ProShares Trust II
For the period ended Sep 30, 2024. Filed Nov 18, 2024.
View on SEC.govAbout 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.
See the whole filing, with its images and exhibitsContents
ProShares UltraShort Silver
| September 30, 2024 (unaudited) | December 31, 2023 | |
|---|---|---|
| Assets | ||
| Cash | $21,639,445 | $46,444,776 |
| Segregated cash balances with brokers for futures contracts | 1,794,000 | 5,494,500 |
| Segregated cash balances with brokers for swap agreements | 13,757,152 | 12,657,595 |
| Receivable from capital shares sold | — | 907,025 |
| Receivable on open futures contracts | 89,431 | 329,629 |
| Interest receivable | 116,843 | 173,799 |
| Total assets | 37,396,871 | 66,007,324 |
| Liabilities and shareholders’ equity | ||
| Liabilities | ||
| Payable to Sponsor | 28,974 | 43,464 |
| Unrealized depreciation on swap agreements | 5,145,175 | 814,174 |
| Total liabilities | 5,174,149 | 857,638 |
| Commitments and Contingencies (Note 2) | ||
| Shareholders’ equity | ||
| Shareholders’ equity | 32,222,722 | 65,149,686 |
| Total liabilities and shareholders’ equity | $37,396,871 | $66,007,324 |
| Shares outstanding (Note 8) | 847,832 | 897,832 |
| Net asset value per share (Note 8) | $38.01 | $72.56 |
| Market value per share (Note 8) (Note 2) | $38.12 | $72.96 |
| Number of Contracts | Notional Amount at Value | Unrealized Appreciation (Depreciation)/Value | |
|---|---|---|---|
| Silver Futures - COMEX, expires December 2024 | 154 | $24,222,660 | $(16,482) |
^
| Rate Paid (Received)* | Termination Date | Notional Amount at Value** | Unrealized Appreciation (Depreciation)/Value | |
|---|---|---|---|---|
| Swap agreement with Citibank, N.A. based on Bloomberg Silver Subindex | 0.25% | 10/07/24 | $(22,532,595) | $(2,349,115) |
| Swap agreement with Goldman Sachs International based on Bloomberg Silver Subindex | 0.25 | 10/07/24 | (12,371,018) | (1,289,728) |
| Swap agreement with Morgan Stanley & Co. International PLC based on Bloomberg Silver Subindex | 0.30 | 10/07/24 | (1,706,452) | (177,955) |
| Swap agreement with UBS AG based on Bloomberg Silver Subindex | 0.25 | 10/07/24 | (3,643,614) | (1,328,377) |
| Total Unrealized Depreciation | $(5,145,175) | |||
| ^ | 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 | $672,005 | $337,096 | $1,650,859 | $860,908 |
| Expenses | ||||
| Management fee | 149,940 | 78,166 | 380,119 | 220,751 |
| Brokerage commissions | 14,921 | 13,775 | 34,808 | 28,436 |
| Total expenses | 164,861 | 91,941 | 414,927 | 249,187 |
| Net investment income (loss) | 507,144 | 245,155 | 1,235,932 | 611,721 |
| Realized and unrealized gain (loss) on investment activity | ||||
| Net realized gain (loss) on | ||||
| Futures contracts | (343,339) | 6,217,172 | (2,680,569) | 11,009,808 |
| Swap agreements | 6,337,066 | 704,259 | (1,615,822) | (261,158) |
| Short-term U.S. government and agency obligations | — | — | — | (906) |
| Net realized gain (loss) | 5,993,727 | 6,921,431 | (4,296,391) | 10,747,744 |
| Change in net unrealized appreciation (depreciation) on | ||||
| Futures contracts | (898,913) | (107,686) | (1,705,528) | 1,791,737 |
| Swap agreements | (8,621,838) | 169,456 | (4,331,001) | 2,737,091 |
| Change in net unrealized appreciation (depreciation) | (9,520,751) | 61,770 | (6,036,529) | 4,528,828 |
| Net realized and unrealized gain (loss) | (3,527,024) | 6,983,201 | (10,332,920) | 15,276,572 |
| Net income (loss) | $(3,019,880) | $7,228,356 | $(9,096,988) | $15,888,293 |
| Three Months Ended September 30, | Nine Months Ended September 30, | |||
|---|---|---|---|---|
| 2024 | 2023 | 2024 | 2023 | |
| Shareholders’ equity, beginning of period | $76,198,743 | $19,290,473 | $65,149,686 | $31,932,799 |
| Addition of 687,500, 737,500, 2,937,500 and 1,512,500 shares, respectively (Note 8) | 27,486,842 | 51,792,185 | 143,592,568 | 107,105,060 |
| Redemption of 1,537,500, 775,000, 2,987,500 and 1,725,000 shares, respectively (Note 8) | (68,442,983) | (61,343,497) | (167,422,544) | (137,958,635) |
| Net addition (redemption) of (850,000), (37,500), (50,000) and (212,500) shares, respectively (Note 8) | (40,956,141) | (9,551,312) | (23,829,976) | (30,853,575) |
| Net investment income (loss) | 507,144 | 245,155 | 1,235,932 | 611,721 |
| Net realized gain (loss) | 5,993,727 | 6,921,431 | (4,296,391) | 10,747,744 |
| Change in net unrealized appreciation (depreciation) | (9,520,751) | 61,770 | (6,036,529) | 4,528,828 |
| Net income (loss) | (3,019,880) | 7,228,356 | (9,096,988) | 15,888,293 |
| Shareholders’ equity, end of period | $32,222,722 | $16,967,517 | $32,222,722 | $16,967,517 |
| Nine Months Ended September 30, | ||
|---|---|---|
| 2024 | 2023 | |
| Cash flow from operating activities | ||
| Net income (loss) | $(9,096,988) | $15,888,293 |
| 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 | — | (39,876,608) |
| Proceeds from sales or maturities of short-term U.S. government and agency obligations | — | 39,937,156 |
| Net amortization and accretion on short-term U.S. government and agency obligations | — | (61,454) |
| Net realized (gain) loss on investments | — | 906 |
| Change in unrealized (appreciation) depreciation on investments | 4,331,001 | (2,737,091) |
| Decrease (Increase) in receivable on open futures contracts | 240,198 | 5,065 |
| Decrease (Increase) in interest receivable | 56,956 | 14,121 |
| Increase (Decrease) in payable to Sponsor | (14,490) | (6,841) |
| Net cash provided by (used in) operating activities | (4,483,323) | 13,163,547 |
| Cash flow from financing activities | ||
| Proceeds from addition of shares | 144,499,593 | 108,077,849 |
| Payment on shares redeemed | (167,422,544) | (137,958,635) |
| Net cash provided by (used in) financing activities | (22,922,951) | (29,880,786) |
| Net increase (decrease) in cash | (27,406,274) | (16,717,239) |
| Cash, beginning of period | 64,596,871 | 32,583,283 |
| Cash, end of period | $37,190,597 | $15,866,044 |
The text of this filing, as the company filed it with the SEC, without its images or exhibits. This is not investment advice.