ProShares Trust II

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

About this filing

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 UltraShort Bloomberg Natural Gas

	June 30, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $89,476,486 and $–, respectively)	$89,475,883	$—
Cash	9,179,026	73,282,564
Segregated cash balances with brokers for futures contracts	27,590,142	35,326,076
Receivable from capital shares sold	—	9,611,378
Receivable on open futures contracts	25,789,178	22,414,082
Interest receivable	337,766	447,861
Total assets	152,371,995	141,081,961
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	4,937,033	—
Payable on open futures contracts	26,716	—
Brokerage commissions and futures account fees payable	3,273	10,461
Payable to Sponsor	112,546	108,408
Total liabilities	5,079,568	118,869
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	147,292,427	140,963,092
Total liabilities and shareholders’ equity	$152,371,995	$141,081,961
Shares outstanding (Note 1)	2,983,712	2,933,712
Net asset value per share (Note 1)	$49.37	$48.05
Market value per share (Note 1) (Note 2)	$49.19	$48.21

	Principal Amount	Value
Short-term U.S. government and agency obligations
(61% of shareholders’ equity)
U.S. Treasury Bills^^:
5.260% due 07/09/24	$40,000,000	$39,953,468
5.354% due 09/05/24	50,000,000	49,522,415
Total short-term U.S. government and agency obligations (cost $89,476,486)		$89,475,883

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires September 2024	11,339	$294,587,220	$40,824,143

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

	Three Months Ended June 30,		Six Months Ended June 30,
	2024	2023	2024	2023
Investment Income
Interest	$1,577,496	$1,344,889	$2,924,574	$2,531,641
Expenses
Management fee	310,060	302,274	572,504	599,136
Brokerage commissions	304,998	233,647	566,252	443,288
Futures account fees	10,978	26,758	27,011	56,367
Total expenses	626,036	562,679	1,165,767	1,098,791
Net investment income (loss)	951,460	782,210	1,758,807	1,432,850
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(44,563,292)	48,736,428	91,065	232,145,072
Short-term U.S. government and agency obligations	—	1,415	(1,743)	(1,263)
Net realized gain (loss)	(44,563,292)	48,737,843	89,322	232,143,809
Change in net unrealized appreciation (depreciation) on
Futures contracts	20,547,016	(61,246,927)	44,377,650	(106,199,730)
Short-term U.S. government and agency obligations	3,543	(3,173)	(603)	(10,168)
Change in net unrealized appreciation (depreciation)	20,550,559	(61,250,100)	44,377,047	(106,209,898)
Net realized and unrealized gain (loss)	(24,012,733)	(12,512,257)	44,466,369	125,933,911
Net income (loss)	$(23,061,273)	$(11,730,047)	$46,225,176	$127,366,761

	Three Months Ended June 30,		Six Months Ended June 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$94,345,355	$146,981,760	$140,963,092	$134,109,520
Addition of 7,400,000, 13,200,000, 14,000,000 and 27,700,000 shares, respectively (Note 1)	367,052,728	457,417,060	697,107,902	833,426,697
Redemption of 5,650,000, 12,200,000, 13,950,000 and 32,500,000 shares, respectively (Note 1)	(291,044,383)	(451,343,810)	(737,003,743)	(953,578,015)
Net addition (redemption) of 1,750,000, 1,000,000, 50,000 and (4,800,000) shares, respectively (Note 1)	76,008,345	6,073,250	(39,895,841)	(120,151,318)
Net investment income (loss)	951,460	782,210	1,758,807	1,432,850
Net realized gain (loss)	(44,563,292)	48,737,843	89,322	232,143,809
Change in net unrealized appreciation (depreciation)	20,550,559	(61,250,100)	44,377,047	(106,209,898)
Net income (loss)	(23,061,273)	(11,730,047)	46,225,176	127,366,761
Shareholders’ equity, end of period	$147,292,427	$141,324,963	$147,292,427	$141,324,963

	Six Months Ended June 30,
	2024	2023
Cash flow from operating activities
Net income (loss)	$46,225,176	$127,366,761
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	(188,049,532)	(119,017,542)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	99,796,807	146,569,111
Net amortization and accretion on short-term U.S. government and agency obligations	(1,225,504)	(910,302)
Net realized (gain) loss on investments	1,743	1,263
Change in unrealized (appreciation) depreciation on investments	603	10,168
Decrease (Increase) in receivable on open futures contracts	(3,375,096)	7,788,147
Decrease (Increase) in interest receivable	110,095	46,314
Increase (Decrease) in payable to Sponsor	4,138	(37,995)
Increase (Decrease) in brokerage commissions and futures account fees payable	(7,188)	951
Increase (Decrease) in payable on open futures contracts	26,716	6,151,798
Net cash provided by (used in) operating activities	(46,492,042)	167,968,674
Cash flow from financing activities
Proceeds from addition of shares	706,719,280	830,673,700
Payment on shares redeemed	(732,066,710)	(944,455,593)
Net cash provided by (used in) financing activities	(25,347,430)	(113,781,893)
Net increase (decrease) in cash	(71,839,472)	54,186,781
Cash, beginning of period	108,608,640	44,482,540
Cash, end of period	$36,769,168	$98,669,321

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.