounts payable		(42,977	)

Net cash provided by (used in) operating activities		(645,635	)

Cash flow from financing activities
Proceeds from addition of shares		3,982,252
Payment on shares redeemed		(1,338,114	)

Net cash provided by (used in) financing activities		2,644,138

Net increase (decrease) in cash		1,998,503
Cash, at December 31, 2008		4,467,380

Cash, at September 30, 2009	$	6,465,883

See accompanying notes to financial statements.

-46-

PROSHARES ULTRASHORT EURO

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2009 (unaudited)			December 31, 2008
Assets
Cash	$	17,818,368		$	7,121,112
Segregated cash balances for foreign currency forward contracts		4,870,000			—
Short-term U.S. government agency obligations (Note 3)		15,429,918			—
Unrealized appreciation on foreign currency forward contracts		925,523			151,153
Receivable from Sponsor		—			32,234
Offering costs (Note 5)		11,678			69,641

Total assets		39,055,487			7,374,140

Liabilities and shareholders’ equity
Liabilities
Accounts payable		—			42,977
Unrealized depreciation on foreign currency forward contracts		174,147			—
Payable to Sponsor		73,914			—

Total liabilities		248,061			42,977

Shareholders’ equity
Paid-in capital		50,315,167			7,676,890
Accumulated earnings (deficit)		(11,507,741	)		(345,727	)

Total shareholders’ equity		38,807,426			7,331,163

Total liabilities and shareholders’ equity	$	39,055,487		$	7,374,140

Shares outstanding		2,150,014			350,014

Net asset value per share	$	18.05		$	20.95

Market value per share (Note 2)	$	18.06		$	21.26

See accompanying notes to financial statements.

-47-

PROSHARES ULTRASHORT EURO

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)


	Principal Amount		Value
Short-term U.S. government agency obligations (40% of shareholders’ equity)
Federal Home Loan Bank, Discount Notes:
0.04% due 10/01/09	$	2,000,000	$	2,000,000
0.03% due 10/02/09		1,000,000		999,999
0.11% due 10/05/09		2,283,000		2,282,972
0.02% due 10/07/09		4,447,000		4,446,985
0.03% due 10/13/09		2,000,000		1,999,980
0.01% due 10/19/09		3,700,000		3,699,982

Total short-term U.S. government agency obligations			$	15,429,918

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency		Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Euro with Goldman Sachs International	10/02/09	25,698,425		$	37,599,381		$	102,809
Euro with UBS AG	10/02/09	28,147,700			41,182,917			69,397
Euro with UBS AG	10/09/09	673,100			984,813			(264	)

							$	171,942

Contracts to Sell
Euro with Goldman Sachs International	10/02/09	(25,698,425	)	$	(37,599,381	)	$	357,761
Euro with UBS AG	10/02/09	(28,147,700	)		(41,182,917	)		395,556
Euro with Goldman Sachs International	10/09/09	(25,698,425	)		(37,599,381	)		(103,452	)
Euro with UBS AG	10/09/09	(27,997,700	)		(40,963,452	)		(70,431	)

							$	579,434

^	The positions and counterparties herein are as of September 30, 2009. 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.

-48-

PROSHARES ULTRASHORT EURO

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)


	Three months ended September 30, 2009			Nine months ended September 30, 2009
Investment Income
Interest	$	6,324		$	19,433

Expenses
Management fee		74,418			193,697
Offering costs		19,533			57,963

Total expenses		93,951			251,660

Net investment income (loss)		(87,627	)		(232,227	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(4,327,686	)		(11,530,010	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		689,838			600,223

Net realized and unrealized gain (loss)		(3,637,848	)		(10,929,787	)

Net income (loss)	$	(3,725,475	)	$	(11,162,014	)

Net income (loss) per weighted-average share	$	(1.80	)	$	(6.59	)

Weighted-average shares outstanding		2,065,775			1,694,886

See accompanying notes to financial statements.

-49-

PROSHARES ULTRASHORT EURO

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Shareholders’ equity, at December 31, 2008	$	7,331,163

Addition of 2,800,000 shares		63,777,785
Redemption of 1,000,000 shares		(21,139,508	)

Net addition (redemption) of 1,800,000 shares		42,638,277


Net investment income (loss)		(232,227	)
Net realized gain (loss)		(11,530,010	)
Change in net unrealized appreciation/depreciation		600,223

Net income (loss)		(11,162,014	)


Shareholders’ equity, at September 30, 2009	$	38,807,426

See accompanying notes to financial statements.

-50-

PROSHARES ULTRASHORT EURO

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Cash flow from operating activities
Net income (loss)	$	(11,162,014	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Increase in segregated cash balances for foreign currency forward contracts		(4,870,000	)
Net purchase of short-term U.S. government agency obligations		(15,429,918	)
Change in unrealized appreciation/depreciation on foreign currency forward contracts		(600,223	)
Decrease in receivable from Sponsor		32,234
Increase in payable to Sponsor		73,914
Amortization of offering cost		57,963
Decrease in accounts payable		(42,977	)

Net cash provided by (used in) operating activities		(31,941,021	)

Cash flow from financing activities
Proceeds from addition of shares		63,777,785
Payment on shares redeemed		(21,139,508	)

Net cash provided by (used in) financing activities		42,638,277

Net increase (decrease) in cash		10,697,256
Cash, at December 31, 2008		7,121,112

Cash, at September 30, 2009	$	17,818,368

See accompanying notes to financial statements.

-51-

PROSHARES ULTRA YEN

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2009 (unaudited)		December 31, 2008
Assets
Cash	$	2,081,602	$	2,986,826
Segregated cash balances for foreign currency forward contracts		590,000		—
Short-term U.S. government agency obligations (Note 3)		1,348,991		—
Unrealized appreciation on foreign currency forward contracts		159,811		—
Receivable from Sponsor		62,787		33,137
Offering costs (Note 5)		11,677		69,639

Total assets		4,254,868		3,089,602

Liabilities and shareholders’ equity
Liabilities
Accounts payable		—		42,975
Unrealized depreciation on foreign currency forward contracts		11,708		201,574

Total liabilities		11,708		244,549

Shareholders’ equity
Paid-in capital		3,969,617		2,500,350
Accumulated earnings (deficit)		273,543		344,703

Total shareholders’ equity		4,243,160		2,845,053

Total liabilities and shareholders’ equity	$	4,254,868	$	3,089,602

Shares outstanding		150,014		100,014

Net asset value per share	$	28.29	$	28.45

Market value per share (Note 2)	$	28.23	$	28.66

See accompanying notes to financial statements.

-52-

PROSHARES ULTRA YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)


	Principal Amount		Value
Short-term U.S. government agency obligations (32% of shareholders’ equity)
Federal Home Loan Bank, Discount Notes:
0.04% due 10/01/09	$	100,000	$	100,000
0.02% due 10/07/09		467,000		466,999
0.03% due 10/13/09		782,000		781,992

Total short-term U.S. government agency obligations			$	1,348,991

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency		Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International	10/02/09	435,500,000		$	4,850,730		$	85,764
Yen with UBS AG	10/02/09	327,690,000			3,649,909			62,877
Yen with Goldman Sachs International	10/09/09	435,500,000			4,850,730			(5,534	)
Yen with UBS AG	10/09/09	326,620,000			3,637,991			(6,174	)

							$	136,933

Contracts to Sell
Yen with Goldman Sachs International	10/02/09	(435,500,000	)	$	(4,850,730	)	$	5,426
Yen with UBS AG	10/02/09	(327,690,000	)		(3,649,909	)		5,744

							$	11,170

^	The positions and counterparties herein are as of September 30, 2009. 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.

-53-

PROSHARES ULTRA YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)


	Three months ended September 30, 2009			Nine months ended September 30, 2009
Investment Income
Interest	$	509		$	1,456

Expenses
Offering costs		19,533			57,962
Limitation by Sponsor		(8,704	)		(29,650	)

Total expenses		10,829			28,312

Net investment income (loss)		(10,320	)		(26,856	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		314,239			(393,981	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		248,893			349,677

Net realized and unrealized gain (loss)		563,132			(44,304	)

Net income (loss)	$	552,812		$	(71,160	)

Net income (loss) per weighted-average share	$	3.18		$	(0.46	)

Weighted-average shares outstanding		173,927			155,509

See accompanying notes to financial statements.

-54-

PROSHARES ULTRA YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Shareholders’ equity, at December 31, 2008	$	2,845,053

Addition of 100,000 shares		2,725,367
Redemption of 50,000 shares		(1,256,100	)

Net addition (redemption) of 50,000 shares		1,469,267


Net investment income (loss)		(26,856	)
Net realized gain (loss)		(393,981	)
Change in net unrealized appreciation/depreciation		349,677

Net income (loss)		(71,160	)


Shareholders’ equity, at September 30, 2009	$	4,243,160

See accompanying notes to financial statements.

-55-

PROSHARES ULTRA YEN

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Cash flow from operating activities
Net income (loss)	$	(71,160	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Increase in segregated cash balances for foreign currency forward contracts		(590,000	)
Net purchase of short-term U.S. government agency obligations		(1,348,991	)
Change in unrealized appreciation/depreciation on foreign currency forward contracts		(349,677	)
Increase in receivable from Sponsor		(29,650	)
Amortization of offering cost		57,962
Decrease in accounts payable		(42,975	)

Net cash provided by (used in) operating activities		(2,374,491	)

Cash flow from financing activities
Proceeds from addition of shares		2,725,367
Payment on shares redeemed		(1,256,100	)

Net cash provided by (used in) financing activities		1,469,267

Net increase (decrease) in cash		(905,224	)
Cash, at December 31, 2008		2,986,826

Cash, at September 30, 2009	$	2,081,602

See accompanying notes to financial statements.

-56-

PROSHARES ULTRASHORT YEN

STATEMENTS OF FINANCIAL CONDITION


	September 30, 2009 (unaudited)			December 31, 2008
Assets
Cash	$	13,117,616		$	1,970,377
Segregated cash balances for foreign currency forward contracts		3,480,000			—
Short-term U.S. government agency obligations (Note 3)		6,475,961			—
Receivable from capital shares sold		1,019,511			—
Unrealized appreciation on foreign currency forward contracts		67,829			135,917
Receivable from Sponsor		—			33,660
Offering costs (Note 5)		11,677			69,641

Total assets		24,172,594			2,209,595

Liabilities and shareholders’ equity
Liabilities
Accounts payable		—			42,978
Unrealized depreciation on foreign currency forward contracts		912,531			—
Payable to Sponsor		55,725			—

Total liabilities		968,256			42,978

Shareholders’ equity
Paid-in capital		28,947,602			2,500,350
Accumulated earnings (deficit)		(5,743,264	)		(333,733	)

Total shareholders’ equity		23,204,338			2,166,617

Total liabilities and shareholders’ equity	$	24,172,594		$	2,209,595

Shares outstanding		1,150,014			100,014

Net asset value per share	$	20.18		$	21.66

Market value per share (Note 2)	$	20.25		$	21.85

See accompanying notes to financial statements.

-57-

PROSHARES ULTRASHORT YEN

SCHEDULE OF INVESTMENTS

SEPTEMBER 30, 2009

(unaudited)


	Principal Amount		Value
Short-term U.S. government agency obligations (28% of shareholders’ equity)
Federal Home Loan Bank, Discount Notes:
0.03% due 10/02/09	$	500,000	$	500,000
0.11% due 10/05/09		1,226,000		1,225,985
0.02% due 10/07/09		3,750,000		3,749,987
0.05% due 10/09/09		1,000,000		999,989

Total short-term U.S. government agency obligations			$	6,475,961

Foreign Currency Forward Contracts^


	Settlement Date	Local Currency		Notional Amount at Value (USD)			Unrealized Appreciation (Depreciation)
Contracts to Purchase
Yen with Goldman Sachs International	10/02/09	2,040,330,000		$	22,725,808		$	(25,686	)
Yen with UBS AG	10/02/09	2,419,730,000			26,951,679			(40,287	)
Yen with UBS AG	10/09/09	66,150,000			736,798			(446	)

							$	(66,419	)

Contracts to Sell
Yen with Goldman Sachs International	10/02/09	(2,040,330,000	)	$	(22,725,808	)	$	(403,968	)
Yen with UBS AG	10/02/09	(2,419,730,000	)		(26,951,679	)		(442,144	)
Yen with Goldman Sachs International	10/09/09	(2,010,510,000	)		(22,393,663	)		25,548
Yen with UBS AG	10/09/09	(2,219,230,000	)		(24,718,449	)		42,281

							$	(778,283	)

^	The positions and counterparties herein are as of September 30, 2009. 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.

-58-

PROSHARES ULTRASHORT YEN

STATEMENTS OF OPERATIONS

FOR THE THREE AND NINE MONTHS ENDED SEPTEMBER 30, 2009

(unaudited)


	Three months ended September 30, 2009			Nine months ended September 30, 2009
Investment Income
Interest	$	5,266		$	21,843

Expenses
Management fee		53,580			206,283
Offering costs		19,534			57,964

Total expenses		73,114			264,247

Net investment income (loss)		(67,848	)		(242,404	)

Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Foreign currency forward contracts		(2,786,090	)		(4,186,508	)

Change in net unrealized appreciation/depreciation on
Foreign currency forward contracts		(1,715,520	)		(980,619	)

Net realized and unrealized gain (loss)		(4,501,610	)		(5,167,127	)

Net income (loss)	$	(4,569,458	)	$	(5,409,531	)

Net income (loss) per weighted-average share	$	(3.32	)	$	(3.45	)

Weighted-average shares outstanding		1,375,014			1,568,512

See accompanying notes to financial statements.

-59-

PROSHARES ULTRASHORT YEN

STATEMENT OF CHANGES IN SHAREHOLDERS’ EQUITY

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Shareholders’ equity, at December 31, 2008	$	2,166,617

Addition of 2,900,000 shares		69,299,506
Redemption of 1,850,000 shares		(42,852,254	)

Net addition (redemption) of 1,050,000 shares		26,447,252


Net investment income (loss)		(242,404	)
Net realized gain (loss)		(4,186,508	)
Change in net unrealized appreciation/depreciation		(980,619	)

Net income (loss)		(5,409,531	)


Shareholders’ equity, at September 30, 2009	$	23,204,338

See accompanying notes to financial statements.

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PROSHARES ULTRASHORT YEN

STATEMENT OF CASH FLOWS

FOR THE NINE MONTHS ENDED

SEPTEMBER 30, 2009

(unaudited)


Cash flow from operating activities
Net income (loss)	$	(5,409,531	)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Increase in segregated cash balances for foreign currency forward contracts		(3,480,000	)
Net purchase of short-term U.S. government agency obligations		(6,475,961	)
Change in unrealized appreciation/depreciation on foreign currency forward contracts		980,619
Decrease in receivable from Sponsor		33,660
Increase in payable to Sponsor		55,725
Amortization of offering cost		57,964
Decrease in accounts payable		(42,978	)

Net cash provided by (used in) operating activities		(14,280,502	)

Cash flow from financing activities
Proceeds from addition of shares		68,279,995
Payment on shares redeemed		(42,852,254	)

Net cash provided by (used in) financing activities		25,427,741

Net increase (decrease) in cash		11,147,239
Cash, at December 31, 2008		1,970,377

Cash, at September 30, 2009	$	13,117,616

See accompanying notes to financial statements.

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PROSHARES TRUST II

NOTES TO FINANCIAL STATEMENTS

September 30, 2009

(unaudited)

NOTE 1 – ORGANIZATION

ProShares Trust II (the “Trust”) was organized as a Delaware statutory trust on October 9, 2007 and offers common units of beneficial interest (the “Shares”) in each of its twelve series (each, a “Fund”, and collectively, the “Funds”). The twelve separate series are: ProShares Ultra DJ-UBS Commodity (formerly ProShares Ultra DJ-AIG Commodity), ProShares UltraShort DJ-UBS Commodity (formerly ProShares UltraShort DJ-AIG Commodity), ProShares Ultra DJ-UBS Crude Oil (formerly ProShares Ultra DJ-AIG Crude Oil), ProShares UltraShort DJ-UBS Crude Oil (formerly ProShares UltraShort DJ-AIG 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.

Each “Ultra” Fund seeks daily investment results (before fees and expenses) that correspond to twice (200%) the daily performance of its corresponding benchmark. Each “UltraShort” Fund seeks daily investment results (before fees and expenses) that correspond to twice (200%) the inverse (opposite) of the daily performance of its corresponding benchmark. Each Fund generally invests in Financial Instruments (i.e., commodity-based or currency-based instruments whose value is derived from the value of an underlying asset, rate or index) as a substitute for investing directly in a commodity or currency in order to gain exposure to the commodity index, commodity or currency. Financial Instruments also are used to produce economically “leveraged” or “inverse” investment results and may include futures contracts and options on futures contracts, swap agreements, forward contracts and other commodity-based or currency-based options contracts.

The Funds do not seek to achieve their stated investment objective over a period of time greater than one day because mathematical compounding prevents the Funds from achieving such results. Accordingly, results over periods of time greater than one day should not be expected to be a simple multiple (+200 or -200%) of the period return of the corresponding benchmark and will likely differ significantly. Investors should monitor their ProShares holdings consistent with their strategies, as frequently as daily.

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 Fund at an aggregate purchase price of $350 in each of the Funds.

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 investment operations on November 24, 2008, and four of the Funds, ProShares Ultra Gold, ProShares UltraShort Gold, ProShares Ultra Silver and ProShares UltraShort Silver, commenced investment operations on December 1, 2008.

On May 6, 2009, UBS Securities LLC acquired the commodity business of AIG Financial Products Corp. Effective May 7, 2009, the Dow Jones-AIG Commodity Indexes were re-branded as the Dow Jones-UBS Commodity Indexes. The Dow Jones-UBS Commodity Indexes have an identical methodology to the Dow Jones-AIG Commodity Indexes and take the identical form and format of the Dow Jones-AIG Commodity Indexes. In connection therewith:

The following Indexes were renamed:


Former Index Name		New Index Name
Dow Jones-AIG Commodity Index		Dow Jones-UBS Commodity Index
Dow Jones-AIG Crude Oil Sub-Index		Dow Jones-UBS Crude Oil Sub-Index

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The following Funds were renamed:


Former Fund Name		New Fund Name
ProShares Ultra DJ-AIG Commodity		ProShares Ultra DJ-UBS Commodity
ProShares UltraShort DJ-AIG Commodity		ProShares UltraShort DJ-UBS Commodity
ProShares Ultra DJ-AIG Crude Oil		ProShares Ultra DJ-UBS Crude Oil
ProShares UltraShort DJ-AIG Crude Oil		ProShares UltraShort DJ-UBS Crude Oil

NOTE 2 – SIGNIFICANT ACCOUNTING POLICIES

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

The accompanying unaudited financial statements were prepared in accordance with GAAP for interim financial information and with the instructions for Form 10-Q and the rules and regulations of the U.S. Securities and Exchange Commission (the “SEC”). In the opinion of management, all material adjustments, consisting only of normal recurring adjustments, considered necessary for a fair statement of the interim period financial statements have been made. Interim period results are not necessarily indicative of results for a full-year period. These financial statements and the notes thereto should be read in conjunction with the Funds’ financial statements included in the Trust’s Annual Report on Form 10-K for the period ended December 31, 2008, as filed with the SEC on March 31, 2009.

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.

Statement of Cash Flows

The cash amount shown in the Statement of Cash Flows is the amount reported as cash in the Statement of Financial Condition dated September 30, 2009, and represents non-segregated cash with the custodian and does not include short-term investments.

Fiscal Period Cut-off

These financial statements have been prepared as of the time of the final calculation of the Funds’ net asset value (“NAV”) as follows. All times are Eastern:


	NAV Calculation Time	NAV Calculation Date
UltraSilver, UltraShort Silver	7:00 A.M.	September 30
Ultra Gold, UltraShort Gold	10:00 A.M.	September 30
Ultra DJ-UBS Commodity, UltraShort DJ-UBS Commodity	2:30 P.M.	September 30
Ultra DJ-UBS Crude Oil, UltraShort DJ-UBS Crude Oil	2:30 P.M.	September 30
Ultra Euro, UltraShort Euro	4:00 P.M.	September 30
Ultra Yen, UltraShort Yen	4:00 P.M.	September 30

Although the Funds’ Shares may continue to trade subsequent to these times, these times represent the close of business for the Funds’ investment operations and Share creation and redemption operations. Market value per Share is determined at the close of the New York Stock Exchange and may be later than when the Funds’ NAV per Share is calculated.

-63-

Investment Valuation

Short-term investments are valued at amortized cost to the extent that it approximates value.

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 the Gold and Silver Funds, are generally valued at the last settled price on the applicable exchange on which that future trades. Futures in 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 price 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.

Fair value pricing may require subjective determinations about the value of an investment. While the Trust’s policy is intended to result in a calculation of a Fund’s NAV that fairly reflects investment values as of the time of pricing, the Trust 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 Fund may differ from the value that would be realized if the investments were sold and the differences could be material to the financial statements.

Fair Value of Financial Instruments

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

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

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

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

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 shall be 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.

-64-

The following table summarizes the valuation of investments at September 30, 2009 using the fair value hierarchy:


	LEVEL I – Quoted Prices					LEVEL II – Other Significant Observable Inputs						Total
	Short-Term U.S. Government Agencies		Futures Contracts			Forward Agreements			Swap Agreements			Total
Ultra DJ-UBS Commodity	$	4,488,979	$	—		$	—		$	481,000		$	4,969,979
UltraShort DJ-UBS Commodity		599,977		—			—			(264,668	)		335,309
Ultra DJ-UBS Crude Oil		79,999,294		4,559,140			—			6,914,359			91,472,793
UltraShort DJ-UBS Crude Oil		25,082,792		(909,530	)		—			871,693			25,044,955
Ultra Gold		58,584,646		469,880			1,043,873			—			60,098,399
UltraShort Gold		8,894,946		(21,840	)		(308,164	)		—			8,564,942
Ultra Silver		25,957,854		608,835			5,790,951			—			32,357,640
UltraShort Silver		14,202,886		(95,805	)		(3,758,426	)		—			10,348,655
Ultra Euro		701,994		—			(159,067	)		—			542,927
UltraShort Euro		15,429,918		—			751,376			—			16,181,294
Ultra Yen		1,348,911		—			148,103			—			1,497,014
UltraShort Yen		6,475,961		—			(844,702	)		—			5,631,259

At September 30, 2009, there were no Level III portfolio investments for which significant unobservable inputs were used to determine fair value.

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

Investment Transactions and Related Income

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

Brokerage Commissions and Fees

Each Fund pays 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. Brokerage commissions on futures contracts are recognized on a half-turn basis.

Federal Income Tax

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

-65-

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, further implementation of guidance expected from FASB and 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 margin 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 daily 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 may enter into futures contracts to gain exposure to changes in the value of an underlying 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 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.

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. Pursuant to the futures contract, each Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the futures contract. Such receipts or payments are known as variation margin and are recorded by each Fund as unrealized gains or losses. Each Fund will realize a gain or loss upon closing of a futures transaction.

Futures contracts involve, to varying degrees, elements of market risk (specifically commodity price risk) 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 securities or commodity and the possibility

-66-

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

The Funds may 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 securities or other 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 Ultra Fund, 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, the UltraShort Fund would be required to make payments to the swap counterparties in the event the benchmark increases and would be entitled to settlement payments in the event the benchmark decreases, adjusted for any transaction costs or trading spreads on the notional amount the Funds may pay.

The net amount of the excess, if any, of each Fund’s obligations over its entitlements with respect to each swap agreement is accrued on a daily basis and an amount of cash or liquid assets 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 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 which 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 and limiting the net amount due from any individual counterparty. All of the outstanding swap agreements at September 30, 2009 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.

-67-

The Funds collateralize swap agreements with cash as indicated on the Statements of Financial Condition and such collateral is held for the benefit of the counterparty in a segregated 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 return of this collateral and may incur certain costs and time delays in exercising its right with respect to the collateral.

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. 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 reorganization proceeding. The Funds may obtain only limited recovery or may obtain no recovery in such circumstances.

Forward Contracts

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 with cash and/or certain securities as indicated on their Statements of Financial Condition and such collateral is held for the benefit of the counterparty in a segregated 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 return of this collateral and may incur certain costs exercising its right with respect to the collateral.

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 which is a party to a forward contract is monitored by the Sponsor.

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Fair Value of Derivative Instruments

as of September 30, 2009

Asset Derivatives

Liability Derivatives

Derivatives not
accounted for as
hedging
instruments under
Statement No. 133

Statements of
Financial
Condition
location

Fund

Unrealized
Appreciation

Statements of
Financial
Condition
location

Fund

Unrealized
Depreciation

Commodities Contracts

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

ProShares Ultra DJ-UBS Commodity

481,000

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

ProShares UltraShort DJ-UBS Commodity

264,668

ProShares Ultra DJ-UBS Crude Oil

11,473,499

ProShares UltraShort DJ-UBS Crude Oil

909,530

ProShares UltraShort DJ-UBS Crude Oil

871,693

ProShares UltraShort Gold

330,004

ProShares Ultra Gold

1,513,753

ProShares UltraShort Silver

3,854,231

ProShares Ultra Silver

6,399,786

Foreign Exchange Contracts

Unrealized appreciation on foreign currency forward contracts

ProShares Ultra Euro

34,255

Unrealized
appreciation
on foreign
currency
forward
contracts

ProShares Ultra Euro

193,322

ProShares UltraShort Euro

925,523

ProShares UltraShort Euro

174,147

ProShares Ultra Yen

159,811

ProShares Ultra Yen

11,708

ProShares UltraShort Yen

67,829

ProShares UltraShort Yen

912,531

*	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.

-69-

Fair Value of Derivative Instruments

as of December 31, 2008

Asset Derivatives

Liability Derivatives

Derivatives not
accounted for as
hedging
instruments under
Statement No. 133

Statements of
Financial
Condition
location

Fund

Unrealized
Appreciation

Statements of
Financial
Condition
location

Fund

Unrealized
Depreciation

Commodities Contracts

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

ProShares Ultra DJ-UBS Commodity

184,583

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

ProShares UltraShort DJ-UBS Commodity

426,201

ProShares Ultra DJ-UBS Crude Oil

12,678,400

ProShares UltraShort DJ-UBS Crude Oil

3,550,590

ProShares Ultra Gold

39,770

ProShares Ultra Gold

586,254

ProShares UltraShort Gold

86,657

ProShares UltraShort Gold

22,690

ProShares UltraShort Silver

47,484

ProShares Ultra Silver

264,872

ProShares UltraShort Silver

650

Foreign Exchange Contracts

Unrealized appreciation on foreign currency forward agreements

ProShares UltraShort Euro

151,153

Unrealized depreciation on foreign currency forward agreements

ProShares Ultra Euro

140,545

ProShares UltraShort Yen

135,917

ProShares Ultra Yen

201,574

Includes cumulative appreciation/depreciation of futures contracts as reported in the Trust’s Annual Report on Form 10-K for the period ended December 31, 2008. 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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The Effect of Derivative Instruments on the Statements of Operations

For the three months ended September 30, 2009


Derivatives not accounted for as hedging instruments under Statement No. 133	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income
Commodity Contracts	Net realized gain (loss) on transactions from futures, swaps, and/or forwards/changes in unrealized appreciation/depreciation of futures, swaps, and/or forwards	ProShares Ultra DJ-UBS Commodity	$	(1,842,980	)	$	2,374,398
		ProShares UltraShort DJ-UBS Commodity		(457,048	)		(310,626	)
		ProShares Ultra DJ-UBS Crude Oil		(8,074,297	)		10,652,490
		ProShares UltraShort DJ-UBS Crude Oil		14,047,731			725,697
		ProShares Ultra Gold		13,517,117			1,779,075
		ProShares UltraShort Gold		(5,463,630	)		(417,437	)
		ProShares Ultra Silver		22,087,923			8,286,651
		ProShares UltraShort Silver		(19,574,017	)		(5,308,940	)
Foreign Exchange Contracts	Net realized gain (loss) on transactions from foreign currency transactions/changes in unrealized appreciation/depreciation of foreign currency transactions	ProShares Ultra Euro		765,701			(143,081	)
		ProShares UltraShort Euro		(4,327,686	)		689,838
		ProShares Ultra Yen		314,239			248,893
		ProShares UltraShort Yen		(2,786,090	)		(1,715,520	)

The Effect of Derivative Instruments on the Statements of Operations

For the nine months ended September 30, 2009


Derivatives not accounted for as hedging instruments under Statement No. 133	Location of Gain or (Loss) on Derivatives Recognized in Income	Fund	Realized Gain or (Loss) on Derivatives Recognized in Income			Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income
Commodity Contracts	Net realized gain (loss) on transactions from futures, swaps, and/or forwards/changes in unrealized appreciation/depreciation of futures, swaps, and/or forwards	ProShares Ultra DJ-UBS Commodity	$	1,913,017		$	296,417
		ProShares UltraShort DJ-UBS Commodity		(1,536,586	)		161,533
		ProShares Ultra DJ-UBS Crude Oil		72,473,816			(1,204,901	)
		ProShares UltraShort DJ-UBS Crude Oil		(12,260,418	)		3,512,753
		ProShares Ultra Gold		12,537,637			2,060,237
		ProShares UltraShort Gold		(13,476,856	)		(393,971	)
		ProShares Ultra Silver		30,341,013			6,664,658
		ProShares UltraShort Silver		(24,883,200	)		(3,901,065	)
Foreign Exchange Contracts	Net realized gain (loss) on transactions from foreign currency transactions/changes in unrealized appreciation/depreciation of foreign currency transactions	ProShares Ultra Euro		926,921			(18,522	)
		ProShares UltraShort Euro		(11,530,010	)		600,223
		ProShares Ultra Yen		(393,981	)		349,677
		ProShares UltraShort Yen		(4,186,508	)		(980,619	)

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NOTE 4 – AGREEMENTS

Management Fee

Each Fund pays the Sponsor a Management Fee, monthly in arrears, in an amount equal to 0.95% per annum of the average daily NAV of such Fund to the extent that such amounts cumulatively exceed the organization and offering costs incurred by the Fund. The Management Fee is 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 Fund. From the Management Fee, the Sponsor pays 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. Each Fund incurs and pays its non-recurring and unusual fees and expenses. No other management fee is paid by the Fund.

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 paid on behalf of the Funds by the Sponsor.

The Custodian

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

The Distributor

SEI Investments Distribution Co. (“SEI”), serves as Distributor of the Shares 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.

Routine Operational, Administrative and Other Ordinary Expenses

The Sponsor pays all of the routine operational, administrative and other ordinary expenses of each Fund generally, as determined by the Sponsor including, but not limited to, fees and expenses of the Administrator, Custodian, Distributor, 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.

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Non-Recurring Fees and Expenses

Each Fund pays 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 will not collect any fee in the first year of operation of each Fund in an amount equal to the organization and offering fees. The Sponsor has agreed to reimburse a Fund to the extent that its organization and offering costs exceed 0.95% of its average daily NAV of each Fund for the shorter of the twelve month period following the initial sale of Shares or the period from the initial sale of Shares to the date the Fund ceases investment operations.

NOTE 6 – CREATION AND REDEMPTION OF CREATION UNITS

Each Fund issues and redeems Shares from time to time, but only in one or more Creation Units. A Creation Unit is a block of 50,000 Shares of a Fund. Creation Units may be created or redeemed only by Authorized Participants.

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

Authorized Participants pay a fixed transaction fee of $500 in connection with each order to create or redeem a Creation Unit in order to compensate BBH&Co. for services in processing the creation and redemption of Creation Units. Authorized Participants are required to pay a variable transaction fee 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 will provide the Authorized Participant with prompt notice in advance of any such waiver or adjustment of 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 months ended September 30, 2009, which are included in the Sale and/or Redemption of Shares on the Statements of Changes in Shareholders’ Equity, were as follows:


Fund	Three Months Ended September 30, 2009
Ultra DJ-UBS Commodity	$	2,688
UltraShort DJ-UBS Commodity		215
Ultra DJ-UBS Crude Oil		81,359
UltraShort DJ-UBS Crude Oil		34,126
Ultra Gold		9,085
UltraShort Gold		3,955
Ultra Silver		11,604
UltraShort Silver		27,415
Ultra Euro		—
UltraShort Euro		—
Ultra Yen		—
UltraShort Yen		—

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NOTE 7 – FINANCIAL HIGHLIGHTS

Selected data for a Share outstanding throughout the nine months ended September 30, 2009:

Ultra ProShares

For the Nine Month Period Ended September 30, 2009 (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, 2008	$	22.1647		$	14.7811		$	30.8181		$	28.6021		$	29.2400		$	28.4465

Net investment income (loss)		(0.1523	)		(0.0731	)		(0.2315	)		(0.2979	)		(0.1883	)		(0.1727	)
Net realized and unrealized gain (loss)		2.1826			(3.3631	)		7.0598			27.6478			2.5341			0.0113
Change in net asset value from operations		2.0303			(3.4362	)		6.8283			27.3499			2.3458			(0.1614	)
Net asset value, at September 30, 2009	$	24.1950		$	11.3449		$	37.6464		$	55.9520		$	31.5858		$	28.2851

Market value per share, at December 31, 2008	$	22.15		$	13.69		$	31.60		$	31.50		$	29.49		$	28.66
Market value per share, at September 30, 2009	$	24.07		$	11.21		$	38.53		$	57.25		$	31.53		$	28.23

Total Return, at net asset value^		9.16	%		(23.25	)%		22.16	%		95.62	%		8.02	%		(0.57	)%
Total Return, at market value^		8.67	%		(18.12	)%		21.93	%		81.75	%		6.92	%		(1.50	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(1.05	)%		(0.95	)%		(0.96	)%		(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	)%		(1.01	)%		(0.91	)%		(0.92	)%		(0.90	)%		(0.90	)%

^	Percentages are not annualized for the period ended September 30, 2009.

**	Percentages are annualized.

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UltraShort ProShares

For the Nine Month Period Ended September 30, 2009 (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, 2008	$	26.7951		$	29.0040		$	19.3741		$	19.5980		$	20.9453		$	21.6631

Net investment income (loss)		(0.1548	)		(0.1548	)		(0.1056	)		(0.0589	)		(0.1370	)		(0.1545	)
Net realized and unrealized gain (loss)		(8.5557	)		(12.3008	)		(6.3131	)		(14.0147	)		(2.7585	)		(1.3312	)
Change in net asset value from operations		(8.7105	)		(12.4556	)		(6.4187	)		(14.0736	)		(2.8955	)		(1.4857	)
Net asset value, at September 30, 2009	$	18.0846		$	16.5484		$	12.9554		$	5.5244		$	18.0498		$	20.1774

Market value per share, at December 31, 2008	$	27.58		$	31.66		$	19.10		$	17.51		$	21.26		$	21.85
Market value per share, at September 30, 2009	$	18.12		$	16.67		$	12.66		$	5.40		$	18.06		$	20.25

Total Return, at net asset value^		(32.51	)%		(42.94	)%		(33.13	)%		(71.81	)%		(13.82	)%		(6.86	)%
Total Return, at market value^		(34.30	)%		(47.35	)%		(33.72	)%		(69.16	)%		(15.05	)%		(7.32	)%

Ratios to Average Net Assets**

Expense ratio		(0.95	)%		(1.09	)%		(0.96	)%		(0.96	)%		(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	)%		(1.05	)%		(0.92	)%		(0.92	)%		(0.88	)%		(0.87	)%

^	Percentages are not annualized for the period ended September 30, 2009.

**	Percentages are annualized.

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NOTE 8 – RISK

See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form 10-K for the period ended December 31, 2008, filed with the SEC on March 31, 2009, for additional disclosure regarding the risks associated with the Funds, including graphs which illustrate the impact of leverage and index volatility on Fund performance.

Correlation Risk

A number of factors may affect a 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. A failure to achieve a high degree of correlation may prevent a Fund from achieving its investment objective. A number of factors may adversely affect a Fund’s correlation with its benchmark, including fees, expenses, transaction costs, costs associated with the use of leveraged investment techniques, income items, accounting standards and disruptions or illiquidity in the markets for the commodities or Financial Instruments (i.e., commodity-based or currency-based instruments whose value is derived from the value of an underlying asset, rate or index) in which the Fund invests. A Fund may be subject to large movements of assets into and out of the Fund, potentially resulting in the Fund being over- or under-exposed to its benchmark. In addition, there is a special form of correlation risk that derives from these Funds’ use of leverage, which is that for periods greater than one day, the use of leverage tends to cause the performance of a Fund to be either greater than or less than the target return for the same period stated in the fund objective, before accounting for fees and fund expenses. In general, given a particular index return, increased volatility of the index may cause a decrease in the performance relative to the target return for the same period.

Counterparty Risk

A Fund will be subject to credit risk with respect to the amount it expects to receive from counterparties to Financial Instruments and repurchase agreements 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. The Funds structure swap agreements such that either party can terminate the contract without penalty prior to the termination date. A Fund may experience significant delays in obtaining any recovery in a bankruptcy or other reorganization proceeding and a Fund may obtain only limited recovery or may obtain no recovery in such circumstances. The Funds typically enter into transactions with counterparties whose credit ratings are investment grade, as determined by a nationally recognized statistical rating organization, or, if unrated, judged by the Sponsor to be of comparable quality.

Leverage Risk

Leverage offers a means of magnifying market movements into larger changes in an investment’s value and provides greater investment exposure than an unleveraged investment. Swap agreements, borrowing, futures contracts and forward contracts, all may be used to create leverage. Each Fund employs leveraged investment techniques to achieve its investment objective.

Liquidity Risk

In certain circumstances, such as the disruption of the orderly markets for the commodities or Financial Instruments in which a Fund invests, a Fund might not be able to dispose of certain holdings quickly or at prices that represent true market value in the judgment of the Sponsor. Such a situation may prevent a Fund from limiting losses, realizing gains or achieving a high correlation or inverse correlation with its underlying index.

NOTE 9 – SUBSEQUENT EVENTS

Management has evaluated the possibility of subsequent events existing in the Funds’ financial statements through November 16, 2009. Management has determined that there are no material events that would require disclosure in its Funds’ financial statements through this date.

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Item 2.

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

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

Introduction

ProShares Trust II (formerly known as the Commodities and Currencies Trust) (the “Trust”) is a Delaware statutory trust formed on October 9, 2007 and currently organized into separate series. The following twelve series of the Trust, ProShares Ultra DJ-UBS Commodity (formerly ProShares Ultra DJ-AIG Commodity), ProShares UltraShort DJ-UBS Commodity (formerly ProShares UltraShort DJ-AIG Commodity), ProShares Ultra DJ-UBS Crude Oil (formerly ProShares Ultra DJ-AIG Crude Oil), ProShares UltraShort DJ-UBS Crude Oil (formerly ProShares UltraShort DJ-AIG 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 (each, a “Fund” and collectively, the “Funds”) issue common units of beneficial interest (“Shares”), which represent units of fractional undivided beneficial interest in and ownership of only that Fund. The Shares of each Fund are listed on the NYSE Arca exchange (“NYSE Arca”).

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 two different ways. References to “Ultra ProShares” or “UltraShort ProShares” refer to the different Funds based upon their investment objectives, but without distinguishing among the Funds’ benchmarks. References to “Commodity Index Funds”, “Commodity Funds” and “Currency Funds” refer to the different Funds according to their general benchmark categories without distinguishing among the Funds’ investment objectives or Fund-specific benchmarks.

Each Fund continuously offers and redeems its Shares in blocks of 50,000 Shares (“Creation Units”). 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 net asset value per Share (“NAV”). Authorized Participants may then offer to the public,

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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 NYSE Arca, the NAV and the supply of and demand for the Shares at the time of the offer. Shares from the same Creation Unit may be offered at different times and may have different offering prices based upon the above factors. The form of Authorized Participant Agreement and related Authorized Participant Handbook set forth the terms and conditions under which an Authorized Participant may purchase or redeem a Creation Unit. Authorized Participants do not receive from any Fund, the Sponsor, or any of their affiliates, any underwriting fees or compensation in connection with their sale of Shares to the public.

Liquidity and Capital Resources

In order to collateralize derivatives positions in 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/or used as margin for 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-month and nine-month periods ended September 30, 2009, each of the Funds earned interest income as follows:


Fund	Interest Income Three Months Ended September 30, 2009		Interest Income Nine Months Ended September 30, 2009
ProShares Ultra DJ-UBS Commodity	$	1,738	$	4,012
ProShares UltraShort DJ-UBS Commodity		320		710
ProShares Ultra DJ-UBS Crude Oil		23,424		93,245
ProShares UltraShort DJ-UBS Crude Oil		11,290		20,679
ProShares Ultra Gold		17,978		43,484
ProShares UltraShort Gold		4,411		13,450
ProShares Ultra Silver		9,926		20,640
ProShares UltraShort Silver		6,330		11,491
ProShares Ultra Euro		904		2,413
ProShares UltraShort Euro		6,324		19,433
ProShares Ultra Yen		509		1,456
ProShares UltraShort Yen		5,266		21,843

Each Fund’s underlying swaps, futures and forward contracts, as the case may be, are 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 Trust is unaware of any other trends, demands, conditions or events that are reasonably likely to result in material changes to the Trust’s liquidity needs.

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Because each Fund enters 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).

Results of Operations for the Three-Month Period Ended September 30, 2009

NAV of ProShares Ultra DJ-UBS Commodity

The Fund’s NAV decreased from $30,839,963 at June 30, 2009 to $19,356,364 at September 30, 2009. The decrease in the Fund’s NAV resulted primarily from a decrease in outstanding Shares, which decreased from 1,350,014 Shares at June 30, 2009 to 800,014 Shares at September 30, 2009 due to no Shares being created and 550,000 Shares (11 Creation Units) being redeemed during the period. 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 200% of the daily performance of the Dow Jones-UBS Commodity Index. For the three-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 5.9%. During the three-month period ended September 30, 2009, the benchmark index rose by a cumulative 4.2% and had an annualized volatility of 24.0%.

NAV of ProShares UltraShort DJ-UBS Commodity

The Fund’s NAV increased from $5,225,688 at June 30, 2009 to $5,425,641 at September 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 250,014 Shares at June 30, 2009 to 300,014 Shares at September 30, 2009 due to 50,000 Shares (1 Creation Unit) being created and no Shares being redeemed during the period. 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 200% of the inverse of the daily performance of the Dow Jones-UBS Commodity Index. For the three-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 13.5%. During the three-month period ended September 30, 2009, the benchmark index rose by a cumulative 4.2% and had an annualized volatility of 24.0%.

NAV of ProShares Ultra DJ-UBS Crude Oil

The Fund’s NAV increased from $209,670,516 at June 30, 2009 to $331,839,940 at September 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 16,050,014 Shares at June 30, 2009 to 29,250,014 Shares at September 30, 2009 due to 23,400,000 Shares (468 Creation Units) being created and 10,200,000 Shares (204 Creation Units) being redeemed during the period. 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 200% of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. For the three-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 13.2%. During the three-month period ended September 30, 2009, the benchmark index declined by a cumulative 4.8% and had an annualized volatility of 39.5%.

NAV of ProShares UltraShort DJ-UBS Crude Oil

The Fund’s NAV decreased from $128,758,820 at June 30, 2009 to $83,569,426 at September 30, 2009. The decrease in the Fund’s NAV resulted primarily from a decrease in outstanding Shares, which decreased from 7,600,014 Shares at June 30, 2009 to 5,050,014 Shares at September 30, 2009 due to 2,950,000 Shares (59 Creation Units) being created and 5,500,000 Shares (110 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. For the three-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 2.3%. During the three-month period ended September 30, 2009, the benchmark index declined by a cumulative 4.8% and had an annualized volatility of 39.5%.

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NAV of ProShares Ultra Gold

The Fund’s NAV decreased from $156,690,604 at June 30, 2009 to $137,409,978 at September 30, 2009. The decrease in the Fund’s NAV resulted primarily from a decrease in outstanding Shares, which decreased from 4,650,014 Shares at June 30, 2009 to 3,650,014 Shares at September 30, 2009 due to 100,000 Shares (2 Creation Units) being created and 1,100,000 Shares (22 Creation Units) being redeemed during the period. 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 200% 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-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 11.7%. During the three-month period ended September 30, 2009, the benchmark index rose by a cumulative 6.6% and had an annualized volatility of 15.1%.

NAV of ProShares UltraShort Gold

The Fund’s NAV decreased from $51,236,834 at June 30, 2009 to $38,866,260 at September 30, 2009. The decrease in the Fund’s NAV resulted primarily from a decrease in outstanding Shares, which decreased from 3,400,014 Shares at June 30, 2009 to 3,000,014 Shares at September 30, 2009 due to 450,000 Shares (9 Creation Units) being created and 850,000 Shares (17 Creation Units) being redeemed during the period. 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 200% 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-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 14.0%. During the three-month period ended September 30, 2009, the benchmark index rose by a cumulative 6.6% and had an annualized volatility of 15.1%.

NAV of ProShares Ultra Silver

The Fund’s NAV increased from $78,824,836 at June 30, 2009 to $95,119,218 at September 30, 2009. 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 200% of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. The increase in the Fund’s NAV was offset by a decrease in outstanding Shares, which decreased from 1,850,014 Shares at June 30, 2009 to 1,700,014 Shares at September 30, 2009 due to 500,000 Shares (10 Creation Units) being created and 650,000 Shares (13 Creation Units) being redeemed during the period. For the three-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 31.3%. During the three-month period ended September 30, 2009, the benchmark index rose by a cumulative 18.0% and had an annualized volatility of 41.2%.

NAV of ProShares UltraShort Silver

The Fund’s NAV decreased from $68,967,304 at June 30, 2009 to $56,901,321 at September 30, 2009. 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 200% of the inverse 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 in outstanding Shares, which increased from 7,750,014 Shares at June 30, 2009 to 10,300,014 Shares at September 30, 2009 due to 9,100,000 Shares (182 Creation Units) being created and 6,550,000 Shares (131 Creation Units) being redeemed during the period. For the three-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 37.9%. During the three-month period ended September 30, 2009, the benchmark index rose by a cumulative 18.0% and had an annualized volatility of 41.2%.

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NAV of ProShares Ultra Euro

The Fund’s NAV increased from $7,291,462 at June 30, 2009 to $7,896,903 at September 30, 2009. The Fund had no creation or redemption activity during the quarter. 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 200% of the daily performance of the spot price of the Euro versus the U.S. Dollar. For the three-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 8.3%. During the three-month period ended September 30, 2009, the benchmark index rose by a cumulative 4.3% and had an annualized volatility of 9.1%.

NAV of ProShares UltraShort Euro

The Fund’s NAV decreased from $39,613,566 at June 30, 2009 to $38,807,426 at September 30, 2009. 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 200% of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. The decrease in the Fund’s NAV was offset by an increase in outstanding Shares, which increased from 2,000,014 Shares at June 30, 2009 to 2,150,014 Shares at September 30, 2009 due to 350,000 Shares (7 Creation Units) being created and 200,000 Shares (4 Creation Units) being redeemed during the period. For the three-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 8.9%. During the three-month period ended September 30, 2009, the benchmark index rose by a cumulative 4.3% and had an annualized volatility of 9.1%.

NAV of ProShares Ultra Yen

The Fund’s NAV decreased from $4,946,446 at June 30, 2009 to $4,243,160 at September 30, 2009. The decrease in the Fund’s NAV resulted from a decrease in outstanding Shares, which decreased from 200,014 Shares at June 30, 2009 to 150,014 Shares at September 30, 2009 due to no Shares being created and 50,000 Shares (1 Creation Unit) being redeemed during the period. 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 200% of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. For the three-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 14.4%. During the three-month period ended September 30, 2009, the benchmark index rose by a cumulative 7.3% and had an annualized volatility of 11.3%.

NAV of ProShares UltraShort Yen

The Fund’s NAV decreased from $41,152,049 at June 30, 2009 to $23,204,338 at September 30, 2009. The decrease in the Fund’s NAV resulted primarily from a decrease in outstanding Shares, which decreased from 1,750,014 Shares at June 30, 2009 to 1,150,014 Shares at September 30, 2009 due to 50,000 Shares (1 Creation Unit) being created and 650,000 Shares (13 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. For the three-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 14.2%. During the three-month period ended September 30, 2009, the benchmark index rose by a cumulative 7.3% and had an annualized volatility of 11.3%.

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Results of Operations for the Nine-Month Period Ended September 30, 2009

NAV of ProShares Ultra DJ-UBS Commodity

The Fund’s NAV increased from $3,325,011 at December 31, 2008 to $19,356,364 at September 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 150,014 Shares at December 31, 2008 to 800,014 Shares at September 30, 2009 due to 1,200,000 Shares (24 Creation Units) being created and 550,000 Shares (11 Creation Units) being redeemed during the period. 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 200% of the daily performance of the Dow Jones-UBS Commodity Index. For the nine-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 9.2%. During the nine-month period ended September 30, 2009, the benchmark index rose by a cumulative 8.9% and had an annualized volatility of 26.6%.

NAV of ProShares UltraShort DJ-UBS Commodity

The Fund’s NAV increased from $2,679,883 at December 31, 2008 to $5,425,641 at September 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 100,014 Shares at December 31, 2008 to 300,014 Shares at September 30, 2009 due to 200,000 Shares (4 Creation Units) being created and no Shares being redeemed during the period. 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 200% of the inverse of the daily performance of the Dow Jones-UBS Commodity Index. For the nine-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 32.5%. During the nine-month period ended September 30, 2009, the benchmark index rose by a cumulative 8.9% and had an annualized volatility of 26.6%.

NAV of ProShares Ultra DJ-UBS Crude Oil

The Fund’s NAV increased from $99,772,943 at December 31, 2008 to $331,839,940 at September 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 6,750,014 Shares at December 31, 2008 to 29,250,014 Shares at September 30, 2009 due to 104,400,000 Shares (2,088 Creation Units) being created and 81,900,000 Shares (1,638 Creation Units) being redeemed during the period. 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 200% of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. For the nine-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 23.2%. During the nine-month period ended September 30, 2009, the benchmark index declined by a cumulative 2.3% and had an annualized volatility of 52.1%.

NAV of ProShares UltraShort DJ-UBS Crude Oil

The Fund’s NAV increased from $14,502,399 at December 31, 2008 to $83,569,426 at September 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 500,014 Shares at December 31, 2008 to 5,050,014 Shares at September 30, 2009 due to 15,550,000 Shares (311 Creation Units) being created and 11,000,000 Shares (220 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of the Dow Jones-UBS Crude Oil Sub-Index. For the nine-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 42.9%. During the nine-month period ended September 30, 2009, the benchmark index declined by a cumulative 2.3% and had an annualized volatility of 52.1%.

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NAV of ProShares Ultra Gold

The Fund’s NAV increased from $27,736,722 at December 31, 2008 to $137,409,978 at September 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 900,014 Shares at December 31, 2008 to 3,650,014 Shares at September 30, 2009 due to 4,350,000 Shares (87 Creation Units) being created and 1,600,000 Shares (32 Creation Units) being redeemed during the period. 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 200% of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. For the nine-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 22.2%. During the nine-month period ended September 30, 2009, the benchmark index rose by a cumulative 14.5% and had an annualized volatility of 22.3%.

NAV of ProShares UltraShort Gold

The Fund’s NAV increased from $3,875,093 at December 31, 2008 to $38,866,260 at September 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 200,014 Shares at December 31, 2008 to 3,000,014 Shares at September 30, 2009 due to 5,700,000 Shares (114 Creation Units) being created and 2,900,000 Shares (58 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of gold bullion as measured by the U.S. Dollar p.m. fixing price for delivery in London. For the nine-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 33.1%. During the nine-month period ended September 30, 2009, the benchmark index rose by a cumulative 14.5% and had an annualized volatility of 22.3%.

NAV of ProShares Ultra Silver

The Fund’s NAV increased from $10,011,149 at December 31, 2008 to $95,119,218 at September 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 350,014 Shares at December 31, 2008 to 1,700,014 Shares at September 30, 2009 due to 2,550,000 Shares (51 Creation Units) being created and 1,200,000 Shares (24 Creation Units) being redeemed during the period. 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 200% of the daily performance of silver bullion as measured by the U.S. Dollar fixing price for delivery in London. For the nine-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 95.6%. During the nine-month period ended September 30, 2009, the benchmark index rose by a cumulative 52.5% and had an annualized volatility of 40.6%.

NAV of ProShares UltraShort Silver

The Fund’s NAV increased from $1,960,071 at December 31, 2008 to $56,901,321 at September 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 100,014 Shares at December 31, 2008 to 10,300,014 Shares at September 30, 2009 due to 18,250,000 Shares (365 Creation Units) being created and 8,050,000 Shares (161 Creation Units) being redeemed during the period. 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 200% 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 nine-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 71.8%. During the nine-month period ended September 30, 2009, the benchmark index rose by a cumulative 52.5% and had an annualized volatility of 40.6%.

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NAV of ProShares Ultra Euro

The Fund’s NAV increased from $4,386,411 at December 31, 2008 to $7,896,903 at September 30, 2009. The increase in the Fund’s NAV resulted primarily from an increase in outstanding Shares, which increased from 150,014 Shares at December 31, 2008 to 250,014 Shares at September 30, 2009 due to 150,000 Shares (3 Creation Units) being created and 50,000 Shares (1 Creation Unit) being redeemed during the period. 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 200% of the daily performance of the spot price of the Euro versus the U.S. Dollar. For the nine-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV increased by 8.0%. During the nine-month period ended September 30, 2009, the benchmark index rose by a cumulative 4.7% and had an annualized volatility of 13.8%.

NAV of ProShares UltraShort Euro

The Fund’s NAV increased from $7,331,163 at December 31, 2008 to $38,807,426 at September 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 350,014 Shares at December 31, 2008 to 2,150,014 Shares at September 30, 2009 due to 2,800,000 Shares (56 Creation Units) being created and 1,000,000 Shares (20 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of the spot price of the Euro versus the U.S. Dollar. For the nine-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 13.8%. During the nine-month period ended September 30, 2009, the benchmark index rose by a cumulative 4.7% and had an annualized volatility of 13.8%.

NAV of ProShares Ultra Yen

The Fund’s NAV increased from $2,845,053 at December 31, 2008 to $4,243,160 at September 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 100,014 Shares at December 31, 2008 to 150,014 Shares at September 30, 2009 due to 100,000 Shares (2 Creation Units) being created and 50,000 Shares (1 Creation Unit) being redeemed during the period. 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 200% of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. For the nine-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 0.6%. During the nine-month period ended September 30, 2009, the benchmark index rose by a cumulative 1.1% and had an annualized volatility of 28.0%.

NAV of ProShares UltraShort Yen

The Fund’s NAV increased from $2,166,617 at December 31, 2008 to $23,204,338 at September 30, 2009. The increase in the Fund’s NAV resulted from an increase in outstanding Shares, which increased from 100,014 Shares at December 31, 2008 to 1,150,014 Shares at September 30, 2009 due to 2,900,000 Shares (58 Creation Units) being created and 1,850,000 Shares (37 Creation Units) being redeemed during the period. 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 200% of the inverse of the daily performance of the spot price of the Japanese Yen versus the U.S. Dollar. For the nine-month period ended September 30, 2009, over which the Fund’s daily performance had a statistical correlation over 0.99 to 200% of the inverse of the daily performance of its benchmark, the Fund’s per Share NAV decreased by 6.9%. During the nine-month period ended September 30, 2009, the benchmark index rose by a cumulative 1.1% and had an annualized volatility of 28.0%.

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Off-Balance Sheet Arrangements and Contractual Obligations

As of November 16, 2009 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.

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.

Swap agreements do not generally involve the delivery of securities or other 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 securities 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 consists of the net amount of payments that the Fund is contractually

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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;

•

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.

Critical Accounting Policies

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 Sponsor’s 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 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).

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.

Fair value pricing may require subjective determinations about the value of an investment. While each Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects investment values as of the time of pricing, the Fund cannot ensure that fair values determined by the Sponsor or persons acting at their direction would accurately reflect the price that the Fund could obtain

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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 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.

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.

Item 3.

Quantitative and Qualitative Disclosures About Market Risk.

Quantitative Disclosure

Commodity Price Sensitivity

Each of the Commodity Funds and the Commodity Index Funds is exposed to commodity price risk through its holdings of Financial Instruments. The following tables provide information about each of the Commodity Funds’ and the Commodity Index Funds’ Financial Instruments, which are sensitive to commodity price risk. As of September 30, 2009, each of the Commodity Funds and the Commodity Index Funds’ positions were as follows:

ProShares Ultra DJ-UBS Commodity:

As of September 30, 2009, 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 table provides information about the Fund’s swap positions as of September 30, 2009, which are sensitive to commodity price risk.

Swap Agreements


Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Dow Jones-UBS Commodity Index	Goldman Sachs International	Long	127.683	$	8,232,734
Dow Jones-UBS Commodity Index	UBS AG	Long	127.683		30,355,281

The September 30, 2009 swap notional amount is calculated by multiplying units times the closing level of the Index. The notional amount 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. See “Item 1A. Risk Factors” in the Trust’s Annual Report on Form 10-K for the year ended December 31, 2008, filed with the U.S. Securities and Exchange Commission on March 31,

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2009 (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 September 30, 2009, 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 table provides information about the Fund’s short swap positions as of September 30, 2009, which are sensitive to commodity price risk.

Swap Agreements


Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Dow Jones-UBS Commodity Index	Goldman Sachs International	Short	127.683	$	(1,774,643	)
Dow Jones-UBS Commodity Index	UBS AG	Short	127.683		(9,192,397	)

The September 30, 2009 short swap notional amount is calculated by multiplying units times the closing level of the Index. The short notional amount 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 amount, 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 minus 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 September 30, 2009, 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 Crude Oil Sub-Index. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2009, which are sensitive to commodity price risk.

Futures Positions

Contract

Long or
Short

Expiration

Contracts

Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Crude Oil (NYMEX)

Long

November 2009

4,034

70.61

1,000

284,840,740

Swap Agreements


Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Dow Jones-UBS Crude Oil Sub-Index	Goldman Sachs International	Long	243.910	$	150,708,713
Dow Jones-UBS Crude Oil Sub-Index	UBS AG	Long	243.910		228,134,667

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The September 30, 2009 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2009 swap notional amount is 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.

ProShares UltraShort DJ-UBS Crude Oil:

As of September 30, 2009, 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 Crude Oil Sub-Index. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2009, which are sensitive to commodity price risk.

Futures Positions


Contract	Long or Short	Expiration	Contracts	Valuation Price		Contract Multiplier	Notional Amount at Value
Crude Oil (NYMEX)	Short	November 2009	778	$	70.61	1,000	$	(54,934,580	)

Swap Agreements


Reference Index	Counterparty	Long or Short	Index Close	Notional Amount at Value
Dow Jones-UBS Crude Oil Sub-Index	Goldman Sachs International	Short	243.910	$	(39,192,852	)
Dow Jones-UBS Crude Oil Sub-Index	UBS AG	Short	243.910		(73,009,295	)

The September 30, 2009 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2009 short swap notional amount is 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 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 September 30, 2009, the ProShares Ultra Gold Fund was exposed to inverse commodity price risk through its holding of Gold futures contracts and Gold forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2009, which are sensitive to commodity price risk.

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Futures Positions

Contract

Long or
Short

Expiration

Contracts

9/30/09
Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Gold Futures (COMEX)

Long

December 2009

996.80

100

6,778,240

Forward Agreements


Reference Index	Counterparty	Long or Short	9/30/09 Forward Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Long	$	995.79	$	48,913,205
0.995 Fine Troy Ounce Gold	UBS AG	Long		995.79		219,173,379

The September 30, 2009 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2009 forward notional amount equals 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 September 30, 2009, 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 table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2009, which are sensitive to commodity price risk.

Futures Positions


Contract	Long or Short	Expiration	Contracts	9/30/09 Valuation Price		Contract Multiplier	Notional Amount at Value
Gold Futures (COMEX)	Short	December 2009	35	$	996.80	100	$	(3,488,800	)

Forward Agreements


Reference Index	Counterparty	Long or Short	9/30/09 Forward Price		Notional Amount at Value
0.995 Fine Troy Ounce Gold	Goldman Sachs International	Short	$	995.79	$	(14,934,858	)
0.995 Fine Troy Ounce Gold	UBS AG	Short		995.79		(59,349,084	)

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The September 30, 2009 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2009 short forward notional amount equals 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 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 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 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 September 30, 2009, the ProShares Ultra Silver Fund was exposed to commodity price risk through its holding of Silver futures contracts and Silver forward agreements. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2009, which are sensitive to commodity price risk.

Futures Positions

Contract

Long or
Short

Expiration

Contracts

9/30/09
Valuation
Price

Contract
Multiplier

Notional Amount
at Value

Silver Futures (COMEX)

Long

December 2009

108

16.475

5,000

8,896,500

Forward Agreements


Reference Index	Counterparty	Long or Short	9/30/09 Forward Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Long	$	16.4513	$	33,820,583
0.999 Fine Troy Ounce Silver	UBS AG	Long		16.4513		147,485,905

The September 30, 2009 futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2009 forward notional amount equals 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.

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ProShares UltraShort Silver:

As of September 30, 2009, 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 table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2009, which are sensitive to commodity price risk.

Futures Positions


Contract	Long or Short	Expiration	Contracts	9/30/09 Valuation Price		Contract Multiplier	Notional Amount at Value
Silver Futures (COMEX)	Short	December 2009	25	$	16.475	5,000	$	(2,059,375	)

Forward Agreements


Reference Index	Counterparty	Long or Short	9/30/09 Forward Price		Notional Amount at Value
0.999 Fine Troy Ounce Silver	Goldman Sachs International	Short	$	16.4513	$	(25,869,669	)
0.999 Fine Troy Ounce Silver	UBS AG	Short		16.4513		(85,842,883	)

The September 30, 2009 short futures notional amount is calculated by multiplying the number of contracts held times the valuation price times the contract multiplier. The September 30, 2009 short forward notional amount equals 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 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 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 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.

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 Funds’ Financial Instruments, which are sensitive to changes in exchange rates. As of September 30, 2009, each of the Currency Funds’ positions were as follows:

ProShares Ultra Euro:

As of September 30, 2009, the ProShares Ultra Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2009, which are sensitive to exchange rate price risk.

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Foreign Currency Forward Contracts


Reference Currency	Counterparty	Long or Short	Settlement Date	Euro		9/30/09 Forward Rate	9/30/09 Market Value USD
Euro	Goldman Sachs International	Long	10/02/09	4,825,525		1.4631	$	7,060,229
Euro	UBS AG	Long	10/02/09	6,096,400		1.4631		8,919,647
Euro	Goldman Sachs International	Long	10/09/09	4,785,025		1.4631		7,000,973
Euro	UBS AG	Long	10/09/09	6,011,300		1.4631		8,795,137
Euro	Goldman Sachs International	Short	10/02/09	(4,825,525	)	1.4631		(7,060,229	)
Euro	UBS AG	Short	10/02/09	(6,096,400	)	1.4631		(8,919,647	)

The September 30, 2009 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 UltraShort Euro:

As of September 30, 2009, the ProShares UltraShort Euro Fund was exposed to exchange rate price risk through its holdings of Euro/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2009, which are sensitive to exchange rate price risk.

Foreign Currency Forward Contracts


Reference Currency	Counterparty	Long or Short	Settlement Date	Euro		9/30/09 Forward Rate	9/30/09 Market Value USD
Euro	Goldman Sachs International	Long	10/02/09	25,698,425		1.4631	$	37,599,381
Euro	UBS AG	Long	10/02/09	28,147,700		1.4631		41,182,917
Euro	UBS AG	Long	10/09/09	673,100		1.4631		984,813
Euro	Goldman Sachs International	Short	10/02/09	(25,698,425	)	1.4631		(37,599,381	)
Euro	UBS AG	Short	10/02/09	(28,147,700	)	1.4631		(41,182,917	)
Euro	Goldman Sachs International	Short	10/09/09	(25,698,425	)	1.4631		(37,599,381	)
Euro	UBS AG	Short	10/09/09	(27,997,700	)	1.4631		(40,963,452	)

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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 Ultra Yen:

As of September 30, 2009, the ProShares Ultra Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2009, which are sensitive to exchange rate price risk.

Foreign Currency Forward Contracts


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen		9/30/09 Forward Rate	9/30/09 Market Value USD
Yen	Goldman Sachs International	Long	10/02/09	435,500,000		0.011138	$	4,850,730
Yen	UBS AG	Long	10/02/09	327,690,000		0.011138		3,649,909
Yen	Goldman Sachs International	Long	10/09/09	435,500,000		0.011138		4,850,730
Yen	UBS AG	Long	10/09/09	326,620,000		0.011138		3,637,991
Yen	Goldman Sachs International	Short	10/02/09	(435,500,000	)	0.011138		(4,850,730	)
Yen	UBS AG	Short	10/02/09	(327,690,000	)	0.011138		(3,649,909	)

The September 30, 2009 USD market value equals 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.

ProShares UltraShort Yen:

As of September 30, 2009, the ProShares UltraShort Yen Fund was exposed to exchange rate price risk through its holdings of Yen/USD foreign currency forward contracts. The following table provides information about the Fund’s positions in these Financial Instruments as of September 30, 2009, which are sensitive to exchange rate price risk.

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Foreign Currency Forward Contracts


Reference Currency	Counterparty	Long or Short	Settlement Date	Yen		9/30/09 Forward Rate	9/30/09 Market Value USD
Yen	Goldman Sachs International	Long	10/02/09	2,040,330,000		0.011138	$	22,725,808
Yen	UBS AG	Long	10/02/09	2,419,730,000		0.011138		26,951,679
Yen	UBS AG	Long	10/09/09	66,150,000		0.011138		736,798
Yen	Goldman Sachs International	Short	10/02/09	(2,040,330,000	)	0.011138		(22,725,808	)
Yen	UBS AG	Short	10/02/09	(2,419,730,000	)	0.011138		(26,951,679	)
Yen	Goldman Sachs International	Short	10/09/09	(2,010,510,000	)	0.011138		(22,393,663	)
Yen	UBS AG	Short	10/09/09	(2,219,230,000	)	0.011138		(24,718,449	)

The September 30, 2009 USD market value equals 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 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 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.

Qualitative Disclosure

As described above in Item 2 of this Quarterly Report on Form 10-Q, it is the investment objective of each Fund to seek daily investment results, before fees and expenses, which correspond to twice (200%) the daily performance, whether positive or negative, of its corresponding benchmark. Each Ultra ProShares Fund seeks daily investment results (before fees and expenses) that correspond to twice (200%) the daily performance of its corresponding benchmark. Each UltraShort ProShares Fund seeks daily investment results (before fees and expenses) that correspond to twice (200%) the inverse (opposite) of the daily performance of its corresponding benchmark. The Funds do not seek to achieve these stated investment objectives over a period of time greater than one day because mathematical compounding prevents the 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.

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).

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.

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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 contract or forward agreement 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 an UltraShort Fund and daily decreases in the price of an underlying commodity or commodity index will negatively impact the daily performance of Shares of an Ultra Fund. Performance over time is a cumulative effect of geometrically linking each day’s leveraged or inverse leveraged returns. For instance, if a corresponding benchmark was up 10% and then down 10%, which would result in a (1.1*0.9)-1 = -1% period benchmark return, the two-day period return for a theoretical two-times fund would be equal to a (1.2 *0.8)-1 = -4% period Fund return (rather than simply two times the period return of the benchmark).

Exchange Rate Sensitivity

As further described in “Item 1A. Risk Factors” in the Form 10-K, the value of the Shares of each Fund relates directly to the value of, and realized profit or loss from, the Financial Instruments and other assets held by the Fund and fluctuations in the price of these assets could materially adversely affect an investment in the Shares. With regard to the Currency Funds, several factors may affect the value of the foreign currencies or the U.S. Dollar, and, in turn, the swap agreements, futures contracts, forward contracts thereof 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 an UltraShort Fund and daily decreases in the price of a currency will negatively impact the daily performance of Shares of an Ultra Fund. 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).

Managing Market Risks

Each Fund seeks to remain fully exposed to the corresponding benchmark at the levels implied by the relevant investment objective (200% or -200%), regardless of market direction or sentiment. As described above in Item 2 of this Quarterly Report on Form 10-Q, this is 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.

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 and repurchase agreements 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

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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, and limiting the net amount due from any individual counterparty.

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. In the future, it is expected that a portion of this cash will be invested 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

The principal executive officer and principal financial officer of the Trust have evaluated the effectiveness of the Trust’s disclosure controls and procedures, and have concluded that the disclosure controls and procedures of the Trust were effective, as of September 30, 2009, to provide reasonable assurance that information required to be disclosed in the reports that the Trust files or submits under the Securities Exchange Act of 1934, as amended, is recorded, processed, summarized and reported within the time periods specified in the applicable rules and forms, and that it is accumulated and communicated to the duly authorized officers of the Trust as appropriate to allow timely decisions regarding required disclosure.

There are inherent limitations to the effectiveness of any system of disclosure controls and procedures, including the possibility of human error and the circumvention or overriding of the controls and procedures.

Changes in Internal Control over Financial Reporting

There were no changes in the Trust’s internal control over financial reporting that occurred during the period covered by this Quarterly Report on Form 10-Q that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.

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Part II. OTHER INFORMATION

Item 1.

Legal Proceedings.

None.

Item 1A.

Risk Factors.

There have been no changes to Risk Factors since last reported in Part I, Item 1A in the Trust’s Annual Report on Form 10-K for the period ended December 31, 2008.

Item 2.

Unregistered Sales of Equity Securities and Use of Proceeds.

(a)

None.

(b)

As described in the Trust’s Registration Statement on Form S-1 (No. 333-146801), which was declared effective on November 21, 2008, and its Registration Statement on Form S-1 (No. 333-156888), which was declared effective on February 13, 2009, 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, bank deposits, bank money market accounts, certain variable rate-demand notes and repurchase agreements collateralized by government securities, whether denominated in U.S. or the applicable foreign currency with respect to a Currency Fund) that may be used to collateralize swap agreements or forward contracts or deposited with FCMs as margin in connection with any futures transactions. Each Fund continuously offers and redeems its Shares in blocks of 50,000 Shares.


Title of Securities Registered	Amount Registered		Shares Sold July 1, 2009 through September 30, 2009	Sale Price of Shares Sold July 1, 2009 through September 30, 2009
ProShares Ultra DJ-UBS Commodity Common Units of Beneficial Interest	$	1,000,000,000	—	$	—
ProShares UltraShort DJ-UBS Commodity Common Units of Beneficial Interest		2,000,000,000	50,000		979,797
ProShares Ultra DJ-UBS Crude Oil Common Units of Beneficial Interest		4,000,000,000	23,400,000		239,943,756
ProShares UltraShort DJ-UBS Crude Oil Common Units of Beneficial Interest		3,000,000,000	2,950,000		48,842,245
ProShares Ultra Gold Common Units of Beneficial Interest		2,000,000,000	100,000		3,457,472
ProShares UltraShort Gold Common Units of Beneficial Interest		2,000,000,000	450,000		5,863,579
ProShares Ultra Silver Common Units of Beneficial Interest		1,000,000,000	500,000		19,980,999
ProShares UltraShort Silver Common Units of Beneficial Interest		1,000,000,000	9,100,000		68,107,260
ProShares Ultra Euro Common Units of Beneficial Interest		1,000,000,000	—		—
ProShares UltraShort Euro Common Units of Beneficial Interest		1,000,000,000	350,000		6,723,251
ProShares Ultra Yen Common Units of Beneficial Interest		1,000,000,000	—		—
ProShares UltraShort Yen Common Units of Beneficial Interest		1,000,000,000	50,000		1,019,512
Total:	$	20,000,000,000	36,950,000	$	394,917,871

-98-

(c)	From June 30, 2009 through September 30, 2009, the number of Shares redeemed and average price per Share of each Fund was as follows:


Fund	Total Number of Shares Redeemed	Average Price Per Share
ProShares Ultra DJ-UBS Commodity
07/01/09 to 07/31/09	400,000	$	21.34
08/01/09 to 08/31/09	—		—
09/01/09 to 09/30/09	150,000		22.85
ProShares UltraShort DJ-UBS Commodity
07/01/09 to 07/31/09	—		—
08/01/09 to 08/31/09	—		—
09/01/09 to 09/30/09	—		—
ProShares Ultra DJ-UBS Crude Oil
07/01/09 to 07/31/09	3,400,000		11.28
08/01/09 to 08/31/09	2,300,000		12.59
09/01/09 to 09/30/09	4,500,000		11.67
ProShares UltraShort DJ-UBS Crude Oil
07/01/09 to 07/31/09	2,900,000		21.54
08/01/09 to 08/31/09	600,000		17.27
09/01/09 to 09/30/09	2,000,000		17.84
ProShares Ultra Gold
07/01/09 to 07/31/09	500,000		32.59
08/01/09 to 08/31/09	350,000		33.52
09/01/09 to 09/30/09	250,000		38.73
ProShares UltraShort Gold
07/01/09 to 07/31/09	350,000		15.17
08/01/09 to 08/31/09	300,000		14.69
09/01/09 to 09/30/09	200,000		12.70
ProShares Ultra Silver
07/01/09 to 07/31/09	—		—
08/01/09 to 08/31/09	150,000		41.48
09/01/09 to 09/30/09	500,000		55.25
ProShares UltraShort Silver
07/01/09 to 07/31/09	3,900,000		10.00
08/01/09 to 08/31/09	—		—
09/01/09 to 09/30/09	2,650,000		6.10
ProShares Ultra Euro
07/01/09 to 07/31/09	—		—
08/01/09 to 08/31/09	—		—
09/01/09 to 09/30/09	—		—
ProShares UltraShort Euro
07/01/09 to 07/31/09	100,000		19.12
08/01/09 to 08/31/09	100,000		18.92
09/01/09 to 09/30/09	—		—
ProShares Ultra Yen
07/01/09 to 07/31/09	—		—
08/01/09 to 08/31/09	50,000		25.12
09/01/09 to 09/30/09	—		—
ProShares UltraShort Yen
07/01/09 to 07/31/09	300,000		22.45
08/01/09 to 08/31/09	250,000		22.40
09/01/09 to 09/30/09	100,000		20.62
Total:	26,300,000	$	15.16

-99-

Item 3.

Defaults Upon Senior Securities.

None.

Item 4.

Submission of Matters to a Vote of Security Holders.

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)

(1)	Filed herewith

(2)	Furnished herewith

-100-

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: November 16, 2009

/s/ Edward Karpowicz

By: Edward Karpowicz

Principal Financial Officer

Date: November 16, 2009