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 Ultra Bloomberg Crude Oil

	September 30, 2024 (unaudited)	December 31, 2023
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $328,525,485 and $233,435,026, respectively)	$328,568,816	$233,476,941
Cash	188,040,251	123,662,313
Segregated cash balances with brokers for futures contracts	66,227,471	70,781,753
Segregated cash balances with brokers for swap agreements	—	203,734,760
Unrealized appreciation on swap agreements	12,083,549	17,954,935
Receivable from capital shares sold	—	5,255,022
Receivable on open futures contracts	1,704,350	—
Interest receivable	848,266	568,017
Total assets	597,472,703	655,433,741
Liabilities and shareholders’ equity
Liabilities
Payable for capital shares redeemed	3,803,543	—
Payable on open futures contracts	—	2,099,944
Brokerage commissions and futures account fees payable	—	5,682
Payable to Sponsor	446,905	534,678
Total liabilities	4,250,448	2,640,304
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	593,222,255	652,793,437
Total liabilities and shareholders’ equity	$597,472,703	$655,433,741
Shares outstanding	23,393,096	24,843,096
Net asset value per share	$25.36	$26.28
Market value per share (Note 2)	$25.42	$26.10

	Principal Amount	Value
Short-term U.S. government and agency obligations
(55% of shareholders’ equity)
U.S. Treasury Bills^^:
5.256% due 10/10/24	$25,000,000	$24,970,902
5.226% due 10/24/24†	105,000,000	104,682,774
5.120% due 11/05/24†	100,000,000	99,548,700
4.801% due 11/19/24	100,000,000	99,366,440
Total short-term U.S. government and agency obligations (cost $328,525,485)		$328,568,816

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
WTI Crude Oil - NYMEX, expires December 2024	2,269	$153,770,130	$(2,196,057)
WTI Crude Oil - NYMEX, expires June 2025	2,326	155,679,180	(1,378,340)
WTI Crude Oil - NYMEX, expires December 2025	2,361	156,746,790	1,232,341
			$(2,342,056)

	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%	10/07/24	$143,374,704	$2,403,631
Swap agreement with Goldman Sachs International based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35	10/07/24	226,614,289	3,799,116
Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.35	10/07/24	68,842,383	1,154,121
Swap agreement with Societe Generale based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.25	10/07/24	172,015,554	2,894,904
Swap agreement with UBS AG based on Bloomberg Commodity Balanced WTI Crude Oil Index	0.30	10/07/24	109,053,861	1,831,777
			Total Unrealized Appreciation	$12,083,549

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

^	The positions and counterparties herein are as of September 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 September 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 September 30,		Nine Months Ended September 30,
	2024	2023	2024	2023
Investment Income
Interest	$6,074,652	$5,340,428	$17,591,301	$17,226,428
Expenses
Management fee	1,266,843	1,629,737	4,088,647	5,249,353
Brokerage commissions	65,064	51,162	169,844	239,809
Total expenses	1,331,907	1,680,899	4,258,491	5,489,162
Net investment income (loss)	4,742,745	3,659,529	13,332,810	11,737,266
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(5,588,143)	45,265,209	22,864,139	85,471,042
Swap agreements	(61,237,840)	199,284,914	10,385,399	168,504,091
Short-term U.S. government and agency obligations	(31)	120	13,170	(59,258)
Net realized gain (loss)	(66,826,014)	244,550,243	33,262,708	253,915,875
Change in net unrealized appreciation (depreciation) on
Futures contracts	(15,224,501)	15,311,614	1,173,176	(1,561,796)
Swap agreements	(43,864,043)	12,933,232	(5,871,386)	(62,918,586)
Short-term U.S. government and agency obligations	46,734	(67,874)	1,416	(13,931)
Change in net unrealized appreciation (depreciation)	(59,041,810)	28,176,972	(4,696,794)	(64,494,313)
Net realized and unrealized gain (loss)	(125,867,824)	272,727,215	28,565,914	189,421,562
Net income (loss)	$(121,125,079)	$276,386,744	$41,898,724	$201,158,828

	Three Months Ended September 30,		Nine Months Ended September 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$527,486,095	$738,194,368	$652,793,437	$859,094,274
Addition of 16,200,000, –, 25,300,000 and 34,650,000 shares, respectively	431,007,011	—	696,995,533	812,713,784
Redemption of 8,550,000, 13,950,000, 26,750,000 and 45,900,000 shares, respectively	(244,145,772)	(410,456,780)	(798,465,439)	(1,268,842,554)
Net addition (redemption) of 7,650,000, (13,950,000), (1,450,000) and (11,250,000) shares, respectively	186,861,239	(410,456,780)	(101,469,906)	(456,128,770)
Net investment income (loss)	4,742,745	3,659,529	13,332,810	11,737,266
Net realized gain (loss)	(66,826,014)	244,550,243	33,262,708	253,915,875
Change in net unrealized appreciation (depreciation)	(59,041,810)	28,176,972	(4,696,794)	(64,494,313)
Net income (loss)	(121,125,079)	276,386,744	41,898,724	201,158,828
Shareholders’ equity, end of period	$593,222,255	$604,124,332	$593,222,255	$604,124,332

	Nine Months Ended September 30,
	2024	2023
Cash flow from operating activities
Net income (loss)	$41,898,724	$201,158,828
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	(1,176,903,761)	(9,133,783,770)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	1,094,650,743	9,194,559,106
Net amortization and accretion on short-term U.S. government and agency obligations	(12,824,271)	(11,464,606)
Net realized (gain) loss on investments	(13,170)	59,258
Change in unrealized (appreciation) depreciation on investments	5,869,970	62,932,517
Decrease (Increase) in receivable on open futures contracts	(1,704,350)	8,466,027
Decrease (Increase) in interest receivable	(280,249)	281,128
Increase (Decrease) in payable to Sponsor	(87,773)	(143,154)
Increase (Decrease) in brokerage commissions and futures account fees payable	(5,682)	(4,480)
Increase (Decrease) in payable on open futures contracts	(2,099,944)	2,980,155
Net cash provided by (used in) operating activities	(51,499,763)	325,041,009
Cash flow from financing activities
Proceeds from addition of shares	702,250,555	812,713,784
Payment on shares redeemed	(794,661,896)	(1,273,474,976)
Net cash provided by (used in) financing activities	(92,411,341)	(460,761,192)
Net increase (decrease) in cash	(143,911,104)	(135,720,183)
Cash, beginning of period	398,178,826	476,600,261
Cash, end of period	$254,267,722	$340,880,078

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.