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 UltraShort Gold

	June 30, 2024 (unaudited)	December 31, 2023
Assets
Cash	$12,481,663	$9,309,908
Segregated cash balances with brokers for futures contracts	595,000	261,450
Segregated cash balances with brokers for swap agreements	2,621,079	2,375,125
Unrealized appreciation on swap agreements	408,700	—
Receivable on open futures contracts	—	17,324
Interest receivable	55,422	41,501
Total assets	16,161,864	12,005,308
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts	17,400	—
Payable to Sponsor	12,673	9,708
Unrealized depreciation on swap agreements	—	199,821
Total liabilities	30,073	209,529
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	16,131,791	11,795,779
Total liabilities and shareholders’ equity	$16,161,864	$12,005,308
Shares outstanding	746,977	446,977
Net asset value per share	$21.60	$26.39
Market value per share (Note 2)	$21.67	$26.37

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires August 2024	58	$13,569,680	$167,105

	Rate Paid (Received)*	Termination Date	Notional Amount at Value**	Unrealized Appreciation (Depreciation)/Value
Swap agreement with Citibank, N.A. based on Bloomberg Gold Subindex	0.25%	07/08/24	$(4,325,519)	$94,178
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex	0.20	07/08/24	(5,669,086)	123,607
Swap agreement with UBS AG based on Bloomberg Gold Subindex	0.25	07/08/24	(8,768,527)	190,915
			Total Unrealized Appreciation	$408,700

^	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.

*	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	$176,727	$184,052	$319,930	$316,614
Expenses
Management fee	39,309	42,869	71,710	79,242
Brokerage commissions	1,283	1,605	2,218	2,966
Total expenses	40,592	44,474	73,928	82,208
Net investment income (loss)	136,135	139,578	246,002	234,406
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(976,285)	(562,109)	(1,626,248)	(676,159)
Swap agreements	(1,540,189)	(991,042)	(2,288,039)	(1,907,873)
Net realized gain (loss)	(2,516,474)	(1,553,151)	(3,914,287)	(2,584,032)
Change in net unrealized appreciation (depreciation) on
Futures contracts	374,155	1,132,962	311,336	1,069,691
Swap agreements	890,281	1,625,959	608,521	1,033,528
Change in net unrealized appreciation (depreciation)	1,264,436	2,758,921	919,857	2,103,219
Net realized and unrealized gain (loss)	(1,252,038)	1,205,770	(2,994,430)	(480,813)
Net income (loss)	$(1,115,903)	$1,345,348	$(2,748,428)	$(246,407)

	Three Months Ended June 30,		Six Months Ended June 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$15,170,884	$16,049,273	$11,795,779	$15,456,037
Addition of 450,000, 300,000, 650,000 and 600,000 shares, respectively	9,524,925	7,934,073	14,532,555	16,298,343
Redemption of 350,000, 350,000, 350,000 and 550,000 shares, respectively	(7,448,115)	(9,519,316)	(7,448,115)	(15,698,595)
Net addition (redemption) of 100,000, (50,000), 300,000 and 50,000 shares, respectively	2,076,810	(1,585,243)	7,084,440	599,748
Net investment income (loss)	136,135	139,578	246,002	234,406
Net realized gain (loss)	(2,516,474)	(1,553,151)	(3,914,287)	(2,584,032)
Change in net unrealized appreciation (depreciation)	1,264,436	2,758,921	919,857	2,103,219
Net income (loss)	(1,115,903)	1,345,348	(2,748,428)	(246,407)
Shareholders’ equity, end of period	$16,131,791	$15,809,378	$16,131,791	$15,809,378

	Six Months Ended June 30,
	2024	2023
Cash flow from operating activities
Net income (loss)	$(2,748,428)	$(246,407)
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Change in unrealized (appreciation) depreciation on investments	(608,521)	(1,033,528)
Decrease (Increase) in receivable on open futures contracts	17,324	(40,101)
Decrease (Increase) in interest receivable	(13,921)	(19,366)
Increase (Decrease) in payable to Sponsor	2,965	1,307
Increase (Decrease) in payable on open futures contracts	17,400	1,600
Net cash provided by (used in) operating activities	(3,333,181)	(1,336,495)
Cash flow from financing activities
Proceeds from addition of shares	14,532,555	16,298,343
Payment on shares redeemed	(7,448,115)	(14,253,435)
Net cash provided by (used in) financing activities	7,084,440	2,044,908
Net increase (decrease) in cash	3,751,259	708,413
Cash, beginning of period	11,946,483	16,020,413
Cash, end of period	$15,697,742	$16,728,826

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.