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 UltraShort Gold

	September 30, 2024 (unaudited)	December 31, 2023
Assets
Cash	$14,615,256	$9,309,908
Segregated cash balances with brokers for futures contracts	631,400	261,450
Segregated cash balances with brokers for swap agreements	3,802,670	2,375,125
Receivable on open futures contracts	37,716	17,324
Interest receivable	45,415	41,501
Total assets	19,132,457	12,005,308
Liabilities and shareholders’ equity
Liabilities
Payable to Sponsor	10,987	9,708
Unrealized depreciation on swap agreements	1,062,980	199,821
Total liabilities	1,073,967	209,529
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	18,058,490	11,795,779
Total liabilities and shareholders’ equity	$19,132,457	$12,005,308
Shares outstanding	1,046,977	446,977
Net asset value per share	$17.25	$26.39
Market value per share (Note 2)	$17.33	$26.37

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires December 2024	57	$15,158,580	$(124,208)

	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%	10/07/24	$(4,820,548)	$(245,098)
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex	0.20	10/07/24	(6,317,878)	(321,030)
Swap agreement with UBS AG based on Bloomberg Gold Subindex	0.25	10/07/24	(9,772,030)	(496,852)
			Total Unrealized Depreciation	$(1,062,980)

^	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.

*	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	$148,896	$142,707	$468,826	$459,321
Expenses
Management fee	34,177	32,970	105,887	112,212
Brokerage commissions	920	1,099	3,138	4,065
Total expenses	35,097	34,069	109,025	116,277
Net investment income (loss)	113,799	108,638	359,801	343,044
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(722,224)	807,474	(2,348,472)	131,315
Swap agreements	(687,295)	628,950	(2,975,334)	(1,278,923)
Net realized gain (loss)	(1,409,519)	1,436,424	(5,323,806)	(1,147,608)
Change in net unrealized appreciation (depreciation) on
Futures contracts	(291,313)	(460,051)	20,023	609,640
Swap agreements	(1,471,680)	208,445	(863,159)	1,241,973
Change in net unrealized appreciation (depreciation)	(1,762,993)	(251,606)	(843,136)	1,851,613
Net realized and unrealized gain (loss)	(3,172,512)	1,184,818	(6,166,942)	704,005
Net income (loss)	$(3,058,713)	$1,293,456	$(5,807,141)	$1,047,049

	Three Months Ended September 30,		Nine Months Ended September 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$16,131,791	$15,809,378	$11,795,779	$15,456,037
Addition of 600,000, 100,000, 1,250,000 and 700,000 shares, respectively	10,718,138	3,039,866	25,250,693	19,338,209
Redemption of 300,000, 200,000, 650,000 and 750,000 shares, respectively	(5,732,726)	(5,776,831)	(13,180,841)	(21,475,426)
Net addition (redemption) of 300,000, (100,000), 600,000 and (50,000) shares, respectively	4,985,412	(2,736,965)	12,069,852	(2,137,217)
Net investment income (loss)	113,799	108,638	359,801	343,044
Net realized gain (loss)	(1,409,519)	1,436,424	(5,323,806)	(1,147,608)
Change in net unrealized appreciation (depreciation)	(1,762,993)	(251,606)	(843,136)	1,851,613
Net income (loss)	(3,058,713)	1,293,456	(5,807,141)	1,047,049
Shareholders’ equity, end of period	$18,058,490	$14,365,869	$18,058,490	$14,365,869

	Nine Months Ended September 30,
	2024	2023
Cash flow from operating activities
Net income (loss)	$(5,807,141)	$1,047,049
Adjustments to reconcile net income (loss) to net cash provided by (used in) operating activities:
Change in unrealized (appreciation) depreciation on investments	863,159	(1,241,973)
Decrease (Increase) in receivable on open futures contracts	(20,392)	(6,250)
Decrease (Increase) in interest receivable	(3,914)	3,281
Increase (Decrease) in payable to Sponsor	1,279	(3,555)
Increase (Decrease) in payable on open futures contracts	—	97,849
Net cash provided by (used in) operating activities	(4,967,009)	(103,599)
Cash flow from financing activities
Proceeds from addition of shares	25,250,693	17,731,192
Payment on shares redeemed	(13,180,841)	(21,475,426)
Net cash provided by (used in) financing activities	12,069,852	(3,744,234)
Net increase (decrease) in cash	7,102,843	(3,847,833)
Cash, beginning of period	11,946,483	16,020,413
Cash, end of period	$19,049,326	$12,172,580

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.