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 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 $64,777,575 and $59,648,776, respectively)	$64,785,421	$59,660,373
Cash	38,595,298	22,277,582
Segregated cash balances with brokers for futures contracts	62,649,154	72,849,393
Receivable on open futures contracts	—	2,362,837
Interest receivable	284,729	254,671
Total assets	166,314,602	157,404,856
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts	2,828,161	580
Brokerage commissions and futures account fees payable	6,045	11,961
Payable to Sponsor	82,963	70,569
Total liabilities	2,917,169	83,110
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	163,397,433	157,321,746
Total liabilities and shareholders’ equity	$166,314,602	$157,404,856
Shares outstanding (Note 8)	3,337,737	2,537,737
Net asset value per share (Note 8)	$48.95	$61.99
Market value per share (Note 8) (Note 2)	$49.00	$62.04

	Principal Amount	Value
Short-term U.S. government and agency obligations
(40% 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	15,000,000	14,954,682
5.120% due 11/05/24	10,000,000	9,954,870
4.801% due 11/19/24	15,000,000	14,904,966
Total short-term U.S. government and agency obligations (cost $64,777,575)		$64,785,421

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
VIX Futures - Cboe, expires October 2024	4,851	$91,404,968	$1,947,348
VIX Futures - Cboe, expires November 2024	3,974	71,919,465	562,813
			$2,510,161

^^	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	$1,554,282	$2,271,345	$4,932,465	$6,832,197
Expenses
Management fee	298,739	447,560	945,176	1,495,874
Brokerage commissions	109,695	58,426	189,358	250,314
Futures account fees	25,438	44,110	89,976	143,501
Total expenses	433,872	550,096	1,224,510	1,889,689
Net investment income (loss)	1,120,410	1,721,249	3,707,955	4,942,508
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	47,467,197	(54,950,042)	(11,804,121)	(228,276,043)
Short-term U.S. government and agency obligations	(1,223)	—	3,607	(10,605)
Net realized gain (loss)	47,465,974	(54,950,042)	(11,800,514)	(228,286,648)
Change in net unrealized appreciation (depreciation) on
Futures contracts	5,170,981	41,847,057	12,174,255	21,670,993
Short-term U.S. government and agency obligations	8,134	(5,866)	(3,751)	(3,029)
Change in net unrealized appreciation (depreciation)	5,179,115	41,841,191	12,170,504	21,667,964
Net realized and unrealized gain (loss)	52,645,089	(13,108,851)	369,990	(206,618,684)
Net income (loss)	$53,765,499	$(11,387,602)	$4,077,945	$(201,676,176)

	Three Months Ended September 30,		Nine Months Ended September 30,
	2024	2023	2024	2023
Shareholders’ equity, beginning of period	$148,420,028	$230,227,830	$157,321,746	$266,580,320
Addition of 2,637,500, 618,750, 4,512,500 and 2,308,750 shares, respectively (Note 1) (Note 8)	119,479,226	56,655,376	215,111,517	324,424,030
Redemption of 2,725,000, 656,405, 3,712,500 and 1,208,905 shares, respectively (Note 1) (Note 8)	(158,267,320)	(63,891,176)	(213,113,775)	(177,723,746)
Net addition (redemption) of (87,500), (37,655), 800,000 and 1,099,845 shares, respectively (Note 1) (Note 8)	(38,788,094)	(7,235,800)	1,997,742	146,700,284
Net investment income (loss)	1,120,410	1,721,249	3,707,955	4,942,508
Net realized gain (loss)	47,465,974	(54,950,042)	(11,800,514)	(228,286,648)
Change in net unrealized appreciation (depreciation)	5,179,115	41,841,191	12,170,504	21,667,964
Net income (loss)	53,765,499	(11,387,602)	4,077,945	(201,676,176)
Shareholders’ equity, end of period	$163,397,433	$211,604,428	$163,397,433	$211,604,428

	Nine Months EndedSeptember 30,
	2024	2023
(As Restated)
Cash flow from operating activities
Net income (loss)	$4,077,945	$(201,676,176)
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	(242,444,601)	(614,146,126)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	239,782,389	601,754,108
Net amortization and accretion on short-term U.S. government and agency obligations	(2,462,980)	(2,913,568)
Net realized (gain) loss on investments	(3,607)	10,605
Change in unrealized (appreciation) depreciation on investments	3,751	3,029
Decrease (Increase) in receivable on open futures contracts	2,362,837	(2,672,268)
Decrease (Increase) in interest receivable	(30,058)	136,672
Increase (Decrease) in payable to Sponsor	12,394	(60,834)
Increase (Decrease) in brokerage commissions and futures account fees payable	(5,916)	(15,432)
Increase (Decrease) in payable on open futures contracts	2,827,581	(369,983)
Net cash provided by (used in) operating activities	4,119,735	(219,949,973)
Cash flow from financing activities
Proceeds from addition of shares	215,111,517	324,424,030
Payment on shares redeemed	(213,113,775)	(178,294,219)
Net cash provided by (used in) financing activities	1,997,742	146,129,811
Net increase (decrease) in cash	6,117,477	(73,820,162)
Cash, beginning of period	95,126,975	175,279,856
Cash, end of period	$101,244,452	$101,459,694

ContentsView on SEC.gov

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