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

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Contents

ProShares UltraShort Bloomberg Natural Gas

	September 30, 2024(unaudited)	December 31, 2023
(As Restated)
Assets
Short-term U.S. government and agency obligations (Note 3) (cost $44,887,800 and $–, respectively)	$44,895,561	$—
Cash	42,574,367	73,282,564
Segregated cash balances with brokers for futures contracts	44,405,633	62,890,001
Receivable from capital shares sold	2,725,965	9,611,378
Receivable on open futures contracts	—	4,446,202
Interest receivable	155,000	447,861
Total assets	134,756,526	150,678,006
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts	1,994,480	9,596,045
Brokerage commissions and futures account fees payable	1,100	10,461
Payable to Sponsor	67,921	108,408
Total liabilities	2,063,501	9,714,914
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	132,693,025	140,963,092
Total liabilities and shareholders’ equity	$134,756,526	$150,678,006
Shares outstanding	2,433,712	2,933,712
Net asset value per share	$54.52	$48.05
Market value per share (Note 2)	$55.22	$48.21

	Principal Amount	Value
Short-term U.S. government and agency obligations
(34% 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	10,000,000	9,969,788
5.120% due 11/05/24	10,000,000	9,954,870
Total short-term U.S. government and agency obligations (cost $44,887,800)		$44,895,561

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Natural Gas - NYMEX, expires November 2024	9,079	$265,379,170	$(14,948,530)

^^	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	$1,150,564	$1,476,050	$4,075,138	$4,007,691
Expenses
Management fee	224,779	304,567	797,283	903,703
Brokerage commissions	156,391	133,782	722,643	577,070
Futures account fees	6,899	23,941	33,910	80,308
Total expenses	388,069	462,290	1,553,836	1,561,081
Net investment income (loss)	762,495	1,013,760	2,521,302	2,446,610
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	90,006,232	(10,798,451)	90,097,297	221,346,621
Short-term U.S. government and agency obligations	(2,218)	(174)	(3,961)	(1,437)
Net realized gain (loss)	90,004,014	(10,798,625)	90,093,336	221,345,184
Change in net unrealized appreciation (depreciation) on
Futures contracts	(55,772,673)	44,086,649	(11,395,023)	(62,113,081)
Short-term U.S. government and agency obligations	8,364	173	7,761	(9,995)
Change in net unrealized appreciation (depreciation)	(55,764,309)	44,086,822	(11,387,262)	(62,123,076)
Net realized and unrealized gain (loss)	34,239,705	33,288,197	78,706,074	159,222,108
Net income (loss)	$35,002,200	$34,301,957	$81,227,376	$161,668,718

	Three Months Ended September 30,		Nine Months Ended September 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$147,292,427	$141,324,963	$140,963,092	$134,109,520
Addition of 2,700,000, 11,000,000, 16,700,000 and 38,700,000 shares, respectively (Note 1)	167,655,268	295,245,731	864,763,170	1,128,672,428
Redemption of 3,250,000, 12,500,000, 17,200,000 and 45,000,000 shares, respectively (Note 1)	(217,256,870)	(359,209,589)	(954,260,613)	(1,312,787,604)
Net addition (redemption) of (550,000), (1,500,000), (500,000) and (6,300,000) shares, respectively (Note 1)	(49,601,602)	(63,963,858)	(89,497,443)	(184,115,176)
Net investment income (loss)	762,495	1,013,760	2,521,302	2,446,610
Net realized gain (loss)	90,004,014	(10,798,625)	90,093,336	221,345,184
Change in net unrealized appreciation (depreciation)	(55,764,309)	44,086,822	(11,387,262)	(62,123,076)
Net income (loss)	35,002,200	34,301,957	81,227,376	161,668,718
Shareholders’ equity, end of period	$132,693,025	$111,663,062	$132,693,025	$111,663,062

	Nine Months EndedSeptember 30,
	2024	2023
(As Restated)
Cash flow from operating activities
Net income (loss)	$81,227,376	$161,668,718
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	(232,607,254)	(228,632,508)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	189,472,679	271,472,626
Net amortization and accretion on short-term U.S. government and agency obligations	(1,757,186)	(1,304,490)
Net realized (gain) loss on investments	3,961	1,437
Change in unrealized (appreciation) depreciation on investments	(7,761)	9,995
Decrease (Increase) in receivable on open futures contracts	4,446,202	(256,495)
Decrease (Increase) in interest receivable	292,861	65,570
Increase (Decrease) in payable to Sponsor	(40,487)	(54,464)
Increase (Decrease) in brokerage commissions and futures account fees payable	(9,361)	(3,080)
Increase (Decrease) in payable on open futures contracts	(7,601,565)	11,055,812
Net cash provided by (used in) operating activities	33,419,465	214,023,121
Cash flow from financing activities
Proceeds from addition of shares	871,648,583	1,116,379,999
Payment on shares redeemed	(954,260,613)	(1,318,152,800)
Net cash provided by (used in) financing activities	(82,612,030)	(201,772,801)
Net increase (decrease) in cash	(49,192,565)	12,250,320
Cash, beginning of period	136,172,565	77,441,180
Cash, end of period	$86,980,000	$89,691,500

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.