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 Natural Gas

	June 30, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $– and $64,445,510, respectively)	$—	$64,459,117
Cash	335,101,326	326,252,692
Segregated cash balances with brokers for futures contracts	131,374,481	256,589,331
Receivable from capital shares sold	78,742,578	4,281,925
Receivable on open futures contracts	34,615,849	117,168,017
Interest receivable	836,761	1,925,643
Total assets	580,670,995	770,676,725
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	—	19,366,361
Payable on open futures contracts	39,579,590	20,739,542
Brokerage commissions and futures account fees payable	12,372	52,349
Payable to Sponsor	435,212	625,665
Total liabilities	40,027,174	40,783,917
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	540,643,821	729,892,808
Total liabilities and shareholders’ equity	$580,670,995	$770,676,725
Shares outstanding	34,668,544	25,568,544
Net asset value per share	$15.59	$28.55
Market value per share (Note 2)	$15.67	$28.44

Futures Contracts Purchased
	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires September 2024	41,612	$1,081,079,760	$(153,035,669)

	Three Months Ended June 30,		Six Months Ended June 30,
	2024	2023	2024	2023
Investment Income
Interest	$6,418,687	$8,866,705	$12,870,827	$17,825,228
Expenses
Management fee	1,323,880	2,588,571	2,773,307	4,916,981
Brokerage commissions	785,377	1,145,371	1,488,469	2,098,150
Futures account fees	53,176	211,785	142,161	399,478
Total expenses	2,162,433	3,945,727	4,403,937	7,414,609
Net investment income (loss)	4,256,254	4,920,978	8,466,890	10,410,619
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	211,772,181	(539,203,219)	(30,408,733)	(1,639,994,302)
Swap agreements	–	(77,680,050)	–	(38,520,261)
Short-term U.S. government and agency obligations	–	(3,646)	–	(7,216)
Net realized gain (loss)	211,772,181	(616,886,915)	(30,408,733)	(1,678,521,779)
Change in net unrealized appreciation (depreciation) on
Futures contracts	(60,263,391)	572,850,724	(196,642,739)	558,949,406
Swap agreements	–	85,176,576	–	46,088,257
Short-term U.S. government and agency obligations	–	29,724	(13,607)	9,671
Change in net unrealized appreciation (depreciation)	(60,263,391)	658,057,024	(196,656,346)	605,047,334
Net realized and unrealized gain (loss)	151,508,790	41,170,109	(227,065,079)	(1,073,474,445)
Net income (loss)	$155,765,044	$46,091,087	$(218,598,189)	$(1,063,063,826)

	Three Months Ended June 30,		Six Months Ended June 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$580,741,377	$1,139,983,773	$729,892,808	$586,151,113
Addition of 24,350,000, 13,792,500, 64,450,000 and 32,765,000 shares, respectively	387,753,452	814,876,179	1,118,271,219	3,160,825,013
Redemption of 33,900,000, 12,825,000, 55,350,000 and 17,957,500 shares, respectively	(583,616,052)	(859,929,761)	(1,088,922,017)	(1,542,891,022)
Net addition (redemption) of (9,550,000), 967,500, 9,100,000 and 14,807,500 shares, respectively	(195,862,600)	(45,053,582)	29,349,202	1,617,933,991
Net investment income (loss)	4,256,254	4,920,978	8,466,890	10,410,619
Net realized gain (loss)	211,772,181	(616,886,915)	(30,408,733)	(1,678,521,779)
Change in net unrealized appreciation (depreciation)	(60,263,391)	658,057,024	(196,656,346)	605,047,334
Net income (loss)	155,765,044	46,091,087	(218,598,189)	(1,063,063,826)
Shareholders’ equity, end of period	$540,643,821	$1,141,021,278	$540,643,821	$1,141,021,278

	Six Months Ended June 30,
	2024	2023
Cash flow from operating activities
Net income (loss)	$(218,598,189)	$(1,063,063,826)
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	—	(10,025,950,123)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	65,000,000	9,997,363,885
Net amortization and accretion on short-term U.S. government and agency obligations	(554,490)	(6,934,539)
Net realized (gain) loss on investments	—	7,216
Change in unrealized (appreciation) depreciation on investments	13,607	(46,097,928)
Decrease (Increase) in receivable on open futures contracts	82,552,168	32,093,445
Decrease (Increase) in interest receivable	1,088,882	(1,040,354)
Increase (Decrease) in payable to Sponsor	(190,453)	396,149
Increase (Decrease) in brokerage commissions and futures account fees payable	(39,977)	34,147
Increase (Decrease) in payable on open futures contracts	18,840,048	(1,835,443)
Net cash provided by (used in) operating activities	(51,888,404)	(1,115,027,371)
Cash flow from financing activities
Proceeds from addition of shares	1,043,810,566	3,160,825,013
Payment on shares redeemed	(1,108,288,378)	(1,541,243,728)
Net cash provided by (used in) financing activities	(64,477,812)	1,619,581,285
Net increase (decrease) in cash	(116,366,216)	504,553,914
Cash, beginning of period	582,842,023	176,734,664
Cash, end of period	$466,475,807	$681,288,578

ContentsView on SEC.gov

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