ProShares Trust II

For the period ended Jun 30, 2024. Filed Aug 8, 2024.

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A company's report for each of its first three quarters. The financial statements are not audited. It shows how the business has moved since the last annual report, and what management says changed.

Jun 30, 2024 · Filed Aug 8, 2024

SCO$20.19+2.3%Stored close · as of Nov 10, 2026

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Contents

ProShares Ultra Bloomberg Crude Oil

	June 30, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $387,837,316 and $233,435,026, respectively)	$387,833,913	$233,476,941
Cash	12,820,186	123,662,313
Segregated cash balances with brokers for futures contracts	26,299,037	70,781,753
Segregated cash balances with brokers for swap agreements	44,908,000	203,734,760
Unrealized appreciation on swap agreements	55,947,592	17,954,935
Receivable from capital shares sold	—	5,255,022
Receivable on open futures contracts	201,572	—
Interest receivable	314,624	568,017
Total assets	528,324,924	655,433,741
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts	409,282	2,099,944
Brokerage commissions and futures account fees payable	—	5,682
Payable to Sponsor	429,547	534,678
Total liabilities	838,829	2,640,304
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	527,486,095	652,793,437
Total liabilities and shareholders’ equity	$528,324,924	$655,433,741
Shares outstanding	15,743,096	24,843,096
Net asset value per share	$33.51	$26.28
Market value per share (Note 2)	$33.50	$26.10

	Principal Amount	Value
Short-term U.S. government and agency obligations
(74% of shareholders’ equity)
U.S. Treasury Bills^^:
5.349% due 07/09/24†	$90,000,000	$89,895,303
5.311% due 08/08/24†	200,000,000	198,893,780
5.310% due 09/05/24†	100,000,000	99,044,830
Total short-term U.S. government and agency obligations (cost $387,837,316)		$387,833,913

Futures Contracts Purchased
	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires September 2024	713	$57,496,320	$5,520,380
WTI Crude Oil - NYMEX, expires December 2024	757	59,303,380	4,061,570
WTI Crude Oil - NYMEX, expires June 2025	783	58,928,580	3,300,495
			$12,882,445

Total Return Swap Agreements^
	Rate Paid (Received)*	Termination Date	Notional Amount at Value**	Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35%	07/08/24	$188,892,450	$12,016,665
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35	07/08/24	259,202,833	16,489,562
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35	07/08/24	78,742,345	5,009,308
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.25	07/08/24	196,752,460	12,527,793
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.30	07/08/24	155,618,166	9,904,264
			Total Unrealized Appreciation	$55,947,592

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

^	The positions and counterparties herein are as of June 30, 2024. The Fund continually evaluates different counterparties for their transactions and counterparties are subject to change. New counterparties can be added at any time.

^^	Rates shown represent discount rate at the time of purchase.

*	Reflects the floating financing rate, as of June 30, 2024, on the notional amount of the swap agreement paid to the counterparty or received from the counterparty, excluding any commissions. Total Return Swap Agreements payment is due at termination/maturity.

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

	Three Months Ended June 30,		Six Months Ended June 30,
	2024	2023	2024	2023
Investment Income
Interest	$6,506,199	$5,878,092	$11,516,649	$11,886,000
Expenses
Management fee	1,344,787	1,744,998	2,821,804	3,619,616
Brokerage commissions	42,976	94,303	104,780	188,647
Total expenses	1,387,763	1,839,301	2,926,584	3,808,263
Net investment income (loss)	5,118,436	4,038,791	8,590,065	8,077,737
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	11,985,445	29,371,809	28,452,282	40,205,833
Swap agreements	(5,028,524)	(105,727,226)	71,623,239	(30,780,823)
Short-term U.S. government and agency obligations	696	(59,378)	13,201	(59,378)
Net realized gain (loss)	6,957,617	(76,414,795)	100,088,722	9,365,632
Change in net unrealized appreciation (depreciation) on
Futures contracts	(9,029,300)	(20,075,857)	16,397,677	(16,873,410)
Swap agreements	8,281,227	65,510,145	37,992,657	(75,851,818)
Short-term U.S. government and agency obligations	9,247	104,869	(45,318)	53,943
Change in net unrealized appreciation (depreciation)	(738,826)	45,539,157	54,345,016	(92,671,285)
Net realized and unrealized gain (loss)	6,218,791	(30,875,638)	154,433,738	(83,305,653)
Net income (loss)	$11,337,227	$(26,836,847)	$163,023,803	$(75,227,916)

	Three Months Ended June 30,		Six Months Ended June 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$597,176,895	$811,668,456	$652,793,437	$859,094,274
Addition of 5,050,000, 15,550,000, 9,100,000 and 34,650,000 shares, respectively	156,948,695	353,363,209	265,988,522	812,713,784
Redemption of 7,300,000, 15,050,000, 18,200,000 and 31,950,000 shares, respectively	(237,976,722)	(400,000,450)	(554,319,667)	(858,385,774)
Net addition (redemption) of (2,250,000), 500,000, (9,100,000) and 2,700,000 shares, respectively	(81,028,027)	(46,637,241)	(288,331,145)	(45,671,990)
Net investment income (loss)	5,118,436	4,038,791	8,590,065	8,077,737
Net realized gain (loss)	6,957,617	(76,414,795)	100,088,722	9,365,632
Change in net unrealized appreciation (depreciation)	(738,826)	45,539,157	54,345,016	(92,671,285)
Net income (loss)	11,337,227	(26,836,847)	163,023,803	(75,227,916)
Shareholders’ equity, end of period	$527,486,095	$738,194,368	$527,486,095	$738,194,368

	Six Months Ended June 30,
	2024	2023
Cash flow from operating activities
Net income (loss)	$163,023,803	$(75,227,916)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Purchases of short-term U.S. government and agency obligations	(750,343,317)	(8,286,191,814)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	604,658,733	8,193,611,806
Net amortization and accretion on short-term U.S. government and agency obligations	(8,704,505)	(7,958,372)
Net realized (gain) loss on investments	(13,201)	59,378
Change in unrealized (appreciation) depreciation on investments	(37,947,339)	75,797,875
Decrease (Increase) in receivable on open futures contracts	(201,572)	5,619,393
Decrease (Increase) in interest receivable	253,393	168,779
Increase (Decrease) in payable to Sponsor	(105,131)	(81,887)
Increase (Decrease) in brokerage commissions and futures account fees payable	(5,682)	492
Increase (Decrease) in payable on open futures contracts	(1,690,662)	1,541,204
Net cash provided by (used in) operating activities	(31,075,480)	(92,661,062)
Cash flow from financing activities
Proceeds from addition of shares	271,243,544	812,713,784
Payment on shares redeemed	(554,319,667)	(870,743,885)
Net cash provided by (used in) financing activities	(283,076,123)	(58,030,101)
Net increase (decrease) in cash	(314,151,603)	(150,691,163)
Cash, beginning of period	398,178,826	476,600,261
Cash, end of period	$84,027,223	$325,909,098

ContentsView on SEC.gov

The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.