ProShares Trust II

For the period ended Sep 30, 2024. Filed Nov 18, 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.

Sep 30, 2024 · Filed Nov 18, 2024

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

Extracted filing text, with the paragraph anchors used by the comparison.

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Contents

ProShares Short VIX Short-Term Futures ETF

	September 30,2024(unaudited)	December 31,2023
(As Restated)
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $224,220,194 and $109,391,681, respectively)	$224,255,645	$109,410,342
Cash	44,257,427	54,492,235
Segregated cash balances with brokers for futures contracts	95,000,175	107,839,052
Receivable on open futures contracts	3,939,430	11,214,160
Interest receivable	881,876	456,930
Total assets	368,334,553	283,412,719
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	—	15,522,316
Payable on open futures contracts	3,421,324	447,611
Brokerage commissions and futures account fees payable	3,966	9,571
Payable to Sponsor	334,907	248,862
Total liabilities	3,760,197	16,228,360
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	364,574,356	267,184,359
Total liabilities and shareholders’ equity	$368,334,553	$283,412,719
Shares outstanding	7,268,614	5,168,614
Net asset value per share	$50.16	$51.69
Market value per share (Note 2)	$50.11	$51.70

	Principal Amount	Value
Short-term U.S. government and agency obligations
(62% of shareholders’ equity)
U.S. Treasury Bills^^:
5.256% due 10/10/24	$50,000,000	$49,941,805
5.226% due 10/24/24	100,000,000	99,697,880
5.120% due 11/05/24	50,000,000	49,774,350
4.801% due 11/19/24	25,000,000	24,841,610
Total short-term U.S. government and agency obligations (cost $224,220,194)		$224,255,645

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2024	5,429	$102,295,932	$352,766
VIX Futures - Cboe, expires November 2024	4,431	80,190,023	(737,248)
			$(384,482)

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

	Three Months Ended September 30,		Nine Months Ended September 30,
	2024	2023	2024	2023
Investment Income
Interest	$5,814,236	$2,624,180	$12,580,744	$7,170,512
Expenses
Management fee	1,173,293	634,871	2,616,334	1,817,684
Brokerage commissions	346,441	137,943	688,357	387,868
Futures account fees	24,896	—	24,896	—
Total expenses	1,544,630	772,814	3,329,587	2,205,552
Net investment income (loss)	4,269,606	1,851,366	9,251,157	4,964,960
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(7,503,293)	30,285,319	47,755,573	125,117,609
Short-term U.S. government and agency obligations	—	4	17,669	(25,807)
Net realized gain (loss)	(7,503,293)	30,285,323	47,773,242	125,091,802
Change in net unrealized appreciation (depreciation) on
Futures contracts	(4,219,681)	(26,316,590)	(13,025,106)	(13,479,766)
Short-term U.S. government and agency obligations	33,407	(557)	16,790	(9,103)
Change in net unrealized appreciation (depreciation)	(4,186,274)	(26,317,147)	(13,008,316)	(13,488,869)
Net realized and unrealized gain (loss)	(11,689,567)	3,968,176	34,764,926	111,602,933
Net income (loss)	$(7,419,961)	$5,819,542	$44,016,083	$116,567,893

	Three Months Ended September 30,		Nine Months Ended September 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$298,712,515	$282,353,267	$267,184,359	$339,591,638
Addition of 12,300,000, 1,300,000, 15,050,000 and 7,300,000 shares, respectively (Note 1)	562,757,352	56,262,968	710,001,613	241,582,456
Redemption of 9,900,000, 1,900,000, 12,950,000 and 12,800,000 shares, respectively (Note 1)	(489,475,550)	(82,737,030)	(656,627,699)	(436,043,240)
Net addition (redemption) of 2,400,000, (600,000), 2,100,000 and (5,500,000) shares, respectively (Note 1)	73,281,802	(26,474,062)	53,373,914	(194,460,784)
Net investment income (loss)	4,269,606	1,851,366	9,251,157	4,964,960
Net realized gain (loss)	(7,503,293)	30,285,323	47,773,242	125,091,802
Change in net unrealized appreciation (depreciation)	(4,186,274)	(26,317,147)	(13,008,316)	(13,488,869)
Net income (loss)	(7,419,961)	5,819,542	44,016,083	116,567,893
Shareholders’ equity, end of period	$364,574,356	$261,698,747	$364,574,356	$261,698,747

	Nine Months EndedSeptember 30,
	2024	2023
(As Restated)
Cash flow from operating activities
Net income (loss)	$44,016,083	$116,567,893
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	(564,453,788)	(584,136,375)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	455,017,669	626,824,736
Net amortization and accretion on short-term U.S. government and agency obligations	(5,374,725)	(3,086,541)
Net realized (gain) loss on investments	(17,669)	25,807
Change in unrealized (appreciation) depreciation on investments	(16,790)	9,103
Decrease (Increase) in receivable on open futures contracts	7,274,730	33,228,692
Decrease (Increase) in interest receivable	(424,946)	200,839
Increase (Decrease) in payable to Sponsor	86,045	(144,914)
Increase (Decrease) in brokerage commissions and futures account fees payable	(5,605)	(12,616)
Increase (Decrease) in payable on open futures contracts	2,973,713	2,802,168
Net cash provided by (used in) operating activities	(60,925,283)	192,278,792
Cash flow from financing activities
Proceeds from addition of shares	710,001,613	241,582,456
Payment on shares redeemed	(672,150,015)	(441,905,054)
Net cash provided by (used in) financing activities	37,851,598	(200,322,598)
Net increase (decrease) in cash	(23,073,685)	(8,043,806)
Cash, beginning of period	162,331,287	160,907,259
Cash, end of period	$139,257,602	$152,863,453

ContentsView on SEC.gov

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