ProShares Trust II

For the period ended Dec 31, 2024. Filed Feb 28, 2025.

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FY2024 · Filed Feb 28, 2025

SCO$20.19+2.3%Stored close · as of Nov 10, 2026

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Contents

ProShares UltraShort Gold

	December 31, 2024	December 31, 2023
Assets
Cash	$13,148,117	$9,309,908
Segregated cash balances with brokers for futures contracts	588,800	261,450
Segregated cash balances with brokers for swap agreements	2,782,413	2,375,125
Unrealized appreciation on swap agreements	141,581	—
Receivable on open futures contracts	—	17,324
Interest receivable	61,820	41,501
Total assets	16,722,731	12,005,308
Liabilities and shareholders’ equity
Liabilities
Payable on open futures contracts	82,309	—
Payable to Sponsor	15,994	9,708
Unrealized depreciation on swap agreements	—	199,821
Total liabilities	98,303	209,529
Commitments and Contingencies (Note 2)
Shareholders’ equity
Shareholders’ equity	16,624,428	11,795,779
Total liabilities and shareholders’ equity	$16,722,731	$12,005,308
Shares outstanding	946,977	446,977
Net asset value per share	$17.56	$26.39
Market value per share (Note 2)	$17.58	$26.37

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires February 2025	48	$12,676,800	$121,056
Total Return Swap Agreements^

	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%	01/06/25	$(4,743,641)	$32,589
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex	0.20	01/06/25	(6,217,082)	42,928
Swap agreement with UBS AG based on Bloomberg Gold Subindex	0.25	01/06/25	(9,616,126)	66,064
			Total Unrealized Appreciation	$141,581

^	The positions and counterparties herein are as of December 31, 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 December 31, 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.

	Number of Contracts	Notional Amount at Value	Unrealized Appreciation (Depreciation)/Value
Gold Futures - COMEX, expires February 2024	31	$6,422,580	$(144,231)
Total Return Swap Agreements^

	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%	01/08/24	$(3,943,178)	$(46,103)
Swap agreement with Goldman Sachs International based on Bloomberg Gold Subindex	0.20	01/08/24	(5,167,985)	(60,261)
Swap agreement with UBS AG based on Bloomberg Gold Subindex	0.25	01/08/24	(7,993,460)	(93,457)
			Total Unrealized Depreciation	$(199,821)

^	The positions and counterparties herein are as of December 31, 2023. 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 December 31, 2023, 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.

	Year Ended December 31,
	2024	2023	2022
Investment Income
Interest	$668,180	$582,222	$215,724
Expenses
Management fee	155,523	140,787	266,018
Brokerage commissions	5,075	4,880	10,874
Futures account fees	—	—	2,446
Non-recurring fees and expenses	—	—	1,075
Total expenses	160,598	145,667	280,413
Net investment income (loss)	507,582	436,555	(64,689)
Realized and unrealized gain (loss) on investment activity
Net realized gain (loss) on
Futures contracts	(2,387,758)	(201,345)	1,858,730
Swap agreements	(3,858,626)	(1,979,341)	717,831
Short-term U.S. government and agency obligations	—	—	4
Net realized gain (loss)	(6,246,384)	(2,180,686)	2,576,565
Change in net unrealized appreciation (depreciation) on
Futures contracts	265,287	(45,345)	(256,965)
Swap agreements	341,402	393,136	400,160
Short-term U.S. government and agency obligations	—	—	3,581
Change in net unrealized appreciation (depreciation)	606,689	347,791	146,776
Net realized and unrealized gain (loss)	(5,639,695)	(1,832,895)	2,723,341
Net income (loss)	$(5,132,113)	$(1,396,340)	$2,658,652

	Year Ended December 31,
	2024	2023	2022
Shareholders’ equity, beginning of period	$11,795,779	$15,456,037	$26,859,844
Addition of 2,050,000, 800,000 and 1,600,000 shares, respectively	38,619,814	22,162,736	49,713,634
Redemption of 1,550,000, 850,000 and 1,950,000 shares, respectively	(28,659,052)	(24,426,654)	(63,776,093)
Net addition (redemption) of 500,000, (50,000) and (350,000) shares, respectively	9,960,762	(2,263,918)	(14,062,459)
Net investment income (loss)	507,582	436,555	(64,689)
Net realized gain (loss)	(6,246,384)	(2,180,686)	2,576,565
Change in net unrealized appreciation (depreciation)	606,689	347,791	146,776
Net income (loss)	(5,132,113)	(1,396,340)	2,658,652
Shareholders’ equity, end of period	$16,624,428	$11,795,779	$15,456,037

	Year Ended December 31,
	2024	2023	2022
Cash flow from operating activities
Net income (loss)	$(5,132,113)	$(1,396,340)	$2,658,652
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	—	—	(17,987,492)
Proceeds from sales or maturities of short-term U.S. government and agency obligations	—	—	43,999,990
Net amortization and accretion on short-term U.S. government and agency obligations	—	—	(28,397)
Net realized (gain) loss on investments	—	—	(4)
Change in unrealized (appreciation) depreciation on investments	(341,402)	(393,136)	(403,741)
Decrease (Increase) in receivable on open futures contracts	17,324	(17,324)	—
Decrease (Increase) in interest receivable	(20,319)	634	(41,701)
Increase (Decrease) in payable to Sponsor	6,286	(3,146)	(12,658)
Increase (Decrease) in brokerage commissions and futures account fees payable	—	—	(294)
Increase (Decrease) in payable on open futures contracts	82,309	(700)	(91,837)
Net cash provided by (used in) operating activities	(5,387,915)	(1,810,012)	28,092,518
Cash flow from financing activities
Proceeds from addition of shares	38,619,814	22,162,736	49,713,634
Payment on shares redeemed	(28,659,052)	(24,426,654)	(63,776,093)
Net cash provided by (used in) financing activities	9,960,762	(2,263,918)	(14,062,459)
Net increase (decrease) in cash	4,572,847	(4,073,930)	14,030,059
Cash, beginning of period	11,946,483	16,020,413	1,990,354
Cash, end of period	$16,519,330	$11,946,483	$16,020,413

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