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$19.74+5.2%Stored close · as of Nov 9, 2026

Extracted filing text, with the paragraph anchors used by the comparison.

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Contents

ProShares VIX Mid-Term Futures ETF

	September 30, 2024 (unaudited)	December 31, 2023
Assets
Cash	$34,247,064	$31,674,194
Segregated cash balances with brokers for futures contracts	5,137,872	5,936,995
Receivable on open futures contracts	—	137,945
Interest receivable	93,847	141,818
Total assets	39,478,783	37,890,952
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts	474,255	—
Brokerage commissions and futures account fees payable	899	1,876
Payable to Sponsor	19,795	22,933
Total liabilities	494,949	24,809
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	38,983,834	37,866,143
Total liabilities and shareholders’ equity	$39,478,783	$37,890,952
Shares outstanding	2,587,403	2,262,403
Net asset value per share	$15.07	$16.74
Market value per share (Note 2)	$15.11	$16.75

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires January 2025	379	$7,030,715	$334,338
VIX Futures - Cboe, expires February 2025	689	12,987,994	139,076
VIX Futures - Cboe, expires March 2025	689	13,073,775	58,625
VIX Futures - Cboe, expires April 2025	309	5,898,347	62,493
			$594,532

	Three Months Ended September 30,		Nine Months Ended September 30,
	2024	2023	2024	2023
Investment Income
Interest	$370,229	$597,040	$1,992,242	$1,895,545
Expenses
Management fee	66,736	117,018	354,943	401,207
Brokerage commissions	8,201	8,822	94,413	30,191
Futures account fees	4,605	9,991	21,146	33,287
Total expenses	79,542	135,831	470,502	464,685
Net investment income (loss)	290,687	461,209	1,521,740	1,430,860
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	2,713,658	(12,244,511)	(12,344,229)	(35,008,564)
Short-term U.S. government and agency obligations	271	—	3,549	—
Net realized gain (loss)	2,713,929	(12,244,511)	(12,340,680)	(35,008,564)
Change in net unrealized appreciation (depreciation) on
Futures contracts	457,557	8,934,542	4,340,208	3,847,551
Short-term U.S. government and agency obligations	(2,519)	—	—	(5,651)
Change in net unrealized appreciation (depreciation)	455,038	8,934,542	4,340,208	3,841,900
Net realized and unrealized gain (loss)	3,168,967	(3,309,969)	(8,000,472)	(31,166,664)
Net income (loss)	$3,459,654	$(2,848,760)	$(6,478,732)	$(29,735,804)

	Three Months Ended September 30,		Nine Months Ended September 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$33,401,452	$49,421,413	$37,866,143	$84,014,959
Addition of 825,000, 850,000, 9,450,000 and 1,700,000 shares, respectively	12,229,924	16,840,213	147,418,801	38,658,971
Redemption of 575,000, 175,000, 9,125,000 and 1,375,000 shares, respectively	(10,107,196)	(3,444,842)	(139,822,378)	(32,970,102)
Net addition (redemption) of 250,000, 675,000, 325,000 and 325,000 shares, respectively	2,122,728	13,395,371	7,596,423	5,688,869
Net investment income (loss)	290,687	461,209	1,521,740	1,430,860
Net realized gain (loss)	2,713,929	(12,244,511)	(12,340,680)	(35,008,564)
Change in net unrealized appreciation (depreciation)	455,038	8,934,542	4,340,208	3,841,900
Net income (loss)	3,459,654	(2,848,760)	(6,478,732)	(29,735,804)
Shareholders’ equity, end of period	$38,983,834	$59,968,024	$38,983,834	$59,968,024

	Nine Months Ended September 30,
	2024	2023
Cash flow from operating activities
Net income (loss)	$(6,478,732)	$(29,735,804)
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	(49,330,764)	(294,811,992)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	49,719,851	345,000,000
Net amortization and accretion on short-term U.S. government and agency obligations	(385,538)	(311,311)
Net realized (gain) loss on investments	(3,549)	—
Change in unrealized (appreciation) depreciation on investments	—	5,651
Decrease (Increase) in receivable on open futures contracts	137,945	(417,787)
Decrease (Increase) in interest receivable	47,971	(120,290)
Increase (Decrease) in payable to Sponsor	(3,138)	(19,767)
Increase (Decrease) in brokerage commissions and futures account fees payable	(977)	(1,301)
Increase (Decrease) in payable on open futures contracts	474,255	—
Net cash provided by (used in) operating activities	(5,822,676)	19,587,399
Cash flow from financing activities
Proceeds from addition of shares	147,418,801	38,658,971
Payment on shares redeemed	(139,822,378)	(32,970,102)
Net cash provided by (used in) financing activities	7,596,423	5,688,869
Net increase (decrease) in cash	1,773,747	25,276,268
Cash, beginning of period	37,611,189	33,959,989
Cash, end of period	$39,384,936	$59,236,257

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.