ProShares Trust II

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

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 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 $64,808,069 and $–, respectively)	$64,820,219	$—
Cash	60,429,911	86,615,956
Segregated cash balances with brokers for futures contracts	164,480,832	250,795,661
Receivable on open futures contracts	2,950,172	10,559,699
Interest receivable	521,282	924,148
Total assets	293,202,416	348,895,464
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts	7,629,152	—
Brokerage commissions and futures account fees payable	19,592	36,088
Payable to Sponsor	201,709	303,633
Total liabilities	7,850,453	339,721
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	285,351,963	348,555,743
Total liabilities and shareholders’ equity	$293,202,416	$348,895,464
Shares outstanding	11,443,643	8,264,892
Net asset value per share	$24.94	$42.17
Market value per share (Note 2)	$24.93	$42.20

	Principal Amount	Value
Short-term U.S. government and agency obligations
(23% of shareholders’ equity)
U.S. Treasury Bills^^:
5.256% due 10/10/24	$25,000,000	$24,970,903
5.226% due 10/24/24	20,000,000	19,939,576
5.120% due 11/05/24	20,000,000	19,909,740
Total short-term U.S. government and agency obligations (cost $64,808,069)		$64,820,219

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2024	12,712	$239,525,860	$7,027,963
VIX Futures - Cboe, expires November 2024	10,409	188,376,878	1,325,778
			$8,353,741

^^	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	$2,501,794	$3,255,531	$7,595,859	$12,422,781
Expenses
Management fee	583,266	803,793	1,804,611	3,507,644
Brokerage commissions	534,432	517,699	1,475,584	2,007,911
Futures account fees	62,854	103,793	212,988	354,153
Total expenses	1,180,552	1,425,285	3,493,183	5,869,708
Net investment income (loss)	1,321,242	1,830,246	4,102,676	6,553,073
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(36,612,575)	(142,584,115)	(185,028,990)	(751,122,089)
Short-term U.S. government and agency obligations	317	(141)	11,454	(3,731)
Net realized gain (loss)	(36,612,258)	(142,584,256)	(185,017,536)	(751,125,820)
Change in net unrealized appreciation (depreciation) on
Futures contracts	14,558,661	108,839,211	39,537,652	65,564,944
Short-term U.S. government and agency obligations	12,132	12,008	12,150	8,625
Change in net unrealized appreciation (depreciation)	14,570,793	108,851,219	39,549,802	65,573,569
Net realized and unrealized gain (loss)	(22,041,465)	(33,733,037)	(145,467,734)	(685,552,251)
Net income (loss)	$(20,720,223)	$(31,902,791)	$(141,365,058)	$(678,999,178)

	Three Months Ended September 30,		Nine Months Ended September 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$232,135,198	$387,764,059	$348,555,743	$639,318,362
Addition of 19,350,000, 2,680,000, 29,200,000 and 6,942,000 shares, respectively (Note 1)	563,820,661	217,623,291	854,933,354	1,109,114,165
Redemption of 17,750,000, 3,380,676, 26,021,248 and 5,308,676 shares, respectively (Note 1)	(489,883,673)	(290,433,868)	(776,772,076)	(786,382,658)
Net addition (redemption) of 1,600,000, (700,676), 3,178,752 and 1,633,324 shares, respectively (Note 1)	73,936,988	(72,810,577)	78,161,278	322,731,507
Net investment income (loss)	1,321,242	1,830,246	4,102,676	6,553,073
Net realized gain (loss)	(36,612,258)	(142,584,256)	(185,017,536)	(751,125,820)
Change in net unrealized appreciation (depreciation)	14,570,793	108,851,219	39,549,802	65,573,569
Net income (loss)	(20,720,223)	(31,902,791)	(141,365,058)	(678,999,178)
Shareholders’ equity, end of period	$285,351,963	$283,050,691	$285,351,963	$283,050,691

	Nine Months EndedSeptember 30,
	2024	2023
(As Restated)
Cash flow from operating activities
Net income (loss)	$(141,365,058)	$(678,999,178)
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	(259,379,827)	(1,439,995,575)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	196,346,250	1,392,250,029
Net amortization and accretion on short-term U.S. government and agency obligations	(1,763,038)	(2,098,269)
Net realized (gain) loss on investments	(11,454)	3,731
Change in unrealized (appreciation) depreciation on investments	(12,150)	(8,625)
Decrease (Increase) in receivable on open futures contracts	7,609,527	14,010,352
Decrease (Increase) in interest receivable	402,866	557,273
Increase (Decrease) in payable to Sponsor	(101,924)	(304,407)
Increase (Decrease) in brokerage commissions and futures account fees payable	(16,496)	(24,372)
Increase (Decrease) in payable on open futures contracts	7,629,152	(904,685)
Net cash provided by (used in) operating activities	(190,662,152)	(715,513,726)
Cash flow from financing activities
Proceeds from addition of shares	854,933,354	1,099,388,535
Payment on shares redeemed	(776,772,076)	(779,905,509)
Net cash provided by (used in) financing activities	78,161,278	319,483,026
Net increase (decrease) in cash	(112,500,874)	(396,030,700)
Cash, beginning of period	337,411,617	583,213,839
Cash, end of period	$224,910,743	$187,183,139

ContentsView on SEC.gov

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